Avaliação do impacto do horizonte temporal nas estimativas de EAD de linhas de crédito com limites explícitos a PME

Tese de mestrado em Matemática Aplicada à Economia e Gestão, apresentada à Universidade de Lisboa, através da Faculdade de Ciências, 2016

Can the new refugee relocation system work? Perils in the Dublin logic and flawed reception conditions in the EU. CEPS Policy Brief No. 332, October 2015 Thursday, 1 October 2015

This Policy Brief argues that the newly adopted EU temporary relocation (quota) system constitutes a welcome yet timid step forward in addressing a number of central controversies of the current refugee debate in Europe. Two main challenges affect the effective operability of the new EU relocation model. First, EU member states’ asylum systems show profound (on-the-ground) weaknesses in reception conditions and judicial/administrative capacities. These prevent a fair and humane processing of asylum applications. EU states are not implementing the common standards enshrined in the EU reception conditions Directive 2013/33. Second, the new relocation system constitutes a move away from the much-criticised Dublin system, but it is still anchored to its premises. The Dublin system is driven by an unfair and unsustainable rule according to which the first EU state of entry is responsible for assessing asylum applications. It does not properly consider the personal, private and family circumstances or the preferences of asylum-seekers. Policy Recommendations In order to respond to these challenges, the Policy Brief offers the following policy recommendations: The EU should strengthen and better enforce member states’ reception capacities, abolish the current Dublin system rule of allocation of responsibility and expand the new relocation distribution criteria to include in the assessment (as far as possible) asylum-seekers’ preferences and personal/family links to EU member states. EU member countries should give priority to boosting their current and forward-looking administrative and judicial capacities to deal and welcome asylum applications. The EU should establish a permanent common European border and asylum service focused on ensuring the highest standards through stable operational support, institutional solidarity across all EU external borders and the practical implementation of new distribution relocation criteria.

A contribuição dos Modelos de Avaliação para a previsão do retorno dos títulos finançeiros de empresa do PSI20 - Análise Comparativa entre Capital Asset Pricing Model e Arbitrage Pricing Theory

