A study of stock market linkages between the US and frontier countries

My dissertation investigates the financial linkages and transmission of economic shocks between the US and the smallest emerging markets (frontier markets). The first chapter sets up an empirical model that examines the impact of US market returns and conditional volatility on the returns and conditional volatilities of twenty-one frontier markets. The model is estimated via maximum likelihood; utilizes the GARCH model of errors, and is applied to daily country data from the MSCI Barra. We find limited, but statistically significant exposure of Frontier markets to shocks from the US. Our results suggest that it is not the lagged US market returns that have impact; rather it is the expected US market returns that influence frontier market returns The second chapter sets up an empirical time-varying parameter (TVP) model to explore the time-variation in the impact of mean US returns on mean Frontier market returns. The model utilizes the Kalman filter algorithm as well as the GARCH model of errors and is applied to daily country data from the MSCI Barra. The TVP model detects statistically significant time-variation in the impact of US returns and low, but statistically and quantitatively important impact of US market conditional volatility. The third chapter studies the risk-return relationship in twenty Frontier country stock markets by setting up an international version of the intertemporal capital asset pricing model. The systematic risk in this model comes from covariance of Frontier market stock index returns with world returns. Both the systematic risk and risk premium are time-varying in our model. We also incorporate own country variances as additional determinants of Frontier country returns. Our results suggest statistically significant impact of both world and own country risk in explaining Frontier country returns. Time-variation in the world risk premium is also found to be statistically significant for most Frontier market returns. However, own country risk is found to be quantitatively more important.

Off-line and on-line affective recognition of a computer user through a biosignal processing approach

Physiological signals, which are controlled by the autonomic nervous system (ANS), could be used to detect the affective state of computer users and therefore find applications in medicine and engineering. The Pupil Diameter (PD) seems to provide a strong indication of the affective state, as found by previous research, but it has not been investigated fully yet. ^ In this study, new approaches based on monitoring and processing the PD signal for off-line and on-line affective assessment ("relaxation" vs. "stress") are proposed. Wavelet denoising and Kalman filtering methods are first used to remove abrupt changes in the raw Pupil Diameter (PD) signal. Then three features (PDmean, PDmax and PDWalsh) are extracted from the preprocessed PD signal for the affective state classification. In order to select more relevant and reliable physiological data for further analysis, two types of data selection methods are applied, which are based on the paired t-test and subject self-evaluation, respectively. In addition, five different kinds of the classifiers are implemented on the selected data, which achieve average accuracies up to 86.43% and 87.20%, respectively. Finally, the receiver operating characteristic (ROC) curve is utilized to investigate the discriminating potential of each individual feature by evaluation of the area under the ROC curve, which reaches values above 0.90. ^ For the on-line affective assessment, a hard threshold is implemented first in order to remove the eye blinks from the PD signal and then a moving average window is utilized to obtain the representative value PDr for every one-second time interval of PD. There are three main steps for the on-line affective assessment algorithm, which are preparation, feature-based decision voting and affective determination. The final results show that the accuracies are 72.30% and 73.55% for the data subsets, which were respectively chosen using two types of data selection methods (paired t-test and subject self-evaluation). ^ In order to further analyze the efficiency of affective recognition through the PD signal, the Galvanic Skin Response (GSR) was also monitored and processed. The highest affective assessment classification rate obtained from GSR processing is only 63.57% (based on the off-line processing algorithm). The overall results confirm that the PD signal should be considered as one of the most powerful physiological signals to involve in future automated real-time affective recognition systems, especially for detecting the "relaxation" vs. "stress" states.^

Modelagem semântica de processos industriais com aplicações

The main hypothesis of this thesis is that the deve lopment of industrial automation applications efficiently, you need a good structuri ng of data to be handled. Then, with the aim of structuring knowledge involved in the contex t of industrial processes, this thesis proposes an ontology called OntoAuto that conceptua lly models the elements involved in the description of industrial processes. To validat e the proposed ontology, several applica- tions are presented. In the first, two typical indu strial processes are modeled conceptually: treatment unit DEA (Diethanolamine) and kiln. In th e second application, the ontology is used to perform a semantic filtering alarms, which together with the analysis of correla- tions, provides temporal relationships between alar ms from an industrial process. In the third application, the ontology was used for modeli ng and analysis of construction cost and operation processes. In the fourth application, the ontology is adopted to analyze the reliability and availability of an industrial plant . Both for the application as it involves costs for the area of reliability, it was necessary to create new ontologies, and OntoE- con OntoConf, respectivamentem, importing the knowl edge represented in OntoAuto but adding specific information. The main conclusions of the thesis has been that on tology approaches are well suited for structuring the knowledge of industrial process es and based on them, you can develop various advanced applications in industrial automat ion.

