Contratos de futuros sobre taxas de juro : estudo de caso sobre a Euribor a 3 meses

Mestrado em Contabilidade e Análise Financeira

Online robust optimization framework for QoS guarantees in distributed soft real-time systems

In distributed soft real-time systems, maximizing the aggregate quality-of-service (QoS) is a typical system-wide goal, and addressing the problem through distributed optimization is challenging. Subtasks are subject to unpredictable failures in many practical environments, and this makes the problem much harder. In this paper, we present a robust optimization framework for maximizing the aggregate QoS in the presence of random failures. We introduce the notion of K-failure to bound the effect of random failures on schedulability. Using this notion we define the concept of K-robustness that quantifies the degree of robustness on QoS guarantee in a probabilistic sense. The parameter K helps to tradeoff achievable QoS versus robustness. The proposed robust framework produces optimal solutions through distributed computations on the basis of Lagrangian duality, and we present some implementation techniques. Our simulation results show that the proposed framework can probabilistically guarantee sub-optimal QoS which remains feasible even in the presence of random failures.

Caracterização laboratorial de misturas betuminosas com incorporação de agregado siderúrgico inerte para construção (ASIC)

Trabalho Final de Mestrado para obtenção do grau de Mestre em Engenharia Civil na Área de Especialização de Vias de Comunicação e Transportes

Impacto da síncope na qualidade de vida: validação duma escala de avaliação em doentes submetidos a teste de inclinação em mesa basculante

Introdução e objetivos: A síncope recorrente tem um impacto significativo na qualidade de vida. O desenvolvimento de escalas de medida de fácil aplicabilidade clínica para avaliar este impacto é fundamental. O objetivo do presente estudo é a validação preliminar da escala Impact of Syncope on Quality of Life, para a população portuguesa. Métodos: O instrumento foi submetido a um processo de tradução, validação, adequação cultural e cognitive debriefing. Participaram 39 doentes com história de síncopes recorrentes (>1 ano de evolução), submetidos a teste de inclinação em mesa basculante (teste de tilt), que constitui uma amostra de conveniência, com idade de 52,1±16,4 anos (21-83; 43,5% do sexo masculino), a maioria com uma situação profissional ativa (n=18) ou reformados (n=13). A versão portuguesa resultou numa versão semelhante unidimensional à original com 12 itens agregados num único somatório, tendo passado por validação estatística, com avaliação da fidelidade, validade e estabilidade no tempo. Resultados: Em relação à fidelidade, a consistência interna da escala é de 0,9. Avaliámos a validade convergente, tendo obtido resultados estatisticamente significativos (p<0,01). Avaliámos a validade divergente tendo obtido resultados estatisticamente significativos. Relativamente à estabilidade no tempo foi efetuado um teste-reteste do instrumento aos seis meses após o teste de inclinação com 22 doentes desta amostra não submetidos a intervenção clínica, que não mostrou alterações estatisticamente significativas da qualidade de vida. Conclusões: Os resultados obtidos indicam a pertinência da utilização deste instrumento em contexto português na avaliação da qualidade de vida de doentes com síncope recorrente.

Filters method in direct search optimization, new measures to admissibility

Constrained nonlinear optimization problems are usually solved using penalty or barrier methods combined with unconstrained optimization methods. Another alternative used to solve constrained nonlinear optimization problems is the lters method. Filters method, introduced by Fletcher and Ley er in 2002, have been widely used in several areas of constrained nonlinear optimization. These methods treat optimization problem as bi-objective attempts to minimize the objective function and a continuous function that aggregates the constraint violation functions. Audet and Dennis have presented the rst lters method for derivative-free nonlinear programming, based on pattern search methods. Motivated by this work we have de- veloped a new direct search method, based on simplex methods, for general constrained optimization, that combines the features of the simplex method and lters method. This work presents a new variant of these methods which combines the lters method with other direct search methods and are proposed some alternatives to aggregate the constraint violation functions.

