Evidence of market anomalies in the Eurozone: A practical implementation

A Work Project, presented as part of the requirements for the Award of a Master’s Double Degree in Finance and Financial Economics from NOVA – School of Business and Economics and Maastricht University

Trading the differences in expectations between the CDS and bond markets

This paper uses the framework developed by Vrugt (2010) to extract the recovery rate and term-structure of risk-neutral default probabilities implied in the cross-section of Portuguese sovereign bonds outstanding between March and August 2011. During this period the expectations on the recovery rate remain firmly anchored around 50 percent while the instantaneous default probability increases steadily from 6 to above 30 percent. These parameters are then used to calculate the fair-value of a 5-year and 10- year CDS contract. A credit-risk-neutral strategy is developed from the difference between the market price of a CDS of the same tenors and the fair-value calculated, yielding a sharpe ratio of 3.2

Evaluation of the diagnostic value of the tourniquet test in predicting severe dengue cases in a population from Belo Horizonte, State of Minas Gerais, Brazil

Introduction Dengue is prevalent in many tropical and sub-tropical regions. The clinical diagnosis of dengue is still complex, and not much data are available. This work aimed at assessing the diagnostic accuracy of the tourniquet test in patients with suspected dengue infection and its positivity in different classifications of this disease as reported to the Information System for Notifiable Disease in Belo Horizonte, State of Minas Gerais, Brazil between 2001 and 2006. Methods Cross-section analysis of the diagnostic accuracy of the tourniquet test for dengue, using IgM-anti-DENV ELISA as a gold standard. Results We selected 9,836 suspected cases, of which 41.1% were confirmed to be dengue. Classic dengue was present in 95.8%, dengue with complications in 2.5% and dengue hemorrhagic fever in 1.7%. The tourniquet test was positive in 16.9% of classic dengue cases, 61.7% of dengue cases with complications and 82.9% of cases of dengue hemorrhagic fever. The sensitivity and specificity of the tourniquet test were 19.1% and 86.4%, respectively. Conclusions A positive tourniquet test can be a valuable tool to support diagnosis of dengue where laboratory tests are not available. However, the absence of a positive test should not be read as the absence of infection. In addition, the tourniquet test was demonstrated to be an indicator of dengue severity.

Comparateive analysis: Public and private school management systems

The Portuguese educational system has counted, for many years, with the co-existence of both public and private schools. In fact, the country’s growth and development led, in the past, to an increasing demand for free of charge public education that could only be matched through the creation of “publicly-subsidized and privately owned and managed schools”. Still, the demographic evolution of Portugal recently generated a decrease on the demand for public educational services. This situation has raised doubts about the true contribution of this type of school for the public education system. This paper aims at answering this question by isolating the impact of different property and management schemes on the performance of students, resorting to cross-section data on 9th grade students from 2010. The results corroborate the well known result on the relevance of the family socio-economic background for students’ performance, but do also sustain the existence of a significant positive impact of private ownership and management schemes on the overall performance of students. These results suggest that there might be gains associated with the expansion of such schemes within the public education system.

Optimisation and design of post-tensioning anchorage corner blisters in concrete box girder bidges

The design of anchorage blisters of internal continuity post-tensioning tendons of bridges built by the cantilever method, presents some peculiarities, not only because they are intermediate anchorages but also because these anchorages are located in blisters, so the prestressing force has to be transferred from the blister the bottom slab and web of the girder. The high density of steel reinforcement in anchorage blisters is the most common reason for problems with concrete cast in situ, resulting in zones with low concrete compacity, leading to concrete crushing failures under the anchor plates. A solution may involve improving the concrete compression and tensile strength. To meet these requirements a high-performance fibre reinforced self-compacting mix- ture (HPFRC) was used in anchorage corner blisters of post-tensioning tendons, reducing the concrete cross-section and decreasing the reinforcement needed. To assess the ultimate capacity and the adequate serviceability of the local anchorage zone after reducing the minimum concrete cross-section and the confining reinforcement, specified by the anchorage device supplier for the particular tendon, load transfer tests were performed. To investigate the behaviour of anchorage blisters regarding the transmission of stresses to the web and the bottom slab of the girder, and the feasibility of using high performance concrete only in the blister, two half scale models of the inferior corner of a box girder existing bridge were studied: a reference specimen of ordinary reinforced concrete and a HPFRC blister specimen. The design of the reinforcement was based in the tensile forces obtained on strut-and-tie models. An experimental program was carried out to assess the models used in design and to study the feasibility of using high performance concrete only in the blister, either with casting in situ, or with precast solutions. A non-linear finite element analysis of the tested specimens was also performed and the results compared.

