Avaliação Imobiliária - Métodos de avaliação - Novas exigências do Banco de Portugal

Mestrado em Contabilidade e Análise Financeira

Essays in asset price bubbles

This thesis studies the field of asset price bubbles. It is comprised of three independent chapters. Each of these chapters either directly or indirectly analyse the existence or implications of asset price bubbles. The type of bubbles assumed in each of these chapters is consistent with rational expectations. Thus, the kind of price bubbles investigated here are known as rational bubbles in the literature. The following describes the three chapters. Chapter 1: This chapter attempts to explain the recent US housing price bubble by developing a heterogeneous agent endowment economy asset pricing model with risky housing, endogenous collateral and defaults. Investment in housing is subject to an idiosyncratic risk and some mortgages are defaulted in equilibrium. We analytically derive the leverage or the endogenous loan to value ratio. This variable comes from a limited participation constraint in a one period mortgage contract with monitoring costs. Our results show that low values of housing investment risk produces a credit easing effect encouraging excess leverage and generates credit driven rational price bubbles in the housing good. Conversely, high values of housing investment risk produces a credit crunch characterized by tight borrowing constraints, low leverage and low house prices. Furthermore, the leverage ratio was found to be procyclical and the rate of defaults countercyclical consistent with empirical evidence. Chapter 2: It is widely believed that financial assets have considerable persistence and are susceptible to bubbles. However, identification of this persistence and potential bubbles is not straightforward. This chapter tests for price bubbles in the United States housing market accounting for long memory and structural breaks. The intuition is that the presence of long memory negates price bubbles while the presence of breaks could artificially induce bubble behaviour. Hence, we use procedures namely semi-parametric Whittle and parametric ARFIMA procedures that are consistent for a variety of residual biases to estimate the value of the long memory parameter, d, of the log rent-price ratio. We find that the semi-parametric estimation procedures robust to non-normality and heteroskedasticity errors found far more bubble regions than parametric ones. A structural break was identified in the mean and trend of all the series which when accounted for removed bubble behaviour in a number of regions. Importantly, the United States housing market showed evidence for rational bubbles at both the aggregate and regional levels. In the third and final chapter, we attempt to answer the following question: To what extend should individuals participate in the stock market and hold risky assets over their lifecycle? We answer this question by employing a lifecycle consumption-portfolio choice model with housing, labour income and time varying predictable returns where the agents are constrained in the level of their borrowing. We first analytically characterize and then numerically solve for the optimal asset allocation on the risky asset comparing the return predictability case with that of IID returns. We successfully resolve the puzzles and find equity holding and participation rates close to the data. We also find that return predictability substantially alter both the level of risky portfolio allocation and the rate of stock market participation. High factor (dividend-price ratio) realization and high persistence of factor process indicative of stock market bubbles raise the amount of wealth invested in risky assets and the level of stock market participation, respectively. Conversely, rare disasters were found to bring down these rates, the change being severe for investors in the later years of the life-cycle. Furthermore, investors following time varying returns (return predictability) hedged background risks significantly better than the IID ones.

Produção de carboidratos a partir do efluente de laticínios tratado por cianobactéria

