Memória de longo prazo nos retornos acionistas dos índices de referência da euronext, implicações para a hipótese de mercados eficientes e contributo fractal para aperfeiçoamento do capital asset pricing model

Não existe uma definição única de processo de memória de longo prazo. Esse processo é geralmente definido como uma série que possui um correlograma decaindo lentamente ou um espectro infinito de frequência zero. Também se refere que uma série com tal propriedade é caracterizada pela dependência a longo prazo e por não periódicos ciclos longos, ou que essa característica descreve a estrutura de correlação de uma série de longos desfasamentos ou que é convencionalmente expressa em termos do declínio da lei-potência da função auto-covariância. O interesse crescente da investigação internacional no aprofundamento do tema é justificado pela procura de um melhor entendimento da natureza dinâmica das séries temporais dos preços dos ativos financeiros. Em primeiro lugar, a falta de consistência entre os resultados reclama novos estudos e a utilização de várias metodologias complementares. Em segundo lugar, a confirmação de processos de memória longa tem implicações relevantes ao nível da (1) modelação teórica e econométrica (i.e., dos modelos martingale de preços e das regras técnicas de negociação), (2) dos testes estatísticos aos modelos de equilíbrio e avaliação, (3) das decisões ótimas de consumo / poupança e de portefólio e (4) da medição de eficiência e racionalidade. Em terceiro lugar, ainda permanecem questões científicas empíricas sobre a identificação do modelo geral teórico de mercado mais adequado para modelar a difusão das séries. Em quarto lugar, aos reguladores e gestores de risco importa saber se existem mercados persistentes e, por isso, ineficientes, que, portanto, possam produzir retornos anormais. O objetivo do trabalho de investigação da dissertação é duplo. Por um lado, pretende proporcionar conhecimento adicional para o debate da memória de longo prazo, debruçando-se sobre o comportamento das séries diárias de retornos dos principais índices acionistas da EURONEXT. Por outro lado, pretende contribuir para o aperfeiçoamento do capital asset pricing model CAPM, considerando uma medida de risco alternativa capaz de ultrapassar os constrangimentos da hipótese de mercado eficiente EMH na presença de séries financeiras com processos sem incrementos independentes e identicamente distribuídos (i.i.d.). O estudo empírico indica a possibilidade de utilização alternativa das obrigações do tesouro (OT’s) com maturidade de longo prazo no cálculo dos retornos do mercado, dado que o seu comportamento nos mercados de dívida soberana reflete a confiança dos investidores nas condições financeiras dos Estados e mede a forma como avaliam as respetiva economias com base no desempenho da generalidade dos seus ativos. Embora o modelo de difusão de preços definido pelo movimento Browniano geométrico gBm alegue proporcionar um bom ajustamento das séries temporais financeiras, os seus pressupostos de normalidade, estacionariedade e independência das inovações residuais são adulterados pelos dados empíricos analisados. Por isso, na procura de evidências sobre a propriedade de memória longa nos mercados recorre-se à rescaled-range analysis R/S e à detrended fluctuation analysis DFA, sob abordagem do movimento Browniano fracionário fBm, para estimar o expoente Hurst H em relação às séries de dados completas e para calcular o expoente Hurst “local” H t em janelas móveis. Complementarmente, são realizados testes estatísticos de hipóteses através do rescaled-range tests R/S , do modified rescaled-range test M - R/S e do fractional differencing test GPH. Em termos de uma conclusão única a partir de todos os métodos sobre a natureza da dependência para o mercado acionista em geral, os resultados empíricos são inconclusivos. Isso quer dizer que o grau de memória de longo prazo e, assim, qualquer classificação, depende de cada mercado particular. No entanto, os resultados gerais maioritariamente positivos suportam a presença de memória longa, sob a forma de persistência, nos retornos acionistas da Bélgica, Holanda e Portugal. Isto sugere que estes mercados estão mais sujeitos a maior previsibilidade (“efeito José”), mas também a tendências que podem ser inesperadamente interrompidas por descontinuidades (“efeito Noé”), e, por isso, tendem a ser mais arriscados para negociar. Apesar da evidência de dinâmica fractal ter suporte estatístico fraco, em sintonia com a maior parte dos estudos internacionais, refuta a hipótese de passeio aleatório com incrementos i.i.d., que é a base da EMH na sua forma fraca. Atendendo a isso, propõem-se contributos para aperfeiçoamento do CAPM, através da proposta de uma nova fractal capital market line FCML e de uma nova fractal security market line FSML. A nova proposta sugere que o elemento de risco (para o mercado e para um ativo) seja dado pelo expoente H de Hurst para desfasamentos de longo prazo dos retornos acionistas. O expoente H mede o grau de memória de longo prazo nos índices acionistas, quer quando as séries de retornos seguem um processo i.i.d. não correlacionado, descrito pelo gBm(em que H = 0,5 , confirmando- se a EMH e adequando-se o CAPM), quer quando seguem um processo com dependência estatística, descrito pelo fBm(em que H é diferente de 0,5, rejeitando-se a EMH e desadequando-se o CAPM). A vantagem da FCML e da FSML é que a medida de memória de longo prazo, definida por H, é a referência adequada para traduzir o risco em modelos que possam ser aplicados a séries de dados que sigam processos i.i.d. e processos com dependência não linear. Então, estas formulações contemplam a EMH como um caso particular possível.

