Modeling and forecasting value-at-risk for the Portuguese stock market

The aim of this work project is to find a model that is able to accurately forecast the daily Value-at-Risk for PSI-20 Index, independently of the market conditions, in order to expand empirical literature for the Portuguese stock market. Hence, two subsamples, representing more and less volatile periods, were modeled through unconditional and conditional volatility models (because it is what drives returns). All models were evaluated through Kupiec’s and Christoffersen’s tests, by comparing forecasts with actual results. Using an out-of-sample of 204 observations, it was found that a GARCH(1,1) is an accurate model for our purposes.

Systemic risk for financial institutions in UK

Marginal Expected Shortfall (MES) is an approach used to measure the systemic risk financial institutions face. It estimates how significantly systemic events (poor market performance, out of 1.6 times Standard Deviation borders) are expected to affect market capitalization of a particular firm. The concept was developed in the late 2000s and is widely used for cross-country comparisons of financial firms. For the purposes of generalization of this technique it is often used with market data containing non-domestic currencies for some financial firms. That may lead to results having currency noise in them as it is shown for 77 UK financial firms in our analysis between 2001 and 2014.

Stops and bonanzas in the EU: Does being part of the Euro Area make a difference?

In this paper, we investigate whether being part of the euro area influences the conditional probability of going through a sudden stop or a bonanza of capital flows. Our sample period is from 1995 until 2014. We identify these two phenomena and we evaluate which push and pull factors help predict the conditional probability of experiencing one of them. We find that most countries had significant capital inflows until 2008 and that there were more sudden stops during the recent financial crisis than in any other moment in our sample. The factors that better help forecast the conditional probability of a sudden stop are global uncertainty (represented by the push factor “Volatility Index”), and the domestic economic activity (pull factors “GDP growth” and “consumer confidence”). An indicator of country risk (pull factor “change in credit rating”) is the most significant one for predicting bonanzas. Ultimately, we find no evidence that being part of the euro area influences the conditional probability of going through a sudden stop or a bonanza.

Should Quinta dos Açores expand its retailer network in lisbon?

The primary purpose of this research is to examine the feasibility of expanding Quinta dos Açores retailer network in Lisbon starting from 2015 onwards. A time series model was developed to estimate the company’s future production and sales. A Discounted Cash Flow analysis was also conducted to determine the profitability of this expansion opportunity. Our findings reveal that Quinta dos Açores will face negative results in the first two years of the expansion strategy, but the overall opportunity presents a net positive result of almost three million euros.

Ideação suicida nos estudantes universitários

Dissertação de Mestrado apresentada ao ISPA - Instituto Universitário

Evaluation of the reference value for the Montenegro skin test

Abstract:INTRODUCTION:The Montenegro skin test (MST) has good clinical applicability and low cost for the diagnosis of American tegumentary leishmaniasis (ATL). However, no studies have validated the reference value (5mm) typically used to discriminate positive and negative results. We investigated MST results and evaluated its performance using different cut-off points.METHODS:The results of laboratory tests for 4,256 patients with suspected ATL were analyzed, and 1,182 individuals were found to fulfill the established criteria. Two groups were formed. The positive cutaneous leishmaniasis (PCL) group included patients with skin lesions and positive direct search for parasites (DS) results. The negative cutaneous leishmaniasis (NCL) group included patients with skin lesions with evolution up to 2 months, negative DS results, and negative indirect immunofluorescence assay results who were residents of urban areas that were reported to be probable sites of infection at domiciles and peridomiciles.RESULTS:The PCL and NCL groups included 769 and 413 individuals, respectively. The mean ± standard deviation MST in the PCL group was 12.62 ± 5.91mm [95% confidence interval (CI): 12.20-13.04], and that in the NCL group was 1.43 ± 2.17mm (95% CI: 1.23-1.63). Receiver-operating characteristic curve analysis indicated 97.4% sensitivity and 93.9% specificity for a cut-off of 5mm and 95.8% sensitivity and 97.1% specificity for a cut-off of 6mm.CONCLUSIONS:Either 5mm or 6mm could be used as the cut-off value for diagnosing ATL, as both values had high sensitivity and specificity.