A trader portfolio optimization of bilateral contracts in electricity retail markets

Electricity markets are systems for effecting the purchase and sale of electricity using supply and demand to set energy prices. Two major market models are often distinguished: pools and bilateral contracts. Pool prices tend to change quickly and variations are usually highly unpredictable. In this way, market participants often enter into bilateral contracts to hedge against pool price volatility. This article addresses the challenge of optimizing the portfolio of clients managed by trader agents. Typically, traders buy energy in day-ahead markets and sell it to a set of target clients, by negotiating bilateral contracts involving three-rate tariffs. Traders sell energy by considering the prices of a reference week and five different types of clients. They analyze several tariffs and determine the best share of customers, i.e., the share that maximizes profit. © 2014 IEEE.

Multidimensional scaling analysis of electricity market prices

This paper studies the impact of energy and stock markets upon electricity markets using Multidimensional Scaling (MDS). Historical values from major energy, stock and electricity markets are adopted. To analyze the data several graphs produced by MDS are presented and discussed. This method is useful to have a deeper insight into the behavior and the correlation of the markets. The results may also guide the construction models, helping electricity markets agents hedging against Market Clearing Price (MCP) volatility and, simultaneously, to achieve better financial results.

Chiroptical and emissive properties of a calix[4]arene-containing chiral poly (P-phenylene ethynylene) with enantioselective recognition ability

Supramolecular chirality was achieved in solutions and thin films of a calixarene-containing chiral aryleneethynylene copolymer. The observed chiroptical activity, which is primarily allied with the formation of aggregates of high molecular weight polymer chains, is the result of a combination of intrachain and interchain effects. The former arises by the adoption of an induced helix-sense by the polymer main-chain while the latter comes from the exciton coupling of aromatic backbone transitions. The co-existence of bulky bis-calixKlarene units and chiral side-chains on the polymer skeleton prevents efficient pi-stacking of neighbouring chains, keeping the chiral assembly highly emissive. In contrast, for a model polymer lacking calixarene moieties, the chiroptical activity is dominated by strong interchain exciton couplings as a result of more favourable packing of polymer chains, leading to a marked decrease of photoluminescence in the aggregate state. The enantiomeric recognition abilities of both polymers towards (R)- and (S)-alpha-methylbenzylamine were examined. It was found that a significant enantiodiscrimination is exhibited by the calixarene-based polymer in the aggregate state.

Chemical reaction network of flavylium ions in heterogeneous media

Dissertação apresentada para a obtenção do Grau de Doutor em Química, especialidade em Química-Física, pela Universidade Nova de Lisboa, Faculdade de Ciências e Tecnologia

The effect of superplasticizers on the mechanical performance of concrete made with fine recycled concrete aggregates

It is considered that using crushed recycled concrete as aggregate for concrete production is a viable alternative to dumping and would help to conserve abiotic resources. This use has fundamentally been based on the coarse fraction because the fine fraction is likely to degrade the performance of the resulting concrete. This paper presents results from a research work undertaken at Institut Superior Tecnico (IST), Lisbon, Portugal, in which the effects of incorporating two types of superplasticizer on the mechanical performance of concrete containing fine recycled aggregate were evaluated. The purpose was to see if the addition of superplasticizer would offset the detrimental effects associated with the use of fine recycled concrete aggregate. The experimental programme is described and the results of tests for splitting tensile strength, modulus of elasticity and abrasion resistance are presented. The relative performance of concrete made with recycled aggregate was found to decrease. However, the same concrete with admixtures in general exhibited a better mechanical performance than the reference mixes without admixtures or with a less active superplasticizer. Therefore, it is argued that the mechanical performance of concrete made with fine recycled concrete aggregates can be as good as that of conventional concrete, if superplasticizers are used to reduce the water-cement ratio of the former concrete.