Nesta tese foi demonstrado o potencial de produção de carboidratos por Aphanothece microscopica Nägeli cultivada no efluente oriundo de uma indústria de laticínios. Para tanto, o trabalho é composto de quatro artigos que objetivaram avaliar a produção de carboidratos em função da temperatura, inóculo e razões C/N e N/P do elfluente, bem como a possibilidade de reúso da água residuária. Foram utilizadas temperaturas de (10, 20 e 30ºC) e inóculo (100, 200 e 300 mg.L-1). A melhor condição indicada foi quando utilizou-se a temperatura de 30°C e 200 mg.L-1 de inóculo. Na sequência, considerando a temperatura e a concentração celular selecionada, foi estudada a influência das razões C/N e N/P na produção de carboidratos. Para tal, C/N (20, 40 e 60) e N/P (5, 10 e 15) na produção de carboidratos extracelulares foram avaliadas em cultivos a 30°C, tendo como inóculo 200 mg.L-1. Os melhores resultados obtidos, foram quando foi utilizado C/N 60 e N/P 10. Uma vez definidas as melhores condições de produção de carboidratos, foi estudado o processo de separação de biomassa do meio de cultivo, a partir dos coagulantes FeCl3, Al2(SO4)3 e tanino. O efeito dos coagulantes na separação da biomassa foram estudados, quanto ao pH (6,0, 7,0 e 8,0) e concentração de coagulantes (50, 300 e 550 mg.L-1), utilizando como parâmetro de medida, a eficiência de remoção de DQO, turbidez e sólidos suspensos (SS). Os resultados demonstraram que as concentrações de coagulantes influenciaram significativamente ao nível de significância de 5 %, na separação da biomassa, com eficiência significativa na remoção da DQO, turbidez e SS. A melhor condição avaliada foi a que utilizou tanino na concentração de 300 mg.L-1 e pH 7,0, o que resultou em uma água residuária com remoção média de 96 % da turbidez, com potencial de ser reutilizada. Por fim, foi realizada a identificação de carboidratos gerados por Aphanothece microscopica Nägeli. Os resultados evidenciaram uma biomassa com até 33,5 % de carboidratos totais, perfazendo uma fração de carboidratos extracelulares, na fase estacionária de crescimento celular, de aproximadamente 25 % e 8 % os carboidratos da parede celular. Ficou demonstrado ainda que a composição dos carboidratos extracelulares do microorganismo em estudo é constituído por mono e dissacarídeos perfazendo concentrações na ordem de 12,88 % de glicose, 3,54 % de rafinose, 3,43 % sacarose, 2,13 % de frutose e 2,45 % de ribose. Ficou demonstrado o potencial de produção de carboidratos por Aphanothece microscopica Nägeli quando cultivada no efluente da indústria de laticínios.

Chemical and physical effects of ultrasound: sonoluminescence and materials

When a liquid is irradiated with ultrasound, acoustic cavitation (the formation, growth, and implosive collapse of bubbles in liquids irradiated with ultrasound) generally occurs. This is the phenomenon responsible for the driving of chemical reactions (sonochemistry) and the emission of light (sonoluminescence). The implosive collapse of bubbles in liquids results in an enormous concentration of sound energy into compressional heating of the bubble contents. Therefore, extreme chemical and physical conditions are generated during cavitation. The study of multibubble sonoluminescence (MBSL) and single-bubble sonoluminescence (SBSL) in exotic liquids such as sulfuric acid (H2SO4) and phosphoric acid (H3PO4) leads to useful information regarding the intracavity conditions during bubble collapse. Distinct sonoluminescing bubble populations were observed from the intense orange and blue-white emissions by doping H2SO4 and H3PO4 with sodium salts, which provides the first experimental evidence for the injected droplet model over the heated-shell model for cavitation. Effective emission temperatures measured based on excited OH• and PO• emission indicate that there is a temperature inhomogeneity during MBSL in 85% H3PO4. The formation of a temperature inhomogeneity is due to the existence of different cavitating bubble populations: asymmetric collapsing bubbles contain liquid droplets and spherical collapsing bubbles do not contain liquid droplets. Strong molecular emission from SBSL in 65% H3PO4 have been obtained and used as a spectroscopic probe to determine the cavitation temperatures. It is found that the intracavity temperatures are dependent on the applied acoustic pressures and the thermal conductivities of the dissolved noble gases. The chemical and physical effects of ultrasound can be used for materials synthesis. Highly reactive species, including HO2•, H•, and OH• (or R• after additives react with OH•), are formed during aqueous sonolysis as a consequence of the chemical effects of ultrasound. Reductive species can be applied to synthesis of water-soluble fluorescent silver nanoclusters in the presence of a suitable stabilizer or capping agent. The optical and fluorescent properties of the Ag nanoclusters can be easily controlled by the synthetic conditions such as the sonication time, the stoichiometry of the carboxylate groups to Ag+, and the polymer molecular weight. The chemical and physical effects of ultrasound can be combined to prepare polymer functionalized graphenes from graphites and a reactive solvent, styrene. The physical effects of ultrasound are used to exfoliate graphites to graphenes while the chemical effects of ultrasound are used to induce the polymerization of styrene which can then functionalize graphene sheets via radical coupling. The prepared polymer functionalized graphenes are highly stable in common organic solvents like THF, CHCl3, and DMF. Ultrasonic spray pyrolysis (USP) is used to prepare porous carbon spheres using energetic alkali propiolates as the carbon precursors. In this synthesis, metal salts are generated in situ, introducing porous structures into the carbon spheres. When different alkali salts or their mixtures are used as the precursor, carbon spheres with different morphologies and structures are obtained. The different precursor decomposition pathways are responsible for the observed structural difference. Such prepared carbon materials have high surface area and are thermally stable, making them potentially useful for catalytic supports, adsorbents, or for other applications by integrating other functional materials into their pores.