Amazon landforms and soils in relation to biological diversity

Thirteen main landform units are distinguished for the whole of the forested Amazon region, each with its specific soil pattern and vegetation structure. These landform-soil-vegetation units are delineated on a small-scale map and illustrated by a schematic cross-section. Floristic diversity of the gamma type is to be highest on the steepland-and-valley complexes of the Andean fringe, on the crystalline shield uplands, on the inselberg complexes, and on the eutric variant of the western sedimentary plains. Endemism is expected to be highest on the sandy plains, and parts of the table lands and inselberg complexes. Speciation, linked to the concept of forest refuge areas, is likely to be highest on the sandstone table lands, on the stretches of Amazon planalto, and in the areas of relict valleys, in view of the prolonged geomorphological stability of these units.

Exploring the use of HPFRC and GFRP grids for the production of manhole covers

Corrosion of the steel reinforced concrete elements is one of the common pathologies that limits the long-term performance of urban infrastructures. This problem causes the loss of structural serviceability by decreasing the concrete-steel bond strength and reducing the cross section of the reinforcements. The present study introduces a new system for developing free-corrosion resistance prefabricated manhole covers for applications in the aggressive environments, i.e. wastewater collector systems, sewer systems, stormwater systems, etc. Fibre reinforced cement composites were applied in this system in order to suppress the corrodible steel mesh and maintain the structural ductility as well. Application of fibre reinforced polymer (FRP) system is adopted as the additional solution for increasing the load carrying capacity of these elements without concerns about corrosion. The effectiveness of the applied strategy in developing the manhole covers in terms of load carrying capacity and failure mode is evaluated in this research. Furthermore, this paper discusses a FEM-based simulation, aiming to address the possibility of calibrating the constitutive model parameters related to fracture modes I and II.

Assessment of the performance of steel fibre reinforced self-compacting concrete in elevated slabs

The reinforcement mechanisms at the cross section level assured by fibres bridging the cracks in steel fibre reinforced self-compacting concrete (SFRSCC) can be significantly amplified at structural level when the SFRSCC is applied in structures with high support redundancy, such is the case of elevated slab systems. To evaluate the potentialities of SFRSCC as the fundamental material of elevated slab systems, a ¼ scale SFRSCC prototype of a residential building was designed, built and tested. The extensive experimental program includes material tests for characterizing the relevant properties of SFRSCC, as well as structural tests for assessing the performance of the prototype at serviceability and ultimate limit conditions. Three distinct approaches where adopted to derive the constitutive laws of the SFRSCC in tension that were used in finite element material nonlinear analysis to evaluate the reliability of these approaches in the prediction of the load carrying capacity of the prototype.

A model to simulate the moment-rotation and crack width of FRC members reinforced with longitudinal bars

The present work describes a model for the determination of the moment–rotation relationship of a cross section of fiber reinforced concrete (FRC) elements that also include longitudinal bars for the flexural reinforcement (R/FRC). Since a stress–crack width relationship (σ–w)(σ–w) is used to model the post-cracking behavior of a FRC, the σ–w directly obtained from tensile tests, or derived from inverse analysis applied to the results obtained in three-point notched beam bending tests, can be adopted in this approach. For a more realistic assessment of the crack opening, a bond stress versus slip relationship is assumed to simulate the bond between longitudinal bars and surrounding FRC. To simulate the compression behavior of the FRC, a shear friction model is adopted based on the physical interpretation of the post-peak compression softening behavior registered in experimental tests. By allowing the formation of a compressive FRC wedge delimited by shear band zones, the concept of concrete crushing failure mode in beams failing in bending is reinterpreted. By using the moment–rotation relationship, an algorithm was developed to determine the force–deflection response of statically determinate R/FRC elements. The model is described in detail and its good predictive performance is demonstrated by using available experimental data. Parametric studies were executed to evidence the influence of relevant parameters of the model on the serviceability and ultimate design conditions of R/FRC elements failing in bending.

