Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normal distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalized assumption of normal distributed financial returns. Thus it is crucial to properly model the distribution tails so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey (2000) and combine the GARCH-type models with the Extreme Value Theory (EVT) to estimate the tails of three financial index returns DJI,FTSE 100 and NIKKEI 225 representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are much more accurate than those from conventional AR-GARCH models assuming normal or Student’s t-distribution innovations when doing out-of-sample estimation (within the insample estimation, this is so for the right tail of the distribution of returns).

SNC / NCRF 24 – Acontecimentos após a data do balanço e suas implicações fiscais e de auditoria

Orientador Prof. Dr. João Domingues Costa

Geostatistical Mapping of Outfall Plume Dispersion Data gathered with an autonomous underwater vehicle

The main purpose of this study was to examine the applicability of geostatistical modeling to obtain valuable information for assessing the environmental impact of sewage outfall discharges. The data set used was obtained in a monitoring campaign to S. Jacinto outfall, located off the Portuguese west coast near Aveiro region, using an AUV. The Matheron’s classical estimator was used the compute the experimental semivariogram which was fitted to three theoretical models: spherical, exponential and gaussian. The cross-validation procedure suggested the best semivariogram model and ordinary kriging was used to obtain the predictions of salinity at unknown locations. The generated map shows clearly the plume dispersion in the studied area, indicating that the effluent does not reach the near by beaches. Our study suggests that an optimal design for the AUV sampling trajectory from a geostatistical prediction point of view, can help to compute more precise predictions and hence to quantify more accurately dilution. Moreover, since accurate measurements of plume’s dilution are rare, these studies might be very helpful in the future for validation of dispersion models.

Grid Integration of Offshore Wind Farms Using Modular Marx Multilevel Converters

This paper proposes the use of a Modular Marx Multilevel Converter, as a solution for energy integration between an offshore Wind Farm and the power grid network. The Marx modular multilevel converter is based on the Marx generator, and solves two typical problems in this type of multilevel topologies: modularity and dc capacitor voltage balancing. This paper details the strategy for dc capacitor voltage equalization. The dynamic models of the converter and power grid are presented in order to design the converter ac output voltages and the dc capacitor voltage controller. The average current control is presented and used for power flow control, harmonics and reactive power compensation. Simulation results are presented in order to show the effectiveness of the proposed (MC)-C-3 topology.

PHYLOViZ: phylogenetic inference and data visualization for sequence based typing methods

Background: With the decrease of DNA sequencing costs, sequence-based typing methods are rapidly becoming the gold standard for epidemiological surveillance. These methods provide reproducible and comparable results needed for a global scale bacterial population analysis, while retaining their usefulness for local epidemiological surveys. Online databases that collect the generated allelic profiles and associated epidemiological data are available but this wealth of data remains underused and are frequently poorly annotated since no user-friendly tool exists to analyze and explore it. Results: PHYLOViZ is platform independent Java software that allows the integrated analysis of sequence-based typing methods, including SNP data generated from whole genome sequence approaches, and associated epidemiological data. goeBURST and its Minimum Spanning Tree expansion are used for visualizing the possible evolutionary relationships between isolates. The results can be displayed as an annotated graph overlaying the query results of any other epidemiological data available. Conclusions: PHYLOViZ is a user-friendly software that allows the combined analysis of multiple data sources for microbial epidemiological and population studies. It is freely available at http://www.phyloviz.net.

Probing the scalar-pseudoscalar mixing in the 125 GeV Higgs particle with current data

LHC has found hints for a Higgs particle of 125 GeV. We investigate the possibility that such a particle is a mixture of scalar and pseudoscalar states. For definiteness, we concentrate on a two-Higgs doublet model with explicit CP violation and soft Z(2) violation. Including all Higgs production mechanisms, we determine the current constraints obtained by comparing h -> yy with h -> VV*, and comment on the information which can be gained by measurements of h -> b (b) over bar. We find bounds vertical bar s(2)vertical bar less than or similar to 0.83 at one sigma, where vertical bar s(2)vertical bar = 0 (vertical bar s(2)vertical bar = 1) corresponds to a pure scalar (pure pseudoscalar) state.