Desenvolvimento de bionanocompósitos: nano e microcristais de celulose com poli (álcool vinílico) e poli (ácido lático)

This work has the main objective to obtain nano and microcrystals of cellulose, extracted from the pineapple leaf fibres (PALF), as reinforcement for the manufacture of biocomposite films with polymeric matrices of Poly(vinyl alcohol) (PVA) and Poly(lactic acid) (PLA). The polymer matrices and the nano and microcrystals of cellulose were characterised by means of TGA, FTIR and DSC. The analysis was performed on the pineapple leaves to identify the macro and micronutrients. The fibers of the leaves of the pineapple were extracted in a desfibradeira mechanical. The PALF extracted were washed to remove washable impurities and subsequently treated with sodium hydroxide (NaOH) and sodium hypochlorite (NaClO) in the removal of impurities, such as fat, grease, pectates, pectin and lignin. The processed PALF fibers were hydrolysed in sulfuric acid (H2SO4) at a concentration of 13.5 %, to obtain nano and microcrystals of cellulose. In the manufacture of biocomposite films, concentrations of cellulose, 0 %, 1 %, 3 %, 6 %, 9% and 12% were used as reinforcement to the matrices of PVA and PLA. The PVA was dissolved in distilled water at 80 ± 5 oC and the PLA was dissolved in dichloromethane at room temperature. The manufacture of biocompósitos in the form of films was carried out by "casting". Tests were carried out to study the water absorption by the films and mechanical test of resistance to traction according to ASTM D638-10 with a velocity of 50 mm/min.. Chi-square statistical test was used to check for the existence of significant differences in the level of 0.05: the lengths of the PALF, lengths of the nano and microcrystals of cellulose and the procedures used for the filtration using filter syringe of 0.2 μm or filtration and centrifugation. The hydrophilicity of biocompósitos was analysed by measuring the contact angle and the thickness of biocompósitos were compared as well as the results of tests of traction. Statistical T test - Student was also applied with the significance level (0.05). In biodegradation, Sturm test of standard D5209 was used. Nano and microcrystals of cellulose with lengths ranging from 7.33 nm to 186.17 nm were found. The PVA films showed average thicknesses of 0.153 μm and PLA 0.210 μm. There is a strong linear correlation directly proportional between the traction of the films of PVA and the concentration of cellulose in the films (composite) (0,7336), while the thickness of the film was correlated in 0.1404. Nano and microcrystals of cellulose and thickness together, correlated to 0.8740. While the correlation between the cellulose content and tensile strength was weak and inversely proportional (- 0,0057) and thickness in -0.2602, totaling -0,2659 in PLA films. This can be attributed to the nano and microcrystals of cellulose not fully adsorbed to the PLA matrix. In the comparison of the results of the traction of the two polymer matrices, the nano and microcrystals have helped in reducing the traction of the films (composite) of PLA. There was still the degradation of the film of PVA, within a period of 20 days, which was not seen in the PLA film, on the other hand, the observations made in the literature, the average time to start the degradation is above 60 days. What can be said that the films are biodegradable composites, with hydrophilicity and the nano and microcrystals of cellulose, contribute positively in the improvement of the results of polymer matrices used.

Projeto de absorvedores de micro-ondas integrados com superfícies seletivas em frequência

Considering the fact that, the use of wireless communication systems has grown too fast, investigations concerning absorbers of electromagnetic waves has called closer attention of researchers. It is applicable from indoor systems to military applications. Paralleling with this growth, some extremely relevant investigations through Frequency Selective Surfaces (FSS) allows its filter property to be applicable in several systems, for example: reflector antennas, band-pass radomes, and absorbers, which are the main objective of this work. Therefore, the main goal of this work concerns to design micro-waves absorbers through FSS. Thus, the methodology consists basically in two steps: the first step concerns a theoretical and numerical analysis of the structures involved in the process of absorption, the second step, the analysis of the cascaded structures. In order to carry out the analysis, the Equivalent Circuit Method will be used. This method provides characteristics of transmission from the structure, for a plane wave incidence and it requires an extremely limited computing resource in relation if compared to full wave analyses method. Hence, it is useful to allow fast predictions of the development of the structures. Furthermore, a spreading matrix will be used in order to cascade the conductive FSS and the resistive FSS achieving absorption characteristics in the designed band. The experimental results used for the analysis are found in the literature due to the difficulty of building soon, given that it is not a simple construction technique. To conclude, a mathematical development through the Equivalent Circuit Method of a FSS modeling with cross-dipole geometry and a resistive FSS will be presented, as well as the cascading involving the two structures. The same setting is used with a square loop geometry. Besides it, the next steps will be discussed in the conclusion.