Transfer zone of prestressed CFRP reinforcement applied according to NSM technique for strengthening of RC structures

This study presents an experimental program to assess the tensile strain distribution along prestressed carbon fiber reinforced polymer (CFRP) reinforcement flexurally applied on the tensile surface of RC beams according to near surface mounted (NSM) technique. Moreover, the current study aims to propose an analytical formulation, with a design framework, for the prediction of distribution of CFRP tensile strain and bond shear stress and, additionally, the prestress transfer length. After demonstration the good predictive performance of the proposed analytical approach, parametric studies were carried out to analytically evaluate the influence of the main material properties, and CFRP and groove cross section on the distribution of the CFRP tensile strain and bond shear stress, and on the prestress transfer length. The proposed analytical approach can also predict the evolution of the prestress transfer length during the curing time of the adhesive by considering the variation of its elasticity modulus during this period.

Shear strengthening of damaged reinforced concrete beams with hybrid composite plates

This paper aims to evaluate experimentally the potentialities of Hybrid Composite Plates (HCPs) technique for the shear strengthening of reinforced concrete (RC) beams that were previously subjected to intense damage in shear. HCP is a thin plate of Strain Hardening Cementitious Composite (SHCC) reinforced with Carbon Fiber Reinforced Polymer (CFRP) laminates. For this purpose, an experimental program composed of two series of beams (rectangular and T cross section) was executed to assess the strengthening efficiency of this technique. In the first step of this experimental program, the control beams, without steel stirrups, were loaded up to their shear failure, and fully unloaded. Then, these pre-damaged beams were shear strengthened by applying HCPs to their lateral faces by using a combination of epoxy adhesive and mechanical anchors. The bolts were applied with a certain torque in order to increase the concrete confinement. The obtained results showed that the increase of load carrying capacity of the damaged strengthened beams when HCPs were applied with epoxy adhesive and mechanical anchors was 2 and 2.5 times of the load carrying capacity of the corresponding reference beams (without HCPs) for the rectangular and T cross section beam series, respectively. To further explore the potentialities of the HCPs technique for the shear strengthening, the experimental tests were simulated using an advanced numerical model by a FEM-based computer program. After demonstration the good predictive performance of the numerical model, a parametric study was executed to highlight the influence of SHCC as an alternative for mortar, as well as the influence of torque level applied to the mechanical anchors, on the load carrying capacity of beams strengthened with the proposed technique.

Advances in thermoplastic pultruded composites

Pultrusion is a versatile continuous high speed production technology allowing the production of fibre reinforced complex profiles. Thermosetting resins are normally used as matrices in the production of structural constant cross section profiles. Although only recently thermoplastic matrices have been used in long and continuous fibre reinforced composites replacing with success thermosetting matrices, the number of their applications is increasing due to their better ecological and mechanical performance. Composites with thermoplastic matrices offers increased fracture toughness, higher impact tolerance, short processing cycle time and excellent environmental stability. They are recyclable, post-formable and can be joined by welding. The use of long/continuous fibre reinforced thermoplastic matrix composites involves, however, great technological and scientific challenges since thermoplastics present much higher viscosity than thermosettings, which makes much difficult and complex the impregnation of reinforcements and consolidation tasks. In this work continuous fibres reinforced thermoplastic matrix towpregs were produced using equipment developed by the Institute for Polymers and Composites (IPC). The processing of the towpregs was made by pultrusion, in a developed prototype equipment existing in the Engineering School of the Polytechnic Institute of Porto (ISEP). Different thermoplastic matrices and fibres raw-materials were used in this study to manufacture pultruded composites for commercial applications (glass and carbon fibre/ polypropylene) and for advanced markets (carbon fibre/Primospire®). To improve the temperature distribution profile in heating die, different modifications were performed. In order to optimize both processes, towpregs production and pultruded composites profiles were analysed to determine the influence of the most relevant processing arameters in the final properties. The final pultruded composite profiles were submitted to mechanical tests to obtain the relevant properties.