O crescimento económico de um país depende dos fundos disponíveis, quer para o financiamento da formação de capital quer para a sua reposição. Fundos obtidos pelas empresas e organismos públicos através de diversas formas, entre as quais, se destaca a emissão de valores mobiliários. Os aforradores, detentores de recursos, ao comprarem valores mobiliários, aliam uma alta rentabilidade a uma elevada liquidez na remuneração dos seus investimentos. As bolsas de valores são o meio onde as empresas, os organismos públicos e os aforradores, têm a possibilidade de verem esses interesses conciliados de uma maneira eficiente, eficaz e transparente, garantindo assim, uma maior liquidez aos títulos financeiros transaccionados em bolsa de valores. As empresas possuem várias alternativas de financiamento, o mercado de capitais é considerado pelos gestores, a fonte onde o rendimento ou o retorno obtido pode ser maior, perante a contrapartida de se incorrer um maior risco. Este mercado surge como alternativa aos empréstimos bancários, as empresas podem, dessa forma, adquirir financiamento de terceiros, os quais se tornarão accionistas dessa empresa. Podem emitir novas acções no mercado accionista de forma a atrair investidores externos que garantam a sustentabilidade do negócio. As acções possuem diversas caracteristicas e modalidades e fazem com que o capital da empresa seja partilhado por todos os seus accionistas, tendo em conta a proporção por eles adquirida individualmente. Esta dissertação investiga a dinâmica de compra e de venda das acções no mercado bolsista, os factores que determinam o seu preço, assim como os modelos que permitem a avaliação das mesmas e a inferência da taxa de retorno esperada por um investidor. A avaliação das acções é o tema de maior importância para esta análise, mais concretamente, a determinação e previsão do preço, e não apenas o preço propriamente dito, pois este é facultado diáriamente por vários jornais e também na internet. Perante o estudo da determinação de preços de uma acção num horizonte temporal, um investidor pode inferir se as suas acções estão a ser avaliadas sob um preço justo, e mais importante, pode apurar a sua previsão consoante dados e análises de factores. Outro ponto importante abordado nesta investigação tem que ver com a possibilidade das empresas em conhecer o modo como o mercado faz a sua avaliação a fim de tomar decisões certas acerca do orçamento de capital. Apenas se deve julgar a atractividade de um negócio se se souber como são avaliadas as acções. Nos mercados financeiros existe a tendência, por parte dos agentes económicos, de relacionarem o preço com o valor dos títulos financeiros. As decisões para a transacção de títulos financeiros são tomadas segundo a sua comparação. O preço ou cotação de mercado é formado em mercados organizados, pelo que depende das regras de funcionamento do mercado, tais como, os mínimos para transacção ou a variação máxima e mínima permitida. Estão associados a uma transação dependendo assim da procura e oferta dos títulos e incorporam ainda os custos de transacção. A ideia subjacente ao modelo Capital Asset Pricing Model é a de que, os investidores esperam uma recompensa pela preocupação dos investimentos realizados com risco ou com um retorno incerto. Quando se investe em títulos com risco, espera-se um retorno extra (comparando com os Bilhetes do Tesouro sem risco, recebe-se apenas os juros) ou um prémio de risco pela preocupação. A incerteza no retorno dos títulos provem de duas fontes, nomeadamente os factores macroeconómicos, pode-se chamar também, um factor comum, e os factores específicos inerentes à actividade da empresa. O facto comum é assumido como tendo um valor esperado zero pois é medido por nova informação respeitante à macroeconomia. O modelo assume duas ideias fundamentais: em primeiro lugar, existe consenso em relação ao facto dos investidores exigirem um retorno adicional por correrem riscos, e em segundo lugar, os investidores preocupam-se geralmente com o risco de mercado geral que não pode ser eliminado através de diversificação da carteira de investimentos. Este modelo pode ser bastante eficaz pois apenas considera um único factor para o cálculo da rendibilidade esperada de um título financeiro, que é a volatilidade do mercado no geral, a qual pode ser estudada. Ao contrário dos modelos multifactoriais, que incluem vários factores macroeconómicos tornando o objectivo da análise pouco intuitivo e complexo. Existem vários modelos para avaliação dos títulos de uma empresa cotada em bolsa de valores, geralmente estes modelos utilizam taxas de juro sem risco para equilibrar carteiras diversificadas, embora seja necessário analisar o retorno de um título ou carteira sob a influência de diversas variáveis macroeconómicas. Por exemplo outro modelo aplicado neste dissertação é o modelo Arbitrage Pricing Theory que perante o seu resultado comparado com o primeiro modelo, se pode definir qual dos modelos tem uma aplicação mais conclusiva para o mercado accionista português. Este modelo de avaliação por arbitragem estabelece uma relação linear entre o excedente do retorno esperado dos activos face à taxa de juro certa (sem risco) e um conjunto de variáveis. Pressupõe que a taxa de rentabilidade de um activo com risco é uma função linear de um conjunto de factores comuns a todos os activos financeiros. Tem como ideia subjacente, a constituição de uma carteira de não arbitragem, ou seja, uma carteira que não envolve qualquer risco (sistemático ou específico) e não requer investimento inicial pois a venda de certos activos gera fundos para adquirir novos. A metodologia implementada abrange o mercado financeiro e modelos possíveis para esta questão. Para responder às hipóteses de investigação efectuou-se a aplicação efectiva do modelo CAPM e do modelo APT, com a captação de dados oficiais em instituições financeiras e na Bolsa de Valores NYSE Euronext Lisbon. Considerou-se um período temporal num passado próximo de forma a poder obter-se conclusões concretas e indicadores precisos para a sua implementação e desenvolvimento no futuro. A principal conclusão desta dissertação relaciona-se com o facto de não se verificar a total validação da aplicação dos modelos, contudo o modelo CAPM é mais conclusivo do que o modelo APT, pois pode-se afirmar que tem aplicação prática em empresas que se conheça à priori a sua capitalização bolsista e beta anual. Por exemplo, aos títulos financeiros de empresas com capitalizações bolsistas inferiores a cinco mil milhões de euros e com um beta anual inferior a 1 poderá aplicar-se o modelo, assim como a títulos de empresas com capitalizações bolsistas superiores a dez mil milhões de euros e beta anual superior 1,5. Os sectores da Banca e do Papel também poderão ter potencial de aplicação do modelo.