Caracterização de superfícies seletivas de frequência de periódicas e não-periódicas

The past years have seen a great interest in the use of frequency selective surfaces (FSS), as spatial filters, in many microwave applications. Among these, we highlight applications in telecommunication systems (such as satellite communications and radar), high gain antennas (combined with planar antennas) and (home and industrial) microwave ovens. The FSS is usually composed of two-dimensional periodic arrays, with equally spaced elements, which may be metallic patches (printed on dielectric substrates) or aperture (holes in thin metal surfaces). Using periodic arrays, the FSS have been able to meet the demands of the telecommunications industry. However, new demands are finding technological limitations. In this context, adverse filtering requirements have forced designers to use FSS optimization methods to find specific formats of FSS elements. Another alternative that has been used to increase the selectivity of the FSS is the cascaded FSS, a simple technique that has as main drawback the increased dimensions of the structure, as well as its weight. This work proposes the development of a new class of selective surfaces frequency (FSS) composed of quasi-periodic (or non-periodic) arrangements. The proposed FSS have no array periodicity, in relation with the spatial position of their elements. The frequency responses of these structures were simulated using commercial softwares that implement full-wave methods. For the purpose of validation of this study, FSS prototypes were built and measured, being possible to observe a good agreement between simulated and measured results. The main conclusions of this work are presented, as well as suggestions for future works.

Um estudo sobre a variabilidade do vento no nordeste do Brasil através de métodos estatísticos e via modelos dinâmicos de meso e micro escala

The objective of this study was to determine the seasonal and interannual variability and calculate the trends of wind speed in NEB and then validate the mesoscale numerical model for after engage with the microscale numerical model in order to get the wind resource at some locations in the NEB. For this we use two data sets of wind speed (weather stations and anemometric towers) and two dynamic models; one of mesoscale and another of microscale. We use statistical tools to evaluate and validate the data obtained. The simulations of the dynamic mesoscale model were made using data assimilation methods (Newtonian Relaxation and Kalman filter). The main results show: (i) Five homogeneous groups of wind speed in the NEB with higher values in winter and spring and with lower in summer and fall; (ii) The interannual variability of the wind speed in some groups stood out with higher values; (iii) The large-scale circulation modified by the El Niño and La Niña intensified wind speed for the groups with higher values; (iv) The trend analysis showed more significant negative values for G3, G4 and G5 in all seasons and in the annual average; (v) The performance of dynamic mesoscale model showed smaller errors in the locations Paracuru and São João and major errors were observed in Triunfo; (vi) Application of the Kalman filter significantly reduce the systematic errors shown in the simulations of the dynamic mesoscale model; (vii) The wind resource indicate that Paracuru and Triunfo are favorable areas for the generation of energy, and the coupling technique after validation showed better results for Paracuru. We conclude that the objective was achieved, making it possible to identify trends in homogeneous groups of wind behavior, and to evaluate the quality of both simulations with the dynamic model of mesoscale and microscale to answer questions as necessary before planning research projects in Wind-Energy area in the NEB

Foraminíferos como ferramenta de estudo na geologia ambiental do estuário do Rio Potengi e da plataforma interna, RN, Brasil

The Potengi River estuary has been affected by various anthropogenic factors over the years, as periodic dredging, industrial and domestic waste, traffic and other factors, causing various environmental disasters, including the notorious ecological accident in July 2007, which covered the municipalities of São Gonçalo do Amarante, Macaíba and Natal. Foraminifera serve as viable study tools in these environments; they are able to identify ecologically stressed environments, pointing out hydrographic changes and depositional environments in estuaries. The necessity to check the differences in environmental gradients in places anthropically impacted in Potengi River and adjacent inner shelf through species of foraminifera, and, the responses of these organisms to physical, chemical and geological factors is to provide baseline in the diagnosis of environments. The results show the dominance of opportunistic Ammonia tepida, Bolivina striatula, Quinqueloculina patagonica and Q. miletti especially in regions close to shrimp farms and Baldo Channel sewage in fine grain environments; and Q. lamarckiana indicates penetration of the saline waters in Potengi River. The occurrence of low-salinity tolerant foraminiferal species typical of mangrove environments as Trochammina inflata and T. squamata in Potengi River Channel suggest they probably could have been transported from mangrove area near the Potengi river mouth to the inner shelf regions. These findings suggest Potengi River is able to export mixohaline and mangrove organisms to inner shelf. Two distinct environments were observed, the outermost area is more influenced by marine influence and the innermost area is less influenced. Calcareous and agglutinated species dominate Potengi River, while mouth and inner shelf areas are dominated by calcareous, agglutinated and porcelaneous species, which are typical of highly saline and hydrodynamic environments and the contributive factors that controls foraminiferal distribution were balance of marine and freshwater currents, grain size, availability of CaCO3 and organic matter.

