On the robustness of short-term interest rate models

This paper investigates the robustness of a range of short–term interest rate models. We examine the robustness of these models over different data sets, time periods, sampling frequencies, and estimation techniques. We examine a range of popular one–factor models that allow the conditional mean (drift) and conditional variance (diffusion) to be functions of the current short rate. We find that parameter estimates are highly sensitive to all of these factors in the eight countries that we examine. Since parameter estimates are not robust, these models should be used with caution in practice.

Capillaries within compartments: Microvascular interpretation of dynamic positron emission tomography data

Measurement of exchange of substances between blood and tissue has been a long-lasting challenge to physiologists, and considerable theoretical and experimental accomplishments were achieved before the development of the positron emission tomography (PET). Today, when modeling data from modern PET scanners, little use is made of earlier microvascular research in the compartmental models, which have become the standard model by which the vast majority of dynamic PET data are analysed. However, modern PET scanners provide data with a sufficient temporal resolution and good counting statistics to allow estimation of parameters in models with more physiological realism. We explore the standard compartmental model and find that incorporation of blood flow leads to paradoxes, such as kinetic rate constants being time-dependent, and tracers being cleared from a capillary faster than they can be supplied by blood flow. The inability of the standard model to incorporate blood flow consequently raises a need for models that include more physiology, and we develop microvascular models which remove the inconsistencies. The microvascular models can be regarded as a revision of the input function. Whereas the standard model uses the organ inlet concentration as the concentration throughout the vascular compartment, we consider models that make use of spatial averaging of the concentrations in the capillary volume, which is what the PET scanner actually registers. The microvascular models are developed for both single- and multi-capillary systems and include effects of non-exchanging vessels. They are suitable for analysing dynamic PET data from any capillary bed using either intravascular or diffusible tracers, in terms of physiological parameters which include regional blood flow. (C) 2003 Elsevier Ltd. All rights reserved.

Differences in mouse strain influence leukocyte and immunoglobulin phenotype response to Porphyromonas gingivalis

This study examined the nature of the infiltrating cells in Porphyromonas gingivalis-induced lesions and immunoglobulins in the serum samples of BALB/c (H-2(d)), C57BL6 (H-2(b)), DBA/2J (H-2(d)) and CBA/CaH (H-2(k)) mice. Mice were immunized intraperitoneally with P. gingivalis outer membrane antigens or sham-immunized with phosphate-buffered saline followed by subcutaneous challenge with live organisms 1 week after the final immunization. The resulting skin abscesses were excised 7 days later, cryostat sections cut and an immunoperoxidase method used to detect the presence of CD4(+) and CD8(+) T-cell subsets, CD14(+) macrophages and CD19(+) B cells. Peroxidase positive neutrophils and IgG1- and IgG2a-producing plasma cells were also identified. Anti P. gingivalis IgG1 and IgG2a subclass antibodies were determined in serum obtained by cardiac puncture. Very few CD8(+) T cells and CD19(+) B cells were found in any of the lesions. The percentages of CD4(+) cells, CD14(+) cells and neutrophils were similar in lesions of immunized BALB/c and C57BL6 mice, with a trend towards a higher percentage of CD14(+) cells in sham-immunized mice. The percentage of CD14(+) cells was higher than that of CD4(+) cells in immunized compared with sham-immunized DBA/2J mice. The percentages of CD4(+) and CD14(+) cells predominated in immunized CBA/CaH mice and CD4(+) cells in sham-immunized CBA/CaH mice. The percentage of neutrophils in immunized CBA/CaH mice was significantly lower than that of CD14(+) cells and CD4(+) cells in sham-immunized mice. IgG1(+) plasma cells were more dominant than IgG2a(+) cells in immunized BALB/c, C57BL6 and DBA/2J mice, whereas IgG2a(+) plasma cells were more obvious in sham-immunized mice. IgG2a(+) plasma cells were predominant in immunized and sham-immunized CBA/CaH mice. In the serum, specific anti-P. gingivalis IgG2a antibody levels (Th1 response) were higher than IgG1 levels (Th2 response) in sham-immunized CBA/CaH and DBA/2J mice. In immunized BALB/c mice, IgG2a levels were lower than IgG1 levels, while IgG2a levels were higher in immunized C57BL6 mice. In conclusion, this study has shown differences in the proportion of infiltrating leukocytes and in the subclasses of immunoglobulin produced locally and systemically in response to P. gingivalis in different strains of mice, suggesting a degree of genetic control over the response to P. gingivalis.