The World Health Organization Multi-Professional Patient Safety Curriculum : implementation of key modules and its impact on patient safety knowledge, skills, and attitudes of medical students at the University of Algarve

ABSTRACT - Objectives: We attempted to show how the implementation of the key elements of the World Health Organization Patient Safety Curriculum Guide Multi-professional Edition in an undergraduate curriculum affected the knowledge, skills, and attitudes towards patient safety in a graduate entry Portuguese Medical School. Methods: After receiving formal recognition by the WHO as a Complementary Test Site and approval of the organizational ethics committee , the validated pre-course questionnaires measuring the knowledge, skills, and attitudes to patient safety were administered to the 2nd and3rd year students pursuing a four-year course (N = 46). The key modules of the curriculum were implemented over the academic year by employing a variety of learning strategies including expert lecturers, small group problem-based teaching sessions, and Simulation Laboratory sessions. The identical questionnaires were then administered and the impact was measured. The Curriculum Guide was evaluated as a health education tool in this context. Results: A significant number of the respondents, 47 % (n = 22), reported having received some form of prior patient safety training. The effect on Patient Safety Knowledge was assessed by using the percentage of correct pre- and post-course answers to construct 2 × 2 contingency tables and by applying Fishers’ test (two-tailed). No significant differences were detected (p < 0.05). To assess the effect of the intervention on Patient Safety skills and attitudes, the mean and standard deviation were calculated for the pre and post-course responses, and independent samples were subjected to Mann-Whitney’s test. The attitudinal survey indicated a very high baseline incidence of desirable attitudes and skills toward patient safety. Significant changes were detected (p < 0.05) regarding what should happen if an error is made (p = 0.016), the role of healthcare organizations in error reporting (p = 0.006), and the extent of medical error (p = 0.005). Conclusions: The implementation of selected modules of the WHO Patient Safety Curriculum was associated with a number of positive changes regarding patient safety skills and attitudes, with a baseline incidence of highly desirable patient safety attitudes, but no measureable change on the patient safety knowledge, at the University of Algarve Medical School. The significance of these results is discussed along with implications and suggestions for future research.

Introducing mapping standards in the quality assessment of buildings extracted from very high resolution satellite imagery

Many municipal activities require updated large-scale maps that include both topographic and thematic information. For this purpose, the efficient use of very high spatial resolution (VHR) satellite imagery suggests the development of approaches that enable a timely discrimination, counting and delineation of urban elements according to legal technical specifications and quality standards. Therefore, the nature of this data source and expanding range of applications calls for objective methods and quantitative metrics to assess the quality of the extracted information which go beyond traditional thematic accuracy alone. The present work concerns the development and testing of a new approach for using technical mapping standards in the quality assessment of buildings automatically extracted from VHR satellite imagery. Feature extraction software was employed to map buildings present in a pansharpened QuickBird image of Lisbon. Quality assessment was exhaustive and involved comparisons of extracted features against a reference data set, introducing cartographic constraints from scales 1:1000, 1:5000, and 1:10,000. The spatial data quality elements subject to evaluation were: thematic (attribute) accuracy, completeness, and geometric quality assessed based on planimetric deviation from the reference map. Tests were developed and metrics analyzed considering thresholds and standards for the large mapping scales most frequently used by municipalities. Results show that values for completeness varied with mapping scales and were only slightly superior for scale 1:10,000. Concerning the geometric quality, a large percentage of extracted features met the strict topographic standards of planimetric deviation for scale 1:10,000, while no buildings were compliant with the specification for scale 1:1000.

