Constructing good deals in discrete time arbitrage-free dynamic pricing models

Recent literature has proved that many classical pricing models (Black and Scholes, Heston, etc.) and risk measures (V aR, CV aR, etc.) may lead to “pathological meaningless situations”, since traders can build sequences of portfolios whose risk leveltends to −infinity and whose expected return tends to +infinity, i.e., (risk = −infinity, return = +infinity). Such a sequence of strategies may be called “good deal”. This paper focuses on the risk measures V aR and CV aR and analyzes this caveat in a discrete time complete pricing model. Under quite general conditions the explicit expression of a good deal is given, and its sensitivity with respect to some possible measurement errors is provided too. We point out that a critical property is the absence of short sales. In such a case we first construct a “shadow riskless asset” (SRA) without short sales and then the good deal is given by borrowing more and more money so as to invest in the SRA. It is also shown that the SRA is interested by itself, even if there are short selling restrictions.

A multidimensional scaling analysis of musical sounds based on pseudo phase plane

This paper studies musical opus from the point of view of three mathematical tools: entropy, pseudo phase plane (PPP), and multidimensional scaling (MDS). The experiments analyze ten sets of different musical styles. First, for each musical composition, the PPP is produced using the time series lags captured by the average mutual information. Second, to unravel hidden relationships between the musical styles the MDS technique is used. The MDS is calculated based on two alternative metrics obtained from the PPP, namely, the average mutual information and the fractal dimension. The results reveal significant differences in the musical styles, demonstrating the feasibility of the proposed strategy and motivating further developments towards a dynamical analysis of musical sounds.

Reliability of nasal auscultation and their relation to middle ear condition – a clinical interest to pediatrics respiratory physiotherapy

Background: Acute respiratory infections are usual in children under three years old occurring in upper respiratory tract, having an impact on child and caregiver’s quality of life predisposing to otitis media or bronchiolitis. There are few valid and reliable measures to determine the child’s respiratory condition and to guide the physiotherapy intervention. Aim: To assess the intra and inter rater reliability of nasal auscultation, to analyze the relation between sounds’ classification and middle ear’s pressure and compliance as well as with the Clinical Severity Score. Methods: A cross-sectional observational study was composed by 125 nursery children aged up to three years old. Tympanometry, pulmonary and nasal auscultation and application of Clinical Severity Score were performed to each child. Nasal auscultation sounds’ were recorded and sent to 3 blinded experts, that classified, as “obstructed” and “unobstructed”, with a 48 hours interval, in order to analyze inter and intra rater reliability. Results: Nasal auscultation revealed a substantial inter and intra rater reliability (=0,749 and evaluator A - K= 0,691; evaluator B - K= 0,605 and evaluator C - K= 0,724, respectively). Both ears’ pressure was significantly lower in children with an "unobstructed" nasal sound when compared with an “obstructed” nasal sound (t=-3,599, p<0,001 in left ear; t=-2,258, p=0,026 in right ear). Compliance in both ears was significantly lower in children with an "obstructed" nasal sound when compared with “unobstructed” nasal sound (t=-2,728, p=0,007 in left ear; t=-3,830, p<0,001 in right ear). There was a statistically significant association between sounds’ classification and tympanograms types in both ear’s (=11,437, p=0,003 in left ear; =13,535, p=0,001 in right ear). There was a trend to children with an "unobstructed" nasal sound that had a lower clinical severity score when compared with “obstructed” children. Conclusion: It was observed a good intra and substantial inter reliability for nasal auscultation. Nasal auscultation sounds’ classification was related to middle ears’ pressure and compliance.

