Monetary policy, exchange rates and stock prices in the Middle East region

A structural vector autoregressive model is employed to investigate the impact of monetary policy and real exchange rate shocks on the stock market performance of Kuwait, Oman, Saudi Arabia, Egypt and Jordan. In order to identify the structural shocks both short run and long run restrictions are applied. Unlike previous literature the contemporaneous interdependence between the financial variables are left unrestricted to give a more accurate depiction of the relationships. The heterogeneity of the results reflect the different monetary policy frameworks and stock market characteristics of these countries. Mainly, monetary policy and the real exchange rate shocks have a significant short run impact on the stock prices of the countries that apply a relatively more independent monetary policy and flexible exchange rates.

Volatility and VaR Forecasting in the Madrid Stock Exchange

This paper provides an empirical study to assess the forecasting performance of a wide range of models for predicting volatility and VaR in the Madrid Stock Exchange. The models performance was measured by using different loss functions and criteria. The results show that FIAPARCH processes capture and forecast more accurately the dynamics of IBEX-35 returns volatility. It is also observed that assuming a heavy-tailed distribution does not improve models ability for predicting volatility. However, when the aim is forecasting VaR, we find evidence of that the Student’s t FIAPARCH outperforms the models it nests the lower the target quantile.

Personality, emotion, and mood in agent-based group decision making

Group decision making plays an important role in organizations, especially in the present-day economy that demands high-quality, yet quick decisions. Group decision-support systems (GDSSs) are interactive computer-based environments that support concerted, coordinated team efforts toward the completion of joint tasks. The need for collaborative work in organizations has led to the development of a set of general collaborative computer-supported technologies and specific GDSSs that support distributed groups (in time and space) in various domains. However, each person is unique and has different reactions to various arguments. Many times a disagreement arises because of the way we began arguing, not because of the content itself. Nevertheless, emotion, mood, and personality factors have not yet been addressed in GDSSs, despite how strongly they influence results. Our group’s previous work considered the roles that emotion and mood play in decision making. In this article, we reformulate these factors and include personality as well. Thus, this work incorporates personality, emotion, and mood in the negotiation process of an argumentbased group decision-making process. Our main goal in this work is to improve the negotiation process through argumentation using the affective characteristics of the involved participants. Each participant agent represents a group decision member. This representation lets us simulate people with different personalities. The discussion process between group members (agents) is made through the exchange of persuasive arguments. Although our multiagent architecture model4 includes two types of agents—the facilitator and the participant— this article focuses on the emotional, personality, and argumentation components of the participant agent.

New insights on integer-programming models for the kidney exchange problem

In recent years several countries have set up policies that allow exchange of kidneys between two or more incompatible patient–donor pairs. These policies lead to what is commonly known as kidney exchange programs. The underlying optimization problems can be formulated as integer programming models. Previously proposed models for kidney exchange programs have exponential numbers of constraints or variables, which makes them fairly difficult to solve when the problem size is large. In this work we propose two compact formulations for the problem, explain how these formulations can be adapted to address some problem variants, and provide results on the dominance of some models over others. Finally we present a systematic comparison between our models and two previously proposed ones via thorough computational analysis. Results show that compact formulations have advantages over non-compact ones when the problem size is large.

Privatization and government preference in a public Stackelberg leader duopoly

We analyse the relationship between the privatization of a public firm and government preferences for tax revenue in a Stackelberg duopoly with the public firm as the leader. We assume that the government payoff is given by a weighted sum of tax revenue and the sum of consumer and producer surplus. We get that if the government puts a sufficiently larger weight on tax revenue than on the sum of both surpluses, it will not privatize the public firm. In contrast, if the government puts a moderately larger weight on tax revenue than on the sum of both surpluses, it will privatize the public firm.

Environmental taxes in a public Stackelberg leader duopoly

We study whether privatization of a public firm improves (or deteriorates) the environment in a mixed Stackelberg duopoly with the public firm as the leader. We assume that each firm can prevent pollution by undertaking abatement measures. We get that, since in the mixed market the industry output is higher than in the private market, the abatement levels are also higher in the mixed market, and, thus, environmental tax rate in the mixed duopoly is higher than that in the privatized duopoly. Furthermore, the environment is more damaged in the mixed than in the private market. The overall effect on the social welfare is that it will becomes higher in the private than in the mixed market.

Cantor exchange systems and renormalization

We prove a one-to-one correspondence between (i) C1+ conjugacy classes of C1+H Cantor exchange systems that are C1+H fixed points of renormalization and (ii) C1+ conjugacy classes of C1+H diffeomorphisms f with a codimension 1 hyperbolic attractor Lambda that admit an invariant measure absolutely continuous with respect to the Hausdorff measure on Lambda. However, we prove that there is no C1+alpha Cantor exchange system, with bounded geometry, that is a C1+alpha fixed point of renormalization with regularity alpha greater than the Hausdorff dimension of its invariant Cantor set.

Arc exchange systems and renormalization

We exhibit the construction of stable arc exchange systems from the stable laminations of hyperbolic diffeomorphisms. We prove a one-to-one correspondence between (i) Lipshitz conjugacy classes of C(1+H) stable arc exchange systems that are C(1+H) fixed points of renormalization and (ii) Lipshitz conjugacy classes of C(1+H) diffeomorphisms f with hyperbolic basic sets Lambda that admit an invariant measure absolutely continuous with respect to the Hausdorff measure on Lambda. Let HD(s)(Lambda) and HD(u)(Lambda) be, respectively, the Hausdorff dimension of the stable and unstable leaves intersected with the hyperbolic basic set L. If HD(u)(Lambda) = 1, then the Lipschitz conjugacy is, in fact, a C(1+H) conjugacy in (i) and (ii). We prove that if the stable arc exchange system is a C(1+HDs+alpha) fixed point of renormalization with bounded geometry, then the stable arc exchange system is smooth conjugate to an affine stable arc exchange system.

Modelling and optimization of the ion exchange membrane bioreactor for removal of anionic pollutants from drinking water streams

Dissertação para obtenção do Grau de Doutor em Engenharia Química, especialidade de Engenharia Bioquímica

How differently do our non-large companies listed on the Portuguese Stock Exchange perform?

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and Economics

Pricing of exchange traded funds

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Tracking error of exchange-traded funds: Evidence from the UK

This paper is mainly concerned with the tracking accuracy of Exchange Traded Funds (ETFs) listed on the London Stock Exchange (LSE) but also evaluates their performance and pricing efficiency. The findings show that ETFs offer virtually the same return but exhibit higher volatility than their benchmark. It seems that the pricing efficiency, which should come from the creation and redemption process, does not fully hold as equity ETFs show consistent price premiums. The tracking error of the funds is generally small and is decreasing over time. The risk of the ETF, daily price volatility and the total expense ratio explain a large part of the tracking error. Trading volume, fund size, bid-ask spread and average price premium or discount did not have an impact on the tracking error. Finally, it is concluded that market volatility and the tracking error are positively correlated.

A qualitative approach to define the prototype of a Portuguese expatriate leader in Angola

This qualitative research analyzes the individual life experiences of Portuguese expatriate leaders who left their home country to work at organizations in Angola, a place that offers better job opportunities. Through interviews with those professionals and their followers, a prototype of a Portuguese expatriate leader in Angola has been developed. Even though Angola is a former Portuguese colony, it was at war for many years and so the economic situation and culture of the country are distant from what Portuguese workers are used too, which requires them to adapt and be open-minded to change.