Heart hypoplasia in an animal model of congenital diaphragmatic hernia

PURPOSE: In previous papers, we described a new experimental model of congenital diaphragmatic hernia in rabbits, and we also reported noninvasive therapeutic strategies for prevention of the functional and structural immaturity of the lungs associated with this defect. In addition to lung hypoplasia, pulmonary hypertension, biochemical, and structural immaturity of the lungs, the hemodynamics of infants and animals with congenital diaphragmatic hernia are markedly altered. Hence, cardiac hypoplasia has been implicated as a possible cause of death in patients with congenital diaphragmatic hernia, and it is hypothesized to be a probable consequence of fetal mediastinal compression by the herniated viscera. Cardiac hypoplasia has also been reported in lamb and rat models of congenital diaphragmatic hernia. The purpose of the present experiment was to verify the occurrence of heart hypoplasia in our new model of surgically produced congenital diaphragmatic hernia in fetal rabbits. METHODS: Twelve pregnant New Zealand rabbits underwent surgery on gestational day 24 or 25 (normal full gestational time - 31 to 32 days) to create left-sided diaphragmatic hernias in 1 or 2 fetuses per each doe. On gestational day 30, all does again underwent surgery, and the delivered fetuses were weighed and divided into 2 groups: control (non-surgically treated fetuses) (n = 12) and congenital diaphragmatic hernia (n = 9). The hearts were collected, weighed, and submitted for histologic and histomorphometric studies. RESULTS: During necropsy, it was noted that in all congenital diaphragmatic hernia fetuses, the left lobe of the liver herniated throughout the surgically created defect and occupied the left side of the thorax, with the deviation of the heart to the right side, compressing the left lung; consequently, this lung was smaller than the right one. The body weights of the animals were not altered by congenital diaphragmatic hernia, but heart weights were decreased in comparison to control fetuses. The histomorphometric analysis demonstrated that congenital diaphragmatic hernia promoted a significant decrease in the ventricular wall thickness and an increase in the interventricular septum thickness. CONCLUSION: Heart hypoplasia occurs in a rabbit experimental model of congenital diaphragmatic hernia. This model may be utilized for investigations in therapeutic strategies that aim towards the prevention or the treatment of heart hypoplasia caused by congenital diaphragmatic hernia.

Different doses of exogenous surfactant for treatment of meconium aspiration syndrome in newborn rabbits

OBJECTIVE: To evaluate the effects of 2 different doses of exogenous surfactant on pulmonary mechanics and on the regularity of pulmonary parenchyma inflation in newborn rabbits. METHOD: Newborn rabbits were submitted to tracheostomy and randomized into 4 study groups: the Control group did not receive any material inside the trachea; the MEC group was instilled with meconium, without surfactant treatment; the S100 and S200 groups were instilled with meconium and were treated with 100 and 200 mg/kg of exogenous surfactant (produced by Instituto Butantan) respectively. Animals from the 4 groups were mechanically ventilated during a 25-minute period. Dynamic compliance, ventilatory pressure, tidal volume, and maximum lung volume (P-V curve) were evaluated. Histological analysis was conducted using the mean linear intercept (Lm), and the lung tissue distortion index (SDI) was derived from the standard deviation of the means of the Lm. One-way analysis of variance was used with a = 0.05. RESULTS: After 25 minutes of ventilation, dynamic compliance (mL/cm H2O · kg) was 0.87 ± 0.07 (Control); 0.49 ± 0.04 (MEC*); 0.67 ± 0.06 (S100); and 0.67 ± 0.08 (S200), and ventilatory pressure (cm H2O) was 9.0 ± 0.9 (Control); 16.5 ± 1.7 (MEC*); 12.4 ± 1.1 (S100); and 12.1 ± 1.5 (S200). Both treated groups had lower Lm values and more homogeneity in the lung parenchyma compared to the MEC group: SDI = 7.5 ± 1.9 (Control); 11.3 ± 2.5 (MEC*), 5.8 ± 1.9 (S100); and 6.7 ± 1.7 (S200) (*P < 0.05 versus all the other groups). CONCLUSIONS: Animals treated with surfactant showed significant improvement in pulmonary mechanics and more regularity of the lung parenchyma in comparison to untreated animals. There was no difference in results after treatment with either of the doses used.

MarketOpolis: A market simulation based on investors decisions

This study aims to replicate Apple’s stock market movement by modeling major investment profiles and investors. The present model recreates a live exchange to forecast any predictability in stock price variation, knowing how investors act when it concerns investment decisions. This methodology is particularly relevant if, just by observing historical prices and knowing the tendencies in other players’ behavior, risk-adjusted profits can be made. Empirical research made in the academia shows that abnormal returns are hardly consistent without a clear idea of who is in the market in a given moment and the correspondent market shares. Therefore, even when knowing investors’ individual investment profiles, it is not clear how they affect aggregate markets.

Using artificial neural networks to generate trading signals for crude oil, copper and gold futures

In this thesis, a feed-forward, back-propagating Artificial Neural Network using the gradient descent algorithm is developed to forecast the directional movement of daily returns for WTI, gold and copper futures. Out-of-sample back-test results vary, with some predictive abilities for copper futures but none for either WTI or gold. The best statistically significant hit rate achieved was 57% for copper with an absolute return Sharpe Ratio of 1.25 and a benchmarked Information Ratio of 2.11.