Norma internacional de contabilidade [NIC 10 ]: acontecimento após a data de balanço

Revista Fiscal Maio 2006

Inserção profissional: os desafios nos primeiros anos de ensino

A problemática da inserção profissional dos novos professores tem sido largamente estudada sob várias perspetivas das quais destacamos, as dificuldades enfrentadas no início do seu desempenho como docentes (Alen y Sardi, 2009) Krichesky y Merodo (2009), o vinculo entre inserção e identidade profissional (Martineau y Portelance, 2005), o desenvolvimento da competência ética nos novos professores (St. Vincent 2011) e as trajetórias de emprego, entre outras.Os resultados destas pesquisas têm revelado o tipo de problemas enfrentados pelos novos professores à entrada na carreira docente e confirmado que nem todos os percursos se iniciam de modo tranquilo e sereno. É esta a problemática que serve de base ao objeto de estudo desta dissertação, pretendendo-se mais precisamente, centrar a nossa pesquisa no percurso profissional de seis professores diplomados pela Escola Superior de Educação de Lisboa há dois anos. O objetivo geral do estudo é, assim, descrever e compreender o desenvolvimento profissional desses professores, identificar as dimensões mais relevantes, os fatores que o condicionam e os contextos que o limitam ou facilitam. Tendo em conta o objeto de estudo identificaram-se as seguintes questões: 1) Quais as implicações da formação inicial no desempenho da profissão? 2) Quais as principais dificuldades / problemas com que se defrontaram os novos professores na inserção na profissão?; 3) Como atuam os professores principiantes?; O que mudam nas suas práticas, o que perdura?; 4) Como se incrementa o sentimento de pertença ao novo grupo profissional?; 5) Quais as particularidades dos contextos de trabalho em que estes professores se encontram integrados que se revelam facilitadoras e/ou constrangedoras da sua inserção profissional? Para o efeito recorremos a uma metodologia qualitativa, e privilegiámos como técnica de recolha de dados a entrevista semiestruturada. Para o tratamento dos dados sustentámo-nos na análise de conteúdo seguindo os passos recomendados para a análise de conteúdo (Bardin, 2009). Os resultados do estudo permitiram identificar os constrangimentos experimentados por estes professores à entrada da profissão, assim como os modos como os ultrapassaram. Destes, destacam-se dificuldades relacionadas com a falta de autonomia, com aspetos de natureza metodológica, ao nível da organização e desenvolvimento curricular e de relacionamento com os elementos da direção das instituições nos contextos de trabalho.Abstract The issue of employability of new teachers has been widely studied from various perspectives. Research has revealed the sort of problems faced by new teachers at the beginning of their career. It confirms that frequently it is not a peaceful and serene start. We highlight the following difficulties: the link between integration and professional identity (Alen y Sardi, 2009; Krichesky y Merodo, 2009), the development of ethical competence in new teachers (y Portelance Martineau, 2005), and the professional path (St. Vincent 2011). This is the hypothesis explored in this thesis. Specifically, we focus our research on the career of six graduate teachers by the Lisbon School of Education. The main objective is to describe and understand the professional development of these teachers. For that we identify the most relevant dimensions, the factors that constrain and contexts that limit or facilitate their development. A qualitative methodology was used throughout the study. Semi structured interviews were the main data collection process. Data treatment followed the recommended framework for content analysis (Bardin, 2009). The following research questions were put forward: 1) What are the impacts of base level of knowledge in the professional performance? 2) What are the main difficulties / problems that new teachers face? 3) How do novice teachers perform? What changes in their methods, what endures? 4) What increases the feeling of belonging to the new professional group? 5) What are the peculiarities of work contexts that act as facilitators and/or barriers to professional acceptance? The results allowed identifying the constraints experienced by teachers at the beginning of their careers, and the ways to surpass them. We highlight the difficulties related to: lack of autonomy; methodologies; curricular organization and development; and the relationship with the directors at their workplace.

Expectativas dos stakeholders para as fusões e aquisições: um estudo de caso: aquisição do Finibanco pelo Montepio

Dissertação apresentada ao ISCAP para a obtenção do Grau de Mestre em Auditoria Orientada por: Prof. Doutora Alcina Dias

Data mining contributions to characterize MV consumers and to improve the suppliers-consumers settlements

This paper deals with the establishment of a characterization methodology of electric power profiles of medium voltage (MV) consumers. The characterization is supported on the data base knowledge discovery process (KDD). Data Mining techniques are used with the purpose of obtaining typical load profiles of MV customers and specific knowledge of their customers’ consumption habits. In order to form the different customers’ classes and to find a set of representative consumption patterns, a hierarchical clustering algorithm and a clustering ensemble combination approach (WEACS) are used. Taking into account the typical consumption profile of the class to which the customers belong, new tariff options were defined and new energy coefficients prices were proposed. Finally, and with the results obtained, the consequences that these will have in the interaction between customer and electric power suppliers are analyzed.