Measured and predicted total body water in children with myelomeningocele

Objective: Children with myelomeningocele (MMC) have an altered body composition and an atypical distribution of total body water (TBW). The aim of the present study was to determine the accuracy of current predictive equations, based on bioelectrical impedance analysis (BIA), in determining TBW when compared with measured TBW using deuterium dilution. Methods: Fourteen children with MMC were measured for whole body BIA and TBW (using deuterium dilution and the Plateau method). Total body water was predicted using equations based on the resistance and characteristic frequency from BIA measurements and heights of subjects. Results: The mean measured TBW was 15.46 +/- 8.28 L and the mean predictions for TBW using equations based on the resistance and characteristic frequency from BIA measurements and heights of subjects were 18.29 +/- 8.41 L, 17.72 +/- 11.42 L and 12.51 +/- 7.59 L, respectively. The best correlation was found using characteristic frequency. The limits of agreement between measured and predicted TBW values using Bland-Altman analysis were large. Conclusions: The present study suggests that the prediction of TBW in children with MMC can be made accurately using the equation of Cornish et al . based on BIA measurements of characteristic frequency.

Efeitos do comitê de auditoria e do conselho fiscal na qualidade da informação contábil no Brasil

Esta dissertação foi desenvolvida com o objetivo de investigar os efeitos da instalação e das características do Conselho Fiscal e do Comitê de Auditoria sobre a qualidade das informações contábeis no Brasil. As características estudadas foram à independência e a qualificação dos membros. As proxies da qualidade da informação contábil foram relevância, tempestividade e conservadorismo condicional. A amostra utilizada foi composta por empresas brasileiras, listadas na Bolsa de Valores, Mercadorias e Futuros de São Paulo (BM&FBovespa), com liquidez anual superior a 0,001, no período de 2010 a 2013. Os dados foram coletados na base de dados Comdinheiro e nos Formulários de Referência das empresas, disponíveis no sítio eletrônico da Comissão de Valores Mobiliários (CVM) ou BM&FBovespa. Os modelos de qualidade da informação foram adaptados ao recorte metodológico e estimados pelo método dos mínimos quadrados ordinários (MQO), com erros-padrão robustos clusterizados por firma. Os resultados revelaram efeitos da instalação dos órgãos analisados sobre as proxies de qualidade da informação contábil. A instalação do Conselho Fiscal impactou positivamente a relevância do patrimônio líquido, enquanto a instalação do Comitê de Auditoria, a relevância do lucro. Esses resultados podem indicar diferenças no direcionamento da atenção desses órgãos: em proteger o patrimônio da entidade para os acionistas (Conselho Fiscal) ou em assegurar números mais confiáveis sobre o desempenho dos administradores (Comitê de Auditoria). Paralelamente, os resultados para a instalação do Conselho Fiscal de forma permanente inferiu força desse órgão como mecanismo de controle, ao invés da instalação somente a pedido dos acionistas. Já, a implementação do Conselho Fiscal Turbinado se mostrou ineficiente no controle da qualidade das informações contábeis. Na análise das características, a independência dos membros do Comitê de Auditoria impactou a relevância do lucro. Ao passo que a independência do Conselho Fiscal impactou a relevância do patrimônio líquido e o conservadorismo condicional (reconhecimento oportuno de perdas econômicas). Essas associações foram mais significantes quando os membros do Conselho Fiscal eram independentes dos acionistas controladores. Na análise da qualificação dos membros, foram encontradas evidências positivas na relação entre a relevância do patrimônio líquido e a maior proporção de membros do Conselho Fiscal com qualificação em Business (Contabilidade, Administração e Economia). O conservadorismo condicional foi maior na medida em que a qualificação dos membros do Conselho Fiscal convergia para a Contabilidade. Os resultados da qualificação dos membros do Comitê de Auditoria demonstraram relevância do lucro na presença de, ao menos, um Contador e na maior proporção de membros com qualificação tanto em Contabilidade como em Business; sendo mais significante conforme a qualificação dos membros do Comitê de Auditoria convergia para a Contabilidade.