Automatic dynamic mask extraction for PIV images containing an unsteady interface, bubbles, and a moving structure

When performing Particle Image Velocimetry (PIV) measurements in complex fluid flows with moving interfaces and a two-phase flow, it is necessary to develop a mask to remove non-physical measurements. This is the case when studying, for example, the complex bubble sweep-down phenomenon observed in oceanographic research vessels. Indeed, in such a configuration, the presence of an unsteady free surface, of a solid–liquid interface and of bubbles in the PIV frame, leads to generate numerous laser reflections and therefore spurious velocity vectors. In this note, an image masking process is developed to successively identify the boundaries of the ship and the free surface interface. As the presence of the solid hull surface induces laser reflections, the hull edge contours are simply detected in the first PIV frame and dynamically estimated for consecutive ones. As for the unsteady surface determination, a specific process is implemented like the following: i) the edge detection of the gradient magnitude in the PIV frame, ii) the extraction of the particles by filtering high-intensity large areas related to the bubbles and/or hull reflections, iii) the extraction of the rough region containing these particles and their reflections, iv) the removal of these reflections. The unsteady surface is finally obtained with a fifth-order polynomial interpolation. The resulted free surface is successfully validated from the Fourier analysis and by visualizing selected PIV images containing numerous spurious high intensity areas. This paper demonstrates how this data analysis process leads to PIV images database without reflections and an automatic detection of both the free surface and the rigid body. An application of this new mask is finally detailed, allowing a preliminary analysis of the hydrodynamic flow.

Editorial

En un lugar de la mente,cuyo nombre resuena a conciencia yse resguarda en la memoria.Tan lejano, tan lejanocomo tus sueños,lleno de paisajes naturales y construidos.Hace muchos, muchísimos nanosegundos...un haz de luz dibujo millones de moléculas,compuestas de burbujas con emociones,recuerdos, necesidades, deseos y potencialidades.

Desenvolvimento de uma Metodologia para a Seletividade cinética aplicada ao processo de hidroconversão do petróleo, ocorrendo em reator gás-líquido

Este trabalho tem como objetivo desenvolver uma metodologia de seletividade cinética, para os pseudocomponentes do petróleo em escoamento gás-liquido em colunas de bolhas usando a Fluidodinâmica Computacional (CFD). Uma geometria cilíndrica de 2,5m de altura e 0,162m de diâmetro foi usada tanto na validação fluidodinâmica com base em dados experimentais da literatura, como na análise cinética do reator operando em dois modos distintos em relação a fase líquida: batelada e contínuo. Todos os casos de estudo operam em regime heterogêneo de escoamento, com velocidade superficial do gás igual a 8 cm/s e diâmetro médio de bolhas de 6 mm. O modelo fluidodinâmico validado apresentou boa concordância com os dados experimentais, sendo empregado como base para a implementação do modelo cinético de rede de Krishna e Saxena (1989). A análise da hidroconversão foi realizada a 371ºC, e os resultados mostraram o comportamento esperado para o processo reativo estudado, definindo-se os tempos (batelada) e posições axiais (contínuo) de coleta ideal para os pseudocomponentes leves. Em síntese, ressaltase o uso da ferramenta CFD no entendimento, desenvolvimento e otimização de processos.