Improving accuracy of inflation forecasts using macroeconomic information

This thesis examines the effects of macroeconomic factors on inflation level and volatility in the Euro Area to improve the accuracy of inflation forecasts with econometric modelling. Inflation aggregates for the EU as well as inflation levels of selected countries are analysed, and the difference between these inflation estimates and forecasts are documented. The research proposes alternative models depending on the focus and the scope of inflation forecasts. I find that models with a Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) in mean process have better explanatory power for inflation variance compared to the regular GARCH models. The significant coefficients are different in EU countries in comparison to the aggregate EU-wide forecast of inflation. The presence of more pronounced GARCH components in certain countries with more stressed economies indicates that inflation volatility in these countries are likely to occur as a result of the stressed economy. In addition, other economies in the Euro Area are found to exhibit a relatively stable variance of inflation over time. Therefore, when analysing EU inflation one have to take into consideration the large differences on country level and focus on those one by one.

Growth strategies in tourism entertainment industry - a pratical application-

In the past few years, prompted by the globalization and the quality and ease of travel, the world has witnessed a boom in the tourism sector. The forecast is that this tendency will continue in the upcoming years, representing a set of opportunities for companies operating in this business area. Boost Tourism operates in the tourism entertainment industry. Its revenues growth has been exponential so the founders decided that it was time to take it to new heights. This Work Project aims to study three alternative growth strategies and, based on a comprehensive analysis of the industry and the market, provide recommendations to outline the optimal expansion path.

Biotransformation/separation routes to obtain pure enantiomers

The objective of the work presented in this thesis was the development of an innovative approach for the separation of enantiomers of secondary alcohols, combining the use of an ionic liquid (IL) - both as solvent for conducting enzymatic kinetic resolution and as acylating agent - with the use of carbon dioxide (CO2) as solvent for extraction. Menthol was selected for testing this reaction/separation approach due to the increasing demand for this substance, which is widely used in the pharmaceutical, cosmetics and food industries. With a view to using an ionic ester as acylating agent, whose conversion led to the release of ethanol, and due to the need to remove this alcohol so as to drive reaction equilibrium forward, a phase equilibrium study was conducted for the ehtanol/(±)-menthol/CO2 system, at pressures between 8 and 10 MPa and temperatures between 40 and 50 oC. It was found that CO2 is more selective towards ethanol, especially at the lowest pressure and highest temperature tested, leading to separation factors in the range 1.6-7.6. The pressure-temperature-composition data obtained were correlated with the Peng-Robinson equation of state and the Mathias-Klotz-Prausnitz mixing rule. The model fit the experimental results well, with an average absolute deviation (AAD) of 3.7 %. The resolution of racemic menthol was studied using two lipases, namely lipase from Candida rugosa (CRL) and immobilized lipase B from Candida antarctica (CALB), and two ionic acylating esters. No reaction was detected in either case. (R,S)-1-phenylethanol was used next, and it was found that with CRL low, nonselective, conversion of the alcohol took place, whereas CALB led to an enantiomeric excess (ee) of the substrate of 95%, at 30% conversion. Other acylating agents were tested for the resolution of (±)-menthol, namely vinyl esters and acid anhydrides, using several lipases and varying other parameters that affect conversion and enantioselectivity, such as substrate concentration, solvent and temperature. One such acylating agent was propionic anhydride. It was thus performed a phase equilibrium study on the propionic anhydride/CO2 system, at temperatures between 35 and 50 oC. This study revealed that, at 35 oC and pressures from 7 MPa, the system is monophasic for all compositions. The enzymatic catalysis studies carried out with propionic anhydride revealed that the extent of noncatalyzed reaction was high, with a negative effect on enantioselectivity. These studies showed also that it was possible to reduce considerably the impact of the noncatalyzed reaction relative to the reaction catalyzed by CRL by lowering temperature to 4 oC. Vinyl decanoate was shown to lead to the best results at conditions amenable to a process combining the use of supercritical CO2 as agent for post-reaction separation. The use of vinyl decanoate in a number of IL solvents, namely [bmim][PF6], [bmim][BF4], [hmim][PF6], [omim][PF6], and [bmim][Tf2N], led to an enantiomeric excess of product (eep) values of over 96%, at about 50% conversion, using CRL. In n-hexane and supercritical CO2, reaction progressed more slowly.(...)