Impacto da integração dos veículos eléctricos nos edifícios multi-habitacionais, nas redes de distribuição de baixa tensão e no diagrama de carga nacional

Associado à escassez dos combustíveis fósseis e ao desejado controlo de emissões nocivas para a atmosfera, assistimos no mundo ao desenvolvimento do um novo paradigma — a mobilidade eléctrica. Apesar das variações de maior ou menor arbítrio político dos governos, do excelente ou débil desenvolvimento tecnológico, relacionados com os veículos eléctricos, estamos perante um caminho, no que diz respeito à mobilidade eléctrica, que já não deve ser encarado como uma moda mas como uma orientação para o futuro da mobilidade. Portugal tendo dado mostras que pretende estar na dianteira deste desafio, necessita equacionar e compreender em que condições existirá uma infra-estrutura nacional capaz de fazer o veículo eléctrico vingar. Assim, neste trabalho, analisa-se o impacto da mobilidade eléctrica em algumas dessas infra-estruturas, nomeadamente nos edifícios multi-habitacionais e redes de distribuição em baixa tensão. São criados neste âmbito, quatro perfis de carregamento dos EVs nomeadamente: nas horas de chegada a casa; nas horas de vazio com início programado pelo condutor; nas horas de vazio controlado por operador de rede (“Smart Grid”); e um cenário que contempla a utilização do V2G. Com a obrigação legal de nos novos edifícios serem instaladas tomadas para veículos eléctricos, é estudado, com os cenários anteriores a possibilidade de continuar a conceber as instalações eléctricas, sem alterar algumas das disposições legais, ao abrigo dos regulamentos existentes. É também estudado, com os cenários criados e com a previsão da venda de veículos eléctricos até 2020, o impacto deste novo consumo no diagrama de carga do Sistema Eléctrico Nacional. Mostra-se assim que a introdução de sistemas inteligentes de distribuição de energia [Smartgrid e vehicle to grid” (V2G)] deverá ser encarada como a solução que por excelência contribuirá para um aproveitamento das infra-estruturas existentes e simultaneamente um uso acessível para os veículos eléctricos.

A decision-support system based on particle swarm optimization for multiperiod hedging in electricity markets

This paper proposes a particle swarm optimization (PSO) approach to support electricity producers for multiperiod optimal contract allocation. The producer risk preference is stated by a utility function (U) expressing the tradeoff between the expectation and variance of the return. Variance estimation and expected return are based on a forecasted scenario interval determined by a price range forecasting model developed by the authors. A certain confidence level is associated to each forecasted scenario interval. The proposed model makes use of contracts with physical (spot and forward) and financial (options) settlement. PSO performance was evaluated by comparing it with a genetic algorithm-based approach. This model can be used by producers in deregulated electricity markets but can easily be adapted to load serving entities and retailers. Moreover, it can easily be adapted to the use of other type of contracts.

Scheduling maintenance activities of electric power transmission networks using an hybrid constraint method

In this paper we present a Constraint Logic Programming (CLP) based model, and hybrid solving method for the Scheduling of Maintenance Activities in the Power Transmission Network. The model distinguishes from others not only because of its completeness but also by the way it models and solves the Electric Constraints. Specifically we present a efficient filtering algorithm for the Electrical Constraints. Furthermore, the solving method improves the pure CLP methods efficiency by integrating a type of Local Search technique with CLP. To test the approach we compare the method results with another method using a 24 bus network, which considerers 42 tasks and 24 maintenance periods.

A long-term swarm intelligence hedging tool applied to electricity markets

This paper proposes a swarm intelligence long-term hedging tool to support electricity producers in competitive electricity markets. This tool investigates the long-term hedging opportunities available to electric power producers through the use of contracts with physical (spot and forward) and financial (options) settlement. To find the optimal portfolio the producer risk preference is stated by a utility function (U) expressing the trade-off between the expectation and the variance of the return. Variance estimation and the expected return are based on a forecasted scenario interval determined by a long-term price range forecast model, developed by the authors, whose explanation is outside the scope of this paper. The proposed tool makes use of Particle Swarm Optimization (PSO) and its performance has been evaluated by comparing it with a Genetic Algorithm (GA) based approach. To validate the risk management tool a case study, using real price historical data for mainland Spanish market, is presented to demonstrate the effectiveness of the proposed methodology.