Efeito da incorporação de diatomita na estabilidade e permeabilidade de compósitos cimentíceos espumados aplicados a poços de petróleo

Lightweight oilwell cement slurries have been recently studied as a mean to improve zonal isolation and sheath-porous formation adherence. Foamed slurries consisting of Portland cement and air-entraining admixtures have become an interesting option for this application. The loss in hydrostatic pressure as a consequence of cement hydration results in the expansion of the air bubbles entrapped in the cement matrix, thus improving the sheath-porous formation contact. Consequently, slurries are able to better retain their water to complete the hydration process. The main objective of the present study was to evaluate the effect of the addition of an air-entraining admixture on the density, stability and permeability of composite slurries containing Portland cement and diatomite as light mineral load. Successful formulations are potential cementing materials for low fracture gradient oilwells. The experimental procedures used for slurry preparation and characterization were based on the American Petroleum Institute and ABNT guidelines Slurries containing a pre-established concentration of the air-entraining admixture and different contents of diatomite were prepared aiming at final densities of 13 to 15 lb/gal. The results revealed that the reduction of 15 to 25% of the density of the slurries did not significantly affect their strength. The addition of both diatomite and the air-entraining admixture increased the viscosity of the slurry providing better air-bubble retention in the volume of the slurry. Stable slurries depicted bottom to top density variation of less than 1.0 lb/gal and length reduction of the stability sample of 5.86 mm. Finally, permeability coefficient values between 0.617 and 0.406 mD were obtained. Therefore, lightweight oilwell cement slurries depicting a satisfactory set of physicochemical and mechanical properties can be formulated using a combination of diatomite and air-entraining admixtures for low fracture gradient oilwells

Decrecimiento y renovadas estrategias para un territorio agotado. El caso de la provincia de Alicante

Las consecuencias del último boom inmobiliario han abierto el debate alrededor del crecimiento urbano en España, especialmente en áreas con una fuerte presión turística y residencial. En este trabajo se analizan algunas de las implicaciones de la crisis financiera mundial sobre la planificación urbanística municipal, centrando el estudio en la provincia de Alicante, uno de los ámbitos que mejor ilustran el éxito y la caída del modelo inmobiliario hispano. La unidad básica de análisis la componen las figuras de planeamiento municipal y estrategias territoriales vigentes, y su traducción en suelos urbanos inconclusos. Considerando que se trata de actuaciones durmientes a la espera de un contexto económico favorable, la situación hace pensar que la burbuja inmobiliaria no estaría estallada sino tan sólo desinflada. El objetivo es reflexionar, con carácter propositivo, sobre las estrategias de gestión del territorio que emergen durante los últimos años a raíz de la crisis financiera e inmobiliaria, tratando de relanzar algunas cuestiones que deberían preocupar en la planificación urbanística y territorial de la provincia de Alicante, y por extensión, de otros espacios afectados por el crash inmobiliario.

Flow around a hemisphere-cylinder at high angle of attack and low Reynolds number. Part I: Experimental and numerical investigation

Three-dimensional Direct Numerical Simulations combined with Particle Image Velocimetry experiments have been performed on a hemisphere-cylinder at Reynolds number 1000 and angle of attack 20◦. At these flow conditions, a pair of vortices, so-called “horn” vortices, are found to be associated with flow separation. In order to understand the highly complex phenomena associated with this fully threedimensional massively separated flow, different structural analysis techniques have been employed: Proper Orthogonal and Dynamic Mode Decompositions, POD and DMD, respectively, as well as criticalpoint theory. A single dominant frequency associated with the von Karman vortex shedding has been identified in both the experimental and the numerical results. POD and DMD modes associated with this frequency were recovered in the analysis. Flow separation was also found to be intrinsically linked to the observed modes. On the other hand, critical-point theory has been applied in order to highlight possible links of the topology patterns over the surface of the body with the computed modes. Critical points and separation lines on the body surface show in detail the presence of different flow patterns in the base flow: a three-dimensional separation bubble and two pairs of unsteady vortices systems, the horn vortices, mentioned before, and the so-called “leeward” vortices. The horn vortices emerge perpendicularly from the body surface at the separation region. On the other hand, the leeward vortices are originated downstream of the separation bubble, as a result of the boundary layer separation. The frequencies associated with these vortical structures have been quantified.

Avaliação da abertura de filtração de geotêxteis sob confinamento e parcialmente colmatados

Dissertação (mestrado)—Universidade de Brasília, Faculdade de Tecnologia, Departamento de Engenharia Civil e Ambiental, 2016.