Notional processors: an approach for multiprocessor scheduling

Consider the problem of designing an algorithm with a high utilisation bound for scheduling sporadic tasks with implicit deadlines on identical processors. A task is characterised by its minimum interarrival time and its execution time. Task preemption and migration is permitted. Still, low preemption and migration counts are desirable. We formulate an algorithm with a utilisation bound no less than 66.¯6%, characterised by worst-case preemption counts comparing favorably against the state-of-the-art.

An approach for reliability-based robust design optimisation of angle-ply composites

Variations of manufacturing process parameters and environmental aspects may affect the quality and performance of composite materials, which consequently affects their structural behaviour. Reliability-based design optimisation (RBDO) and robust design optimisation (RDO) searches for safe structural systems with minimal variability of response when subjected to uncertainties in material design parameters. An approach that simultaneously considers reliability and robustness is proposed in this paper. Depending on a given reliability index imposed on composite structures, a trade-off is established between the performance targets and robustness. Robustness is expressed in terms of the coefficient of variation of the constrained structural response weighted by its nominal value. The Pareto normed front is built and the nearest point to the origin is estimated as the best solution of the bi-objective optimisation problem.

Operational modal monitoring of ancient structures using wireless technology

Operational Modal Analysis is currently applied in structural dynamic monitoring studies using conventional wired based sensors and data acquisition platforms. This approach, however, becomes inadequate in cases where the tests are performed in ancient structures with esthetic concerns or in others, where the use of wires greatly impacts the monitoring system cost and creates difficulties in the maintenance and deployment of data acquisition platforms. In these cases, the use of sensor platforms based on wireless and MEMS would clearly benefit these applications. This work presents a first attempt to apply this wireless technology to the structural monitoring of historical masonry constructions in the context of operational modal analysis. Commercial WSN platforms were used to study one laboratory specimen and one of the structural elements of a XV century building in Portugal. Results showed that in comparison to the conventional wired sensors, wireless platforms have poor performance in respect to the acceleration time series recorded and the detection of modal shapes. However, for frequency detection issues, reliable results were obtained, especially when random excitation was used as noise source.

A scalable and efficient approach for obtaining measurements in CAN-Based control systems

The availability of small inexpensive sensor elements enables the employment of large wired or wireless sensor networks for feeding control systems. Unfortunately, the need to transmit a large number of sensor measurements over a network negatively affects the timing parameters of the control loop. This paper presents a solution to this problem by representing sensor measurements with an approximate representation-an interpolation of sensor measurements as a function of space coordinates. A priority-based medium access control (MAC) protocol is used to select the sensor messages with high information content. Thus, the information from a large number of sensor measurements is conveyed within a few messages. This approach greatly reduces the time for obtaining a snapshot of the environment state and therefore supports the real-time requirements of feedback control loops.