Differences in Mismatch Negativity (MMN) response to Pure-tone and Speech sounds in normal subjects: an additional explanation

The relation of automatic auditory discrimination, measured with MMN, with the type of stimuli has not been well established in the literature, despite its importance as an electrophysiological measure of central sound representation. In this study, MMN response was elicited by pure-tone and speech binaurally passive auditory oddball paradigm in a group of 8 normal young adult subjects at the same intensity level (75 dB SPL). The frequency difference in pure-tone oddball was 100 Hz (standard = 1 000 Hz; deviant = 1 100 Hz; same duration = 100 ms), in speech oddball (standard /ba/; deviant /pa/; same duration = 175 ms) the Portuguese phonemes are both plosive bi-labial in order to maintain a narrow frequency band. Differences were found across electrode location between speech and pure-tone stimuli. Larger MMN amplitude, duration and higher latency to speech were verified compared to pure-tone in Cz and Fz as well as significance differences in latency and amplitude between mastoids. Results suggest that speech may be processed differently than non-speech; also it may occur in a later stage due to overlapping processes since more neural resources are required to speech processing.

Provably good scheduling of sporadic tasks with resource sharing on a two-type heterogeneous multiprocessor platform

Consider the problem of scheduling a set of implicit-deadline sporadic tasks to meet all deadlines on a two-type heterogeneous multiprocessor platform where a task may request at most one of |R| shared resources. There are m1 processors of type-1 and m2 processors of type-2. Tasks may migrate only when requesting or releasing resources. We present a new algorithm, FF-3C-vpr, which offers a guarantee that if a task set is schedulable to meet deadlines by an optimal task assignment scheme that only allows tasks to migrate when requesting or releasing a resource, then FF-3Cvpr also meets deadlines if given processors 4+6*ceil(|R|/min(m1,m2)) times as fast. As far as we know, it is the first result for resource sharing on heterogeneous platforms with provable performance.

A conjecture about provably good task assignment on heterogeneous multiprocessor platforms but with a stronger adversary

Consider the problem of scheduling a set of implicit-deadline sporadic tasks to meet all deadlines on a heterogeneous multiprocessor platform. We use an algorithm proposed in [1] (we refer to it as LP-EE) from state-of-the-art for assigning tasks to heterogeneous multiprocessor platform and (re-)prove its performance guarantee but for a stronger adversary.We conjecture that if a task set can be scheduled to meet deadlines on a heterogeneous multiprocessor platform by an optimal task assignment scheme that allows task migrations then LP-EE meets deadlines as well with no migrations if given processors twice as fast. We illustrate this with an example.

Provably good task assignment on heterogeneous multiprocessor platforms for a restricted case but with a stronger adversary

Consider the problem of scheduling a set of implicit-deadline sporadic tasks to meet all deadlines on a heterogeneous multiprocessor platform. We consider a restricted case where the maximum utilization of any task on any processor in the system is no greater than one. We use an algorithm proposed in [1] (we refer to it as LP-EE) from state-of-the-art for assigning tasks to heterogeneous multiprocessor platform and (re-)prove its performance guarantee for this restricted case but for a stronger adversary. We show that if a task set can be scheduled to meet deadlines on a heterogeneous multiprocessor platform by an optimal task assignment scheme that allows task migrations then LP-EE meets deadlines as well with no migrations if given processors twice as fast.

Provably good multiprocessor scheduling with resource sharing

We present a 12(1 + 3R/(4m)) competitive algorithm for scheduling implicit-deadline sporadic tasks on a platform comprising m processors, where a task may request one of R shared resources.

Analysis and recognition of similar environmental sounds

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Engenharia Informática

Letter names and sounds: their implications for the phonetisation process

Our aim was to analyse the impact of the characteristics of words used in spelling programmes and the nature of instructional guidelines on the evolution from grapho-perceptive writing to phonetic writing in preschool children. The participants were 50 5-year-old children, divided in five equivalent groups in intelligence, phonological skills and spelling. All the children knew the vowels and the consonants B, D, P, R, T, V, F, M and C, but didn’t use them on spelling. Their spelling was evaluated in a pre and post-test with 36 words beginning with the consonants known. In-between they underwent a writing programme designed to lead them to use the letters P and T to represent the initial phonemes of words. The groups differed on the kind of words used on training (words whose initial syllable matches the name of the initial letter—Exp. G1 and Exp. G2—versus words whose initial syllable is similar to the sound of the initial letter—Exp. G3 and Exp. G4). They also differed on the instruction used in order to lead them to think about the relations between the initial phoneme of words and the initial consonant (instructions designed to make the children think about letter names—Exp. G1 and Exp. G3 —versus instructions designed to make the children think about letter sounds—Exp. G2 and Exp. G4). The 5th was a control group. All the children evolved to syllabic phonetisations spellings. There are no differences between groups at the number of total phonetisations but we found some differences between groups at the quality of the phonetisations.