Age model and ostracod countings from IODP Site 306-U1314

We present a detailed study of glacial/interglacial deep sea benthic ostracod assemblage variability at IODP Site U1314 (subpolar North Atlantic) in relation to the history of ice-rafting events and changes in deep ocean circulation over the past 170 ky. Our records of ostracod diversity, abundance and dissolution and sediment properties (IRD and CaCO3) show an excellent correspondence to high amplitude orbital and millennial variability observed in the climate records (d13C and d18O) from neighboring deep water sites, suggesting that the benthic meiofauna fluctuates synchronously with the prevailing oceanographic conditions (surface ocean conditions, deep ocean circulation and water temperature and food flux). Krithe (dominant), Argilloecia and Cytheropteron are the most abundant and diverse genera in association with Rockallia enigmatica. Three ostracod assemblages are recognized. The genera Pennyella, Argilloecia, Pelecocythere, Ambocythere, Pseudobosquetina, Bradleya and Nannocythere are associated with interglacials and interstadials, and possibly reflect increased flux of food to the sediments and more vigorous NADW formation. A transitional assemblage composed of species of Cytheropteron, Xestoleberis and Eucythere is restricted to climatic transitions and indicate moderate environmental conditions and seasonal productivity. A glacial/stadial assemblage is characterized by a temporal predominance of either intermediate-depth and shallow water Arctic/subarctic species (belonging to Cytheropteron, Polycope, Pedicythere, Swainocythere, Cluthia, Heterocyprideis, Elofsonella and Finmarchinella) or abyssal North Atlantic ostracods (Bythocythere, Dutoitella, Bathycythere and Bythocypris). The influx of high latitude taxa can be partially explained by ice-rafting, but may also represent a shift of the location of intermediate and deep water convection to the area south of Iceland. Therefore the combination of species characteristic of different watermasses during glacials may reflect shifts in the influence of high nutrient southern source water (e.g. AABW) vs. low nutrient GNAIW during glacials.

Spatial and temporal characteristics of summer precipitation over Central Europe in a suite of high-resolution climate models

High-impact, localized intense rainfall episodes represent a major socio-economic problem for societies worldwide, and at the same time these events are notoriously difficult to simulate properly in climate models. Here, the authors investigate how horizontal resolution and model formulation influence this issue by applying the HARMONIE regional climate model (HCLIM) with three different setups; two using convection parameterization at 15 and 6.25 km horizontal resolution (the latter within the “grey-zone” scale), with lateral boundary conditions provided by ERA-Interim reanalysis and integrated over a pan-European domain, and one with explicit convection at 2 km resolution (HCLIM2) over the Alpine region driven by the 15 km model. Seven summer seasons were sampled and validated against two high-resolution observational data sets. All HCLIM versions underestimate the number of dry days and hours by 20-40%, and overestimate precipitation over the Alpine ridge. Also, only modest added value were found of “grey-zone” resolution. However, the single most important outcome is the substantial added value in HCLIM2 compared to the coarser model versions at sub-daily time scales. It better captures the local-to-regional spatial patterns of precipitation reflecting a more realistic representation of the local and meso-scale dynamics. Further, the duration and spatial frequency of precipitation events, as well as extremes, are closer to observations. These characteristics are key ingredients in heavy rainfall events and associated flash floods, and the outstanding results using HCLIM in convection-permitting setting are convincing and encourage further use of the model to study changes in such events in changing climates.