Foraminíferos como ferramenta de estudo na geologia ambiental do estuário do Rio Potengi e da plataforma interna, RN, Brasil

The Potengi River estuary has been affected by various anthropogenic factors over the years, as periodic dredging, industrial and domestic waste, traffic and other factors, causing various environmental disasters, including the notorious ecological accident in July 2007, which covered the municipalities of São Gonçalo do Amarante, Macaíba and Natal. Foraminifera serve as viable study tools in these environments; they are able to identify ecologically stressed environments, pointing out hydrographic changes and depositional environments in estuaries. The necessity to check the differences in environmental gradients in places anthropically impacted in Potengi River and adjacent inner shelf through species of foraminifera, and, the responses of these organisms to physical, chemical and geological factors is to provide baseline in the diagnosis of environments. The results show the dominance of opportunistic Ammonia tepida, Bolivina striatula, Quinqueloculina patagonica and Q. miletti especially in regions close to shrimp farms and Baldo Channel sewage in fine grain environments; and Q. lamarckiana indicates penetration of the saline waters in Potengi River. The occurrence of low-salinity tolerant foraminiferal species typical of mangrove environments as Trochammina inflata and T. squamata in Potengi River Channel suggest they probably could have been transported from mangrove area near the Potengi river mouth to the inner shelf regions. These findings suggest Potengi River is able to export mixohaline and mangrove organisms to inner shelf. Two distinct environments were observed, the outermost area is more influenced by marine influence and the innermost area is less influenced. Calcareous and agglutinated species dominate Potengi River, while mouth and inner shelf areas are dominated by calcareous, agglutinated and porcelaneous species, which are typical of highly saline and hydrodynamic environments and the contributive factors that controls foraminiferal distribution were balance of marine and freshwater currents, grain size, availability of CaCO3 and organic matter.

Preparação de catalisadores para reações de esterificação do ácido oleico baseados em matrizes polímericas sulfonadas POLI(1- FENILETILENO) (PS) e POLI(1-CLOROETILENO) (PVC)

Chemical modification of polymer matrices is an alternative way to change its surface properties. The introduction of sulfonic acid groups in polymer matrices alter properties such as adhesion, wettability, biocampatibility, catalytic activity, among others. This paper describes the preparation of polymeric solid acid based on the chemical modification of poly (1-fenietileno) (PS) and Poly (1-chloroethylene) (PVC) by the introduction of sulfonic acid groups and the application of these polymers as catalysts in the esterification reaction of oleic acid with methanol. The modified materials were characterized by Infrared Spectroscopy, Elemental Analysis and titration acid-base of the acid groups. All techniques confirmed the chemical changes and the presence of sulfur associated with sulfonic acid groups or sulfates. The modified polymers excellent performance in the esterification reaction of oleic acid with methanol a degree of conversion higher than 90% for all investigated polymers (modified PS and PVC (5% w / w)), with a mass ratio of oleic acid: methanol 1:10 to 100 ° C. The best performance was observed for the modified PVC catalyst (PVCS) which showed low degree of swelling during the reactions is recovered by filtration different from that observed for polystyrene sulfonate (PSS). Given these facts, the PVCS was employed as a catalyst in the esterification reaction of oleic acid in different times and different temperatures to obtain the kinetic parameters of the reaction. Experimental data show a great fit for pseudo-homogeneous model of second order and activation energy value of 41.12 kJ mol -1, below that found in the literature for the uncatalyzed reaction, 68.65 kJ mol -1 .The PVCS exhibits good catalytic activity for 3 times of reuse, with a slight decrease in the third cycle, but with a conversion of about 78%. The results show that solid polymeric acid has good chemical stability for the application in esterification reaction of commercial importance with possible application in the biodiesel production. The advantages in use of this system are the increased reaction rate at about 150 times, at these test conditions, the replacement of sulfuric acid as a catalyst for this being the most corrosive and the possibility of reuse of the polymer for several cycles.