Centrality and rapidity dependence of inclusive jet production in sNN=5.02 TeV proton-lead collisions with the ATLAS detector

Measurements of the centrality and rapidity dependence of inclusive jet production in sNN−−−√=5.02 TeV proton--lead (p+Pb) collisions and the jet cross-section in s√=2.76 TeV proton--proton collisions are presented. These quantities are measured in datasets corresponding to an integrated luminosity of 27.8 nb−1 and 4.0 pb−1, respectively, recorded with the ATLAS detector at the Large Hadron Collider in 2013. The p+Pb collision centrality was characterised using the total transverse energy measured in the pseudorapidity interval −4.9<η<−3.2 in the direction of the lead beam. Results are presented for the double-differential per-collision yields as a function of jet rapidity and transverse momentum (pT) for minimum-bias and centrality-selected p+Pb collisions, and are compared to the jet rate from the geometric expectation. The total jet yield in minimum-bias events is slightly enhanced above the expectation in a pT-dependent manner but is consistent with the expectation within uncertainties. The ratios of jet spectra from different centrality selections show a strong modification of jet production at all pT at forward rapidities and for large pT at mid-rapidity, which manifests as a suppression of the jet yield in central events and an enhancement in peripheral events. These effects imply that the factorisation between hard and soft processes is violated at an unexpected level in proton--nucleus collisions. Furthermore, the modifications at forward rapidities are found to be a function of the total jet energy only, implying that the violations may have a simple dependence on the hard parton--parton kinematics.

Evidence of Wγγ production in pp collisions at s√=8 TeV and limits on anomalous quartic gauge couplings with the ATLAS detector

This Letter reports evidence of triple gauge boson production pp→W(ℓν)γγ+X, which is accessible for the first time with the 8 TeV LHC data set. The fiducial cross section for this process is measured in a data sample corresponding to an integrated luminosity of 20.3 fb−1, collected by the ATLAS detector in 2012. Events are selected using the W boson decay to eν or μν as well as requiring two isolated photons. The measured cross section is used to set limits on anomalous quartic gauge couplings in the high diphoton mass region.

Observation and measurement of Higgs boson decays to WW∗ with the ATLAS detector

We report the observation of Higgs boson decays to WW∗ based on an excess over background of 6.1 standard deviations in the dilepton final state, where the Standard Model expectation is 5.8 standard deviations. Evidence for the vector-boson fusion (VBF) production process is obtained with a significance of 3.2 standard deviations. The results are obtained from a data sample corresponding to an integrated luminosity of 25 pb−1 from s√=7 and 8 TeV pp collisions recorded by the ATLAS detector at the LHC. For a Higgs boson mass of 125.36 GeV, the ratio of the measured value to the expected value of the total production cross section times branching fraction is 1.09+0.16−0.15 (stat.)+0.17−0.14 (syst.). The corresponding ratios for the gluon fusion and vector-boson fusion production mechanisms are 1.02±0.19 (stat.)+0.22−0.18 (syst.) and 1.27+0.44−0.40 (stat.)+0.30−0.21 (syst.), respectively. At s√=8 TeV, the total production cross sections are measured to be σ(gg→ H→WW∗)=4.6±0.9(stat.)+0.8−0.7(syst.)pb and σ(VBF H→WW∗)=0.51+0.17−0.15(stat.)+0.13−0.08(syst.)pb. The fiducial cross section is determined for the gluon-fusion process in exclusive final states with zero or one associated jet.