The black box of health care expenditure growth determinants

In this paper, the determinants of growth of aggregate health expenditures are investigated. The study departs from previous literature in that it looks at differences across countries in growth (and not levels) of health care expenditures. Estimation is made for 24 OECD countries. Health system characteristics usually believed to influence health expenditures growth, like population ageing, the type of health system (public reimbursement, public contract or integrate) and existence of gatekeepers, are found to be non-significant. Nevertheless, there is evidence that health expenditures experienced a clear slower growth in the last decade. The explanation for this slowdown could not be found in the proposed model and should stimulate further research.

Estudo da influência da carga específica na fragmentação de rocha granítica no desmonte em bancada

Mestrado em Engenharia Geotécnica e Geoambiente

Is it possible to remove polymeric nanoparticles from aqueous paints during the activated sludge treatment?

The market for emulsion polymers (latexes) is large and growing at the expense of other manufacturing processes that emit higher amounts of volatile organic solvents. The paint industry is not an exception and solvent-borne paints have been gradually substituted by aqueous paints. In their life-cycle, much of the aqueous paint used for architectural or decorative purposes will eventually be discharged into wastewater treatment facilities, where its polymeric nanoparticles (mainly acrylic and styrene-acrylic) can work as xenobiotics to the microbial communities present in activated sludge. It is well established that these materials are biocompatible at macroscopic scale. But is their behaviour the same at nanoscale? What happens to the polymeric nanoparticles during the activated sludge process? Do nanoparticles agregate and are discharged together with the sludge or remain in emulsion? How do microorganisms interact with these nanoparticles? Are nanoparticles degradated by them? Are they adsorbed? Are these nanoparticles toxic to the microbial community? To study the influence of these xenobiotics in the activated sludge process, an emulsion of cross-linked poly(butyl methacrylate) nanoparticles of ca. 50 nm diameter was produced and used as model compound. Activated sludge from a wastewater treatment plant was tested by the OCDE’s respiration inhibition test using several concentrations of PBMA nanoparticles. Particle aggregation was followed by Dynamic Light Scattering and microorganism surfaces were observed by Atomic Force Microscopy. Using sequential batch reactors (SBRs) and continuous reactors, both inoculated with activated sludge, the consumption of carbon, ammonia, nitrite and nitrate was monitored and compared, in the presence and absence of nanoparticles. No particles were detected in all treated waters by Dynamic Light Scattering. This can either mean that microorganisms can efficiently remove all polymer nanoparticles or that nanoparticles tend to aggregate and be naturally removed by precipitation. Nevertheless respiration inhibition tests demonstrated that microorganisms consume more oxygen in the presence of nanoparticles, which suggests a stress situation. It was also observed a slight decrease in the efficiency of nitrification in the presence of nanoparticles. AFM images showed that while the morphology of some organisms remained the same both in the presence and absence of nanoparticles, others assumed a rough surface with hilly like shapes of ca. 50 nm when exposed to nanoparticles. Nanoparticles are thus likely to be either incorporated or adsorbed at the surface of some organisms, increasing the overall respiration rate and decreasing nitrification efficiency. Thus, despite its biocompatibility at macroscopic scale, PBMA is likely to be no longer innocuous at nanoscale.

Scheduling of a hydro producer considering head-dependency, price scenarios and risk-aversion

In this paper, a mixed-integer quadratic programming approach is proposed for the short-term hydro scheduling problem, considering head-dependency, discontinuous operating regions and discharge ramping constraints. As new contributions to earlier studies, market uncertainty is introduced in the model via price scenarios, and risk aversion is also incorporated by limiting the volatility of the expected profit through the conditional value-at-risk. Our approach has been applied successfully to solve a case Study based on one of the main Portuguese cascaded hydro systems, requiring a negligible computational time.

Análise do mercado de serviços de regulação de frequência secundária e terciária no sistema eléctrico português

Dissertação para obtenção do grau de Mestre em Engenharia Electrotécnica Ramo Energia