High-resolution dynamical downscaling products for the North Slope of Alaska and surrounding areas, links to model result files

Climatic changes are most pronounced in northern high latitude regions. Yet, there is a paucity of observational data, both spatially and temporally, such that regional-scale dynamics are not fully captured, limiting our ability to make reliable projections. In this study, a group of dynamical downscaling products were created for the period 1950 to 2100 to better understand climate change and its impacts on hydrology, permafrost, and ecosystems at a resolution suitable for northern Alaska. An ERA-interim reanalysis dataset and the Community Earth System Model (CESM) served as the forcing mechanisms in this dynamical downscaling framework, and the Weather Research & Forecast (WRF) model, embedded with an optimization for the Arctic (Polar WRF), served as the Regional Climate Model (RCM). This downscaled output consists of multiple climatic variables (precipitation, temperature, wind speed, dew point temperature, and surface air pressure) for a 10 km grid spacing at three-hour intervals. The modeling products were evaluated and calibrated using a bias-correction approach. The ERA-interim forced WRF (ERA-WRF) produced reasonable climatic variables as a result, yielding a more closely correlated temperature field than precipitation field when long-term monthly climatology was compared with its forcing and observational data. A linear scaling method then further corrected the bias, based on ERA-interim monthly climatology, and bias-corrected ERA-WRF fields were applied as a reference for calibration of both the historical and the projected CESM forced WRF (CESM-WRF) products. Biases, such as, a cold temperature bias during summer and a warm temperature bias during winter as well as a wet bias for annual precipitation that CESM holds over northern Alaska persisted in CESM-WRF runs. The linear scaling of CESM-WRF eventually produced high-resolution downscaling products for the Alaskan North Slope for hydrological and ecological research, together with the calibrated ERA-WRF run, and its capability extends far beyond that. Other climatic research has been proposed, including exploration of historical and projected climatic extreme events and their possible connections to low-frequency sea-atmospheric oscillations, as well as near-surface permafrost degradation and ice regime shifts of lakes. These dynamically downscaled, bias corrected climatic datasets provide improved spatial and temporal resolution data necessary for ongoing modeling efforts in northern Alaska focused on reconstructing and projecting hydrologic changes, ecosystem processes and responses, and permafrost thermal regimes. The dynamical downscaling methods presented in this study can also be used to create more suitable model input datasets for other sub-regions of the Arctic.

A genetic two-factor model of the covariation among a subset of Multidimensional Aptitude Battery and Wechsler Adult Intelligence Scale - Revised subtests

The phenotypic and genetic factor structure of performance on five Multidimensional Aptitude Battery (MAB) subtests and one Wechsler Adult Intelligence Scale-Revised (WAIS-R) subtest was explored in 390 adolescent twin pairs (184 monozygotic [MZ]; 206 dizygotic (DZ)). The temporal stability of these measures was derived from a subsample of 49 twin pairs, with test-retest correlations ranging from .67 to .85. A phenotypic factor model, in which performance and verbal factors were correlated, provided a good fit to the data. Genetic modeling was based on the phenotypic factor structure, but also took into account the additive genetic (A), common environmental (C), and unique environmental (E) parameters derived from a fully saturated ACE model. The best fitting model was characterized by a genetic correlated two-factor structure with specific effects, a general common environmental factor, and overlapping unique environmental effects. Results are compared to multivariate genetic models reported in children and adults, with the most notable difference being the growing importance of common genes influencing diverse abilities in adolescence. (C) 2003 Elsevier Inc. All rights reserved.

The Bazhanov-Stroganov model from 3D approach

We apply a three-dimensional approach to describe a new parametrization of the L-operators for the two-dimensional Bazhanov-Stroganov (BS) integrable spin model related to the chiral Potts model. This parametrization is based on the solution of the associated classical discrete integrable system. Using a three-dimensional vertex satisfying a modified tetrahedron equation, we construct an operator which generalizes the BS quantum intertwining matrix S. This operator describes the isospectral deformations of the integrable BS model.