An integrated approach for TQM implementation in SMEs

This paper tackles the broad issue of TQM implementation in SMEs. It includes a review of two models aimed at improving organisational performance, the EFQM Excellence Model and the Balanced Scorecard, which have been widely used in large organisations. Both models are examined as to their suitability and applicability to small and medium sized enterprises. The findings indicate that SMEs can benefit from the adoption of an integrated approach that combines both models if some critical factors are considered in the implementation process. A theoretical framework is proposed, which considers such integration and leads to a gradual implementation of TQM principles and methods in SMEs.

An approach to health and safety in E.U. forestry operations – Hazards and preventive measures

Forestry in general and logging in particular continue to be among the three most hazardous sectors in European countries. The aim of this article is to characterize health and safety problems and solutions in E.U. forestry operations, and particularly in Portuguese operations. Forest types, production, employment and ownership are used to characterize the forest sector. Forestry accidents and health problems data are mentioned. Typical hazards associated to the nature of logging operations are systematized. Preventive measures, focused on a wide spectrum of measures, making safety considerations an integral feature of all operational activities from planning to organization to execution and supervision of work are emphasized in this article.

Implementation details of the time division beacon scheduling approach for ZigBee cluster-tree networks

This technical report describes the implementation details of the Time Division Beacon Scheduling Approach in IEEE 802.15.4/ZigBee Cluster-Tree Networks. In this technical report we describe the implementation details, focusing on some aspects of the ZigBee Network Layer and the Time Division Beacon Scheduling mechanism. This report demonstrates the feasibility of our approach based on the evaluation of the experimental results. We also present an overview of the ZigBee address and tree-routing scheme.

Task-based occupational exposure assessment and particle number concentration: two important data resources to perform risk assessment for occupational exposure to particles

Environment monitoring has an important role in occupational exposure assessment. However, due to several factors is done with insufficient frequency and normally don´t give the necessary information to choose the most adequate safety measures to avoid or control exposure. Identifying all the tasks developed in each workplace and conducting a task-based exposure assessment help to refine the exposure characterization and reduce assessment errors. A task-based assessment can provide also a better evaluation of exposure variability, instead of assessing personal exposures using continuous 8-hour time weighted average measurements. Health effects related with exposure to particles have mainly been investigated with mass-measuring instruments or gravimetric analysis. However, more recently, there are some studies that support that size distribution and particle number concentration may have advantages over particle mass concentration for assessing the health effects of airborne particles. Several exposure assessments were performed in different occupational settings (bakery, grill house, cork industry and horse stable) and were applied these two resources: task-based exposure assessment and particle number concentration by size. The results showed interesting results: task-based approach applied permitted to identify the tasks with higher exposure to the smaller particles (0.3 μm) in the different occupational settings. The data obtained allow more concrete and effective risk assessment and the identification of priorities for safety investments.

A VLF to UHF propagation model for evaluation of high-speed railway electromagnetic interference in RF monitoring base-stations

Considering that recent european high-speed railway system has a traction power system of kV 50 Hz, which causes electromagnetic emission for the outside world, it is important to dimension the railway system emissions, using a frequency/distance dependent propagation model. This paper presents an enhanced theoretical model for VLF to UHF propagation, railway system oriented. It introduces the near field approach (crucial in low frequency propagation) and also considers the source characteristics and type of measuring antenna. Simulations are presented, and comparisons are set with earlier far field models. Using the developed model, a real case study was performed in partnership with Refer Telecom (portuguese telecom operator for railways). The new propagation model was used in order to predict the future high-speed railway electromagnetic emissions in the Lisbon north track. The results show the model's prediction capabilities and also its applicability to realistic scenarios.