A long-term risk management tool for electricity markets using swarm intelligence

This paper addresses the optimal involvement in derivatives electricity markets of a power producer to hedge against the pool price volatility. To achieve this aim, a swarm intelligence meta-heuristic optimization technique for long-term risk management tool is proposed. This tool investigates the long-term opportunities for risk hedging available for electric power producers through the use of contracts with physical (spot and forward contracts) and financial (options contracts) settlement. The producer risk preference is formulated as a utility function (U) expressing the trade-off between the expectation and the variance of the return. Variance of return and the expectation are based on a forecasted scenario interval determined by a long-term price range forecasting model. This model also makes use of particle swarm optimization (PSO) to find the best parameters allow to achieve better forecasting results. On the other hand, the price estimation depends on load forecasting. This work also presents a regressive long-term load forecast model that make use of PSO to find the best parameters as well as in price estimation. The PSO technique performance has been evaluated by comparison with a Genetic Algorithm (GA) based approach. A case study is presented and the results are discussed taking into account the real price and load historical data from mainland Spanish electricity market demonstrating the effectiveness of the methodology handling this type of problems. Finally, conclusions are dully drawn.

QuEChERS: a new sample preparation approach for the determination of ibuprofen and its metabolites in soils

Ibuprofen is one of the most used active pharmaceutical ingredients worldwide. A new method for the analysis of ibuprofen and its metabolites, hydroxyibuprofen and carboxyibuprofen, in soils is presented. The extraction of these compounds from the soil matrices was performed by using a modified quick, easy, cheap, effective, rugged, and safe (QuEChERS) method. The method involves a single extraction of the investigated compounds with purified water (acidified at pH 2.5 with hydrochloric acid), and a slow and continuous addition of the QuEChERS content, followed by the addition of acidified acetonitrile (1% acetic acid), prior to the determination by liquid chromatography coupled with fluorescence detection (LC–FLD). Validation studies were carried out using soil samples with a range of organic carbon contents. Recoveries of the fortified samples ranged from 79.5% to 101%. Relative standard deviations for all matrix–compound combinations did not exceed 3%. The method quantification limits were ≤22.4 μg kg−1 in all cases. The developed method was applied to the analysis of sixteen real samples.

Familial amyloid polyneuropathy (FAP): clinical features, pathophysiology and treatment

In the literature, concepts of “polyneuropathy”, “peripheral neuropathy” and “neuropathy” are often mistakenly used as synonyms. Polyneuropathy is a specific term that refers to a relatively homogenous process that affects multiple peripheral nerves. Most of these tend to present as symmetric polyneuropathies that first manifest in the distal portions of the affected nerves. Many of these distal symmetric polyneuropathies are due to toxic-metabolic causes such as alcohol abuse and diabetes mellitus. Other distal symmetric polyneuropathies may result from an overproduction of substances that result in nerve pathology such as is observed in anti-MAG neuropathy and monoclonal gammopathy of undetermined significance. Other “overproduction” disorders are hereditary such as noted in the Portuguese type of familial amyloid polyneuropathy (FAP). FAP is a manifestation of a group of hereditary amyloidoses; an autosomal dominant, multisystemic disorder wherein the mutant amyloid precursor, transthyretin, is produced in excess primarily by the liver. The liver accounts for approximately 98% of all transthyretin production. FAP is confirmed by detecting a transthyretin variant with a methionine for valine substitution at position 30 [TTR (Met30)]. Familial Amyloidotic Polyneuropathy (FAP) – Portuguese type was first described by a Portuguese neurologist, Corino de Andrade in 1939 and published in 1951. Most persons with this disorder are descended from Portuguese sailors who sired offspring in various locations, primarily in Sweden, Japan and Mallorca. Their descendants emigrated worldwide such that this disorder has been reported in other countries as well. More than 2000 symptomatic cases have been reported in Portugal. FAP progresses rapidly with an average time course from symptom onset to multi-organ involvement and death between ten and twenty years. Treatments directed at removing this aberrant protein such as plasmapheresis and immunoadsorption proved to be unsuccessful. Liver transplantation has been the only effective solution as evidenced by almost 2000 liver transplants performed worldwide. A therapy for FAP with a novel agent, “Tafamidis” has shown some promise in ongoing phase III clinical trials. It is well recognized that regular physical activity of moderate intensity has a positive effect on physical fitness as gauged by body composition, aerobic capacity, muscular strength and endurance and flexibility. Physical fitness has been reported to result in the reduction of symptoms and lesser impairment when performing activities of daily living. Exercise has been advocated as part of a comprehensive approach to the treatment of chronic diseases. Therefore, this chapter concludes with a discussion of the role of exercise training on FAP.