Cognitive fit between conceptual schemas and internal problem representations: The case of geospatio-temporal conceptual schema comprehension

Geospatio-temporal conceptual models provide a mechanism to explicitly represent geospatial and temporal aspects of applications. Such models, which focus on both what and when/where, need to be more expressive than conventional conceptual models (e.g., the ER model), which primarily focus on what is important for a given application. In this study, we view conceptual schema comprehension of geospatio-temporal data semantics in terms of matching the external problem representation (that is, the conceptual schema) to the problem-solving task (that is, syntactic and semantic comprehension tasks), an argument based on the theory of cognitive fit. Our theory suggests that an external problem representation that matches the problem solver's internal task representation will enhance performance, for example, in comprehending such schemas. To assess performance on geospatio-temporal schema comprehension tasks, we conducted a laboratory experiment using two semantically identical conceptual schemas, one of which mapped closely to the internal task representation while the other did not. As expected, we found that the geospatio-temporal conceptual schema that corresponded to the internal representation of the task enhanced the accuracy of schema comprehension; comprehension time was equivalent for both. Cognitive fit between the internal representation of the task and conceptual schemas with geospatio-temporal annotations was, therefore, manifested in accuracy of schema comprehension and not in time for problem solution. Our findings suggest that the annotated schemas facilitate understanding of data semantics represented on the schema.

The displacement and strain field of three-dimensional rheologic model of earthquake preparation

Based on the three-dimensional elastic inclusion model proposed by Dobrovolskii, we developed a rheological inclusion model to study earthquake preparation processes. By using the Corresponding Principle in the theory of rheologic mechanics, we derived the analytic expressions of viscoelastic displacement U(r, t) , V(r, t) and W(r, t), normal strains epsilon(xx) (r, t), epsilon(yy) (r, t) and epsilon(zz) (r, t) and the bulk strain theta (r, t) at an arbitrary point (x, y, z) in three directions of X axis, Y axis and Z axis produced by a three-dimensional inclusion in the semi-infinite rheologic medium defined by the standard linear rheologic model. Subsequent to the spatial-temporal variation of bulk strain being computed on the ground produced by such a spherical rheologic inclusion, interesting results are obtained, suggesting that the bulk strain produced by a hard inclusion change with time according to three stages (alpha, beta, gamma) with different characteristics, similar to that of geodetic deformation observations, but different with the results of a soft inclusion. These theoretical results can be used to explain the characteristics of spatial-temporal evolution, patterns, quadrant-distribution of earthquake precursors, the changeability, spontaneity and complexity of short-term and imminent-term precursors. It offers a theoretical base to build physical models for earthquake precursors and to predict the earthquakes.

The temporal and spatial limits of compensation for fixational eye movements

High-fidelity eye tracking is combined with a perceptual grouping task to provide insight into the likely mechanisms underlying the compensation of retinal image motion caused by movement of the eyes. The experiments describe the covert detection of minute temporal and spatial offsets incorporated into a test stimulus. Analysis of eye motion on individual trials indicates that the temporal offset sensitivity is actually due to motion of the eye inducing artificial spatial offsets in the briefly presented stimuli. The results have strong implications for two popular models of compensation for fixational eye movements, namely efference copy and image-based models. If an efference copy model is assumed, the results place constraints on the spatial accuracy and source of compensation. If an image-based model is assumed then limitations are placed on the integration time window over which motion estimates are calculated. (c) 2006 Elsevier Ltd. All rights reserved.

Embedding defeasible logic into logic programming

Defeasible reasoning is a simple but efficient approach to nonmonotonic reasoning that has recently attracted considerable interest and that has found various applications. Defeasible logic and its variants are an important family of defeasible reasoning methods. So far no relationship has been established between defeasible logic and mainstream nonmonotonic reasoning approaches. In this paper we establish close links to known semantics of logic programs. In particular, we give a translation of a defeasible theory D into a meta-program P(D). We show that under a condition of decisiveness, the defeasible consequences of D correspond exactly to the sceptical conclusions of P(D) under the stable model semantics. Without decisiveness, the result holds only in one direction (all defeasible consequences of D are included in all stable models of P(D)). If we wish a complete embedding for the general case, we need to use the Kunen semantics of P(D), instead.

Extending the theory of Owicki and Gries with a logic of progress

This paper describes a logic of progress for concurrent programs. The logic is based on that of UNITY, molded to fit a sequential programming model. Integration of the two is achieved by using auxiliary variables in a systematic way that incorporates program counters into the program text. The rules for progress in UNITY are then modified to suit this new system. This modification is however subtle enough to allow the theory of Owicki and Gries to be used without change.