Personalidade e sua relação com transtornos de ansiedade e de humor: Uma análise da produção científica brasileira na abordagem cognitivo-comportamental

Personality is one of the most controversial and intriguing theme in Psychology. In a general way, it could be understood as a set of rigid patters of feelings, thoughts, and behaviors from an individual. The aim of this investigation was describe how Brazilian researches in Psychology that use cognitive, behavioral, and cognitive-behavioral therapy referential have been approaching the subject Personality in their work. We also intended to determine the frequency of publications on Personality Disorders to compare this data with the bibliographical production on Anxiety and Mood Disorders. Moreover, we tried to describe how the Personality construct - and even Personality Disorders construct - has been addressed in the work on the Anxiety and Mood Disorders chosen for this review. The PePSIC Periódicos Eletrônicos em Psicologia - e SciELO.ORG - Scientific Electronic Library Online - databases were used for research. We investigated 53 journals, including two specific Cognitive Therapies and Behavioral-Cognitive Therapy (TCC) periodicals. Within each journal, we undertook a systematic survey on publications on the themes: Personality, Personality Disorder, Panic Disorder, Social Phobia, Obsessive-Compulsive Disorder (OCD), Generalized Anxiety Disorder, Major Depression, Dysthymia and Bipolar Disorder. A preliminary research has resulted in 218 articles. A second filter has obtained 81 articles in which we the focused on this review. There were found thirty-eight articles on Anxiety Disorders, twenty-five on Mood Disorders and eighteen on Personality Disorders. It was found that 90% of the papers on Anxiety Disorders make no reference to the term Personality or make it in a discrete way. This number rises to 96% to Personality Disorder group. Analyzing the specific journals on TCC we verified that 97% of the articles on Anxiety and Humor disorders do not cite the term Personality or cite but not explore it. This results point to the low rate of studies addressing the Personality and personality disturbs. Then, we can suggest that the difficulty on treating this Axis II disturbs has been worsened by lack of knowledge produced on the subject, either for lack of interest among researchers or because of the methodological obstacles found on this field.

An adaptive motion model for person tracking with instantaneous head-pose features

This letter presents novel behaviour-based tracking of people in low-resolution using instantaneous priors mediated by head-pose. We extend the Kalman Filter to adaptively combine motion information with an instantaneous prior belief about where the person will go based on where they are currently looking. We apply this new method to pedestrian surveillance, using automatically-derived head pose estimates, although the theory is not limited to head-pose priors. We perform a statistical analysis of pedestrian gazing behaviour and demonstrate tracking performance on a set of simulated and real pedestrian observations. We show that by using instantaneous `intentional' priors our algorithm significantly outperforms a standard Kalman Filter on comprehensive test data.

Improved Real-time State-of-Charge Estimation of LiFePO4 Battery Based on a Novel Thermoelectric Model

Li-ion batteries have been widely used in electric vehicles, and battery internal state estimation plays an important role in the battery management system. However, it is technically challenging, in particular, for the estimation of the battery internal temperature and state-ofcharge (SOC), which are two key state variables affecting the battery performance. In this paper, a novel method is proposed for realtime simultaneous estimation of these two internal states, thus leading to a significantly improved battery model for realtime SOC estimation. To achieve this, a simplified battery thermoelectric model is firstly built, which couples a thermal submodel and an electrical submodel. The interactions between the battery thermal and electrical behaviours are captured, thus offering a comprehensive description of the battery thermal and electrical behaviour. To achieve more accurate internal state estimations, the model is trained by the simulation error minimization method, and model parameters are optimized by a hybrid optimization method combining a meta-heuristic algorithm and the least square approach. Further, timevarying model parameters under different heat dissipation conditions are considered, and a joint extended Kalman filter is used to simultaneously estimate both the battery internal states and time-varying model parameters in realtime. Experimental results based on the testing data of LiFePO4 batteries confirm the efficacy of the proposed method.

Real-Time Visual SLAM Using Pre - Existing Floor Lines as Landmarks and a Single Camera

SANTANA, André M.; SANTIAGO, Gutemberg S.; MEDEIROS, Adelardo A. D. Real-Time Visual SLAM Using Pre-Existing Floor Lines as Landmarks and a Single Camera. In: CONGRESSO BRASILEIRO DE AUTOMÁTICA, 2008, Juiz de Fora, MG. Anais... Juiz de Fora: CBA, 2008.