Flow amperometric determination of carbofuran and fenobucarb

A simple, rapid, and precise amperometric method for quantification of N-methylcarbamate pesticides in water samples and phytopharmaceuticals is presented. Carbofuran and fenobucarb are the target analytes. The method is developed in flow conditions providing the anodic oxidation of phenolic-based compounds formed after alkaline hydrolysis. Optimization of instrumental and chemical variables is presented. Under the optimal conditions, the amperometric signal is linear for carbofuran and fenobucarb concentrations over the range of 1.0*10-7 to 1.0*10-5 molL-1, with a detection limit of about 2 ngmL-1. The amperometric method is successfully applied to the analysis of spiked environmental waters and commercial formulations. The proposed method allows 90 samples to be analysed per hour, using 500 mL of sample, and producing wastewaters of low toxicity. The proposed method permits determinations at the mgL 1 level and offers advantages of simplicity, accuracy, precision, and applicability to coloured and turbid samples, and automation feasibility.

Organochlorine pesticide residues in strawberries from integrated pest management and organic farming

A rapid, specific, and sensitive method based on theQuick Easy Cheap Effective Rugged and Safe (QuEChERS) method and a cleanup using dispersive solid-phase extraction with MgSO4, PSA, and C18 sorbents has been developed for the routine analysis of 14 pesticides in strawberries. The analyses were performed by three different analytical methodologies: gas chromatography (GC) with electron capture detection (ECD), mass spectrometry (MS), and tandem mass spectrometry (MS/MS). The recoveries for all the pesticides studied were from 46 to 128%, with relative standard deviation of <15% in the concentration range of 0.005-0.250 mg/kg. The limit of detection (LOD) for all compoundsmetmaximumresidue limits (MRL) accepted in Portugal for organochlorine pesticides (OCP). A survey study of strawberries produced in Portugal in the years 2009-2010 obtained from organic farming (OF) and integrated pest management (IPM) was developed. Lindane and β-endosulfan were detected above the MRL in OF and IPM. Other OCP (aldrin, o,p0-DDT and their metabolites, and methoxychlor) were found below the MRL. The OCP residues detected decreased from 2009 to 2010. The QuEChERS method was successfully applied to the analysis of strawberry samples.

Categorical data clustering using a minimum message length criterion

Research on cluster analysis for categorical data continues to develop, new clustering algorithms being proposed. However, in this context, the determination of the number of clusters is rarely addressed. We propose a new approach in which clustering and the estimation of the number of clusters is done simultaneously for categorical data. We assume that the data originate from a finite mixture of multinomial distributions and use a minimum message length criterion (MML) to select the number of clusters (Wallace and Bolton, 1986). For this purpose, we implement an EM-type algorithm (Silvestre et al., 2008) based on the (Figueiredo and Jain, 2002) approach. The novelty of the approach rests on the integration of the model estimation and selection of the number of clusters in a single algorithm, rather than selecting this number based on a set of pre-estimated candidate models. The performance of our approach is compared with the use of Bayesian Information Criterion (BIC) (Schwarz, 1978) and Integrated Completed Likelihood (ICL) (Biernacki et al., 2000) using synthetic data. The obtained results illustrate the capacity of the proposed algorithm to attain the true number of cluster while outperforming BIC and ICL since it is faster, which is especially relevant when dealing with large data sets.