Chemical Reaction Dynamics of the Liquid/Vapor Interface Studied by Mass Spectrometry

This thesis presents investigations of chemical reactions occurring at the liquid/vapor interface studied using novel sampling methodologies coupled with detection by mass spectrometry. Chapters 2 and 3 utilize the recently developed technique of field-induced droplet ionization mass spectrometry (FIDI-MS), in which the application of a strong electric field to a pendant microliter droplet results in the ejection of highly charged progeny droplets from the liquid surface. In Chapter 2, this method is employed to study the base-catalyzed dissociation of a surfactant molecule at the liquid/vapor interface upon uptake of ammonia from the gas phase. This process is observed to occur without significant modulation of the bulk solution pH, suggesting a transient increase in surface pH following the uptake of gaseous ammonia. Chapter 3 presents real-time studies of the oxidation of the model tropospheric organic compound glycolaldehyde by photodissociation of iron (III) oxalate complexes. The oxidation products of glycolaldehyde formed in this process are identified, and experiments in a deoxygenated environment identify the role of oxygen in the oxidation pathway and in the regeneration of iron (III) following photo-initiated reduction. Chapter 4 explores alternative methods for the study of heterogeneous reaction processes by mass spectrometric sampling from liquid surfaces. Bursting bubble ionization (BBI) and interfacial sampling with an acoustic transducer (ISAT) generate nanoliter droplets from a liquid surface that can be sampled via the atmospheric pressure interface of a mass spectrometer. Experiments on the oxidation of oleic acid by ozone using ISAT are also presented. Chapters 5 and 6 detail mechanistic studies and applications of free-radical-initiated peptide sequencing (FRIPS), a technique employing gas-phase free radical chemistry to the sequencing of peptides and proteins by mass spectrometry. Chapter 5 presents experimental and theoretical studies on the anomalous mechanism of dissociation observed in the presence of serine and threonine residues in peptides. Chapter 6 demonstrates the combination of FRIPS with ion mobility-mass spectrometry (IM-MS) for the separation of isomeric peptides.

Metodologia para avaliação de cinemática de partículas gasosas em fluidos de viscosidade variável com o tempo e sua aplicação na construção de poços de petróleo

Many challenges have been presented in petroleum industry. One of them is the preventing of fluids influx during drilling and cementing. Gas migration can occur as result of pressure imbalance inside the well when well pressure becomes lower than gas zone pressure and in cementing operation this occurs during cement slurry transition period (solid to fluid). In this work it was developed a methodology to evaluate gas migration during drilling and cementing operations. It was considered gel strength concept and through experimental tests determined gas migration initial time. A mechanistic model was developed to obtain equation that evaluates bubble displacement through the fluid while it gels. Being a time-dependant behavior, dynamic rheological measurements were made to evaluate viscosity along the time. For drilling fluids analyzed it was verified that it is desirable fast and non-progressive gelation in order to reduce gas migration without affect operational window (difference between pore and fracture pressure). For cement slurries analyzed, the most appropriate is that remains fluid for more time below critical gel strength, maintaining hydrostatic pressure above gas zone pressure, and after that gels quickly, reducing gas migration. The model developed simulates previously operational conditions and allow changes in operational and fluids design to obtain a safer condition for well construction

Ageing well, ageing productively : the essential contribution of Australia's ageing population to the social and economic prosperity of the nation

In Australia we have become preoccupied with the potential adverse impact of our ageing population on our health and social systems. The projected cost of having increasing proportions of our population in the over 70s, retired, chronically ill category of the demographic profile is emerging as a major challenge for governments and private insurers: so much so in fact that the government is now urging older people to stay at work longer. In America, new approaches to the management and self-management of chronic diseases have been invoked to encourage and support older people to improve their quality of life and reduce their recourse to and dependence upon health care technologies, clinical interventions and health care management systems. Unless this is achieved, it is argued, the cost of looking after this emerging ‘bubble’ of elderly people will become increasingly unsustainable as fewer and fewer (proportionately) younger people work to pay the taxes that support ageing, retired, sick and dependent populations. This paper argues that we are at real risk of having our economic wealth and productivity impeded and truncated by the financial burden of looking after high demand and high cost dependants at the aged end of the social demographic. This paper offers an alternative view of our ageing population, as well as highlighting some of the assets we have in our elderly populations, and providing suggestions as to an alternative view of the phenomenon of ageing that incorporates elements such as flexible working arrangements and the application of new, enabling technologies. This approach to our ageing population dilemma is predicated on a concept of lifelong learning and social participation along with better preventive and early intervention systems of health care