Characterisation of adventitious lung sounds in people with dementia

Introduction: Lower Respiratory Tract Infections (LRTIs) are highly prevalent in institutionalised people with dementia, constituting an important cause of morbidity and mortality. Computerised auscultation of Adventitious Lung Sounds (ALS) has shown to be objective and reliable to assess and monitor respiratory diseases, however its application in people with dementia is unknown. Aim: This study characterised ALS (crackles and wheezes) in institutionalised people with dementia. Methods: An exploratory descriptive study, including 6 long-term care institutions was conducted. The sample included a dementia group (DG) of 30 people with dementia and a match healthy group (HG) of 30 elderly people. Socio-demographic and anthropometric data, cognition, type and severity of dementia, cardio-respiratory parameters, balance, mobility and activities and participation were collected. Lung sounds were recorded with a digital stethoscope following Computerised Respiratory Sound Analysis (CORSA) guidelines. Crackles’ location, number (N), frequency (F), two-cycle duration (2CD), initial deflection width (IDW) and largest deflection width (LDW) and wheezes’ number (N), ratio (R) and frequency (F) were analysed per breathing phase. Statistical analyses were performed using PASW Statistics(v.19). Results: There were no significant differences between the two groups in relation to the mean N of crackles during inspiration and expiration in both trachea and thorax. DG trachea crackles had significant higher F during inspiration and lower IDW, 2CD and LDW during expiration when compared with HG. At the thorax, the LDW during inspiration was also significantly lower in the DG. A significant higher N of inspiratory wheezes was found in the HG. Both groups had a low ratio of high frequency wheezes. Conclusion: Computerised analyses of ALS informed on the respiratory system and function of people with dementia and elderly people. Hence, this could be the step towards prevention, early diagnosis and continuous monitoring of respiratory diseases in people with cognitive impairment.

Provably Good Task Assignment for Two-Type Heterogeneous Multiprocessors Using Cutting Planes

Consider scheduling of real-time tasks on a multiprocessor where migration is forbidden. Specifically, consider the problem of determining a task-to-processor assignment for a given collection of implicit-deadline sporadic tasks upon a multiprocessor platform in which there are two distinct types of processors. For this problem, we propose a new algorithm, LPC (task assignment based on solving a Linear Program with Cutting planes). The algorithm offers the following guarantee: for a given task set and a platform, if there exists a feasible task-to-processor assignment, then LPC succeeds in finding such a feasible task-to-processor assignment as well but on a platform in which each processor is 1.5 × faster and has three additional processors. For systems with a large number of processors, LPC has a better approximation ratio than state-of-the-art algorithms. To the best of our knowledge, this is the first work that develops a provably good real-time task assignment algorithm using cutting planes.

Vibrios among patients of good socioeconomic conditions during the cholera epidemic in Recife, Brazil

Between March and July, 1992, we screened for Vibrio all fecal samples submitted for bacteriologic diagnosis at a private clinical laboratory in Recife. Of 1435 cultures examined only 1 (0.07%) was positive for V.cholerae 01, biovar Eltor, serovar Inaba, but 17 (1.2%) yielded non-cholera Vibrio (V.cholerae non-01; V.fluvialis; V.furnissii, V.parahaemolyticus and Vibrio spp). Thus, V.cholerae 01, differently of other enteropathogenic vibrios, spared individuals of good socioeconomic conditions even during the cholera epidemic, which made hundreds of victims in the neighboring slums.

The Vasco da Gama Bridge on the Tagus Estuary: A paradigm of bad decision making, but good post-evaluation

World Transport Policy & Practice, Vol.6, nº2, (2000)