ECG Biometrics: A Template Selection Approach

Electrocardiography (ECG) biometrics is emerging as a viable biometric trait. Recent developments at the sensor level have shown the feasibility of performing signal acquisition at the fingers and hand palms, using one-lead sensor technology and dry electrodes. These new locations lead to ECG signals with lower signal to noise ratio and more prone to noise artifacts; the heart rate variability is another of the major challenges of this biometric trait. In this paper we propose a novel approach to ECG biometrics, with the purpose of reducing the computational complexity and increasing the robustness of the recognition process enabling the fusion of information across sessions. Our approach is based on clustering, grouping individual heartbeats based on their morphology. We study several methods to perform automatic template selection and account for variations observed in a person's biometric data. This approach allows the identification of different template groupings, taking into account the heart rate variability, and the removal of outliers due to noise artifacts. Experimental evaluation on real world data demonstrates the advantages of our approach.

Iterative refinement approach for QOS-Aware service configuration

In heterogeneous environments, diversity of resources among the devices may affect their ability to perform services with specific QoS constraints, and drive peers to group themselves in a coalition for cooperative service execution. The dynamic selection of peers should be influenced by user’s QoS requirements as well as local computation availability, tailoring provided service to user’s specific needs. However, complex dynamic real-time scenarios may prevent the possibility of computing optimal service configurations before execution. An iterative refinement approach with the ability to trade off deliberation time for the quality of the solution is proposed. We state the importance of quickly finding a good initial solution and propose heuristic evaluation functions that optimise the rate at which the quality of the current solution improves as the algorithms have more time to run.

Run-time monitoring approach for the shark kernel

Typically common embedded systems are designed with high resource constraints. Static designs are often chosen to address very specific use cases. On contrast, a dynamic design must be used if the system must supply a real-time service where the input may contain factors of indeterminism. Thus, adding new functionality on these systems is often accomplished by higher development time, tests and costs, since new functionality push the system complexity and dynamics to a higher level. Usually, these systems have to adapt themselves to evolving requirements and changing service requests. In this perspective, run-time monitoring of the system behaviour becomes an important requirement, allowing to dynamically capturing the actual scheduling progress and resource utilization. For this to succeed, operating systems need to expose their internal behaviour and state, making it available to the external applications, usually using a run-time monitoring mechanism. However, such mechanism can impose a burden in the system itself if not wisely used. In this paper we explore this problem and propose a framework, which is intended to provide this run-time mechanism whilst achieving code separation, run-time efficiency and flexibility for the final developer.

Perceptually driven video error protection using a distributed source coding approach

In video communication systems, the video signals are typically compressed and sent to the decoder through an error-prone transmission channel that may corrupt the compressed signal, causing the degradation of the final decoded video quality. In this context, it is possible to enhance the error resilience of typical predictive video coding schemes using as inspiration principles and tools from an alternative video coding approach, the so-called Distributed Video Coding (DVC), based on the Distributed Source Coding (DSC) theory. Further improvements in the decoded video quality after error-prone transmission may also be obtained by considering the perceptual relevance of the video content, as distortions occurring in different regions of a picture have a different impact on the user's final experience. In this context, this paper proposes a Perceptually Driven Error Protection (PDEP) video coding solution that enhances the error resilience of a state-of-the-art H.264/AVC predictive video codec using DSC principles and perceptual considerations. To increase the H.264/AVC error resilience performance, the main technical novelties brought by the proposed video coding solution are: (i) design of an improved compressed domain perceptual classification mechanism; (ii) design of an improved transcoding tool for the DSC-based protection mechanism; and (iii) integration of a perceptual classification mechanism in an H.264/AVC compliant codec with a DSC-based error protection mechanism. The performance results obtained show that the proposed PDEP video codec provides a better performing alternative to traditional error protection video coding schemes, notably Forward Error Correction (FEC)-based schemes. (C) 2013 Elsevier B.V. All rights reserved.

Component-based software engineering: a quantitative approach

Dissertação apresentada para a obtenção do Grau de Doutor em Informática pela Universidade Nova de Lisboa, Faculdade de Ciências e Tecnologia