Virtual power producers integration into MASCEM

All over the world Distributed Generation is seen as a valuable help to get cleaner and more efficient electricity. Under this context distributed generators, owned by different decentralized players can provide a significant amount of the electricity generation. To get negotiation power and advantages of scale economy, these players can be aggregated giving place to a new concept: the Virtual Power Producer. Virtual Power Producers are multi-technology and multi-site heterogeneous entities. Virtual Power Producers should adopt organization and management methodologies so that they can make Distributed Generation a really profitable activity, able to participate in the market. In this paper we address the integration of Virtual Power Producers into an electricity market simulator –MASCEM – as a coalition of distributed producers.

Data mining techniques contributions to support electrical vehicle demand response

The introduction of Electric Vehicles (EVs) together with the implementation of smart grids will raise new challenges to power system operators. This paper proposes a demand response program for electric vehicle users which provides the network operator with another useful resource that consists in reducing vehicles charging necessities. This demand response program enables vehicle users to get some profit by agreeing to reduce their travel necessities and minimum battery level requirements on a given period. To support network operator actions, the amount of demand response usage can be estimated using data mining techniques applied to a database containing a large set of operation scenarios. The paper includes a case study based on simulated operation scenarios that consider different operation conditions, e.g. available renewable generation, and considering a diversity of distributed resources and electric vehicles with vehicle-to-grid capacity and demand response capacity in a 33 bus distribution network.

Mantle source heterogeneity, magma generation and magmatic evolution at Terceira Island (Azoresarchipelago): Constraints from elemental and isotopic (Sr, Nd, Hf, and Pb) data

This work addresses the present-day (<100 ka) mantle heterogeneity in the Azores region through the study of two active volcanic systems from Terceira Island. Our study shows that mantle heterogeneities are detectable even when "coeval" volcanic systems (Santa Barbara and Fissural) erupted less than 10 km away. These volcanic systems, respectively, reflect the influence of the Terceira and D. Joao de Castro Bank end-members defined by Beier et at (2008) for the Terceira Rift Santa Barbara magmas are interpreted to be the result of mixing between a HIMU-type component, carried to the upper mantle by the Azores plume, and the regional depleted MORB magmas/source. Fissural lavas are characterized by higher Ba/Nb and Nb/U ratios and less radiogenic Pb-206/Pb-204, Nd-143/Nd-144 and Hf-176/Hf-177, requiring the small contribution of delaminated sub-continental lithospheric mantle residing in the upper mantle. Published noble gas data on lavas from both volcanic systems also indicate the presence of a relatively undegassed component, which is interpreted as inherited from a lower mantle reservoir sampled by the ascending Azores plume. As inferred from trace and major elements, melting began in the garnet stability field, while magma extraction occurred within the spinel zone. The intra-volcanic system's chemical heterogeneity is mainly explained by variable proportions of the above-mentioned local end-members and by crystal fractionation processes. (C) 2011 Elsevier By. All rights reserved.

On the solubility of three disperse anthraquinone dyes in supercritical carbon dioxide: new experimental data and correlation

Solubility measurements of quinizarin. (1,4-dihydroxyanthraquinone), disperse red 9 (1-(methylamino) anthraquinone), and disperse blue 14 (1,4-bis(methylamino)anthraquinone) in supercritical carbon dioxide (SC CO2) were carried out in a flow type apparatus, at a temperature range from (333.2 to 393.2) K and at pressures from (12.0 to 40.0) MPa. Mole fraction solubility of the three dyes decreases in the order quinizarin (2.9 x 10(-6) to 2.9.10(-4)), red 9 (1.4 x 10(-6) to 3.2 x 10(-4)), and blue 14 (7.8 x 10(-8) to 2.2 x 10(-5)). Four semiempirical density based models were used to correlatethe solubility of the dyes in the SC CO2. From the correlation results, the total heat of reaction, heat of vaporization plus the heat of solvation of the solute, were calculated and compared with the results presented in the literature. The solubilities of the three dyes were correlated also applying the Soave-Redlich-Kwong cubic equation of state (SRK CEoS) with classical mixing rules, and the physical properties required for the modeling were estimated and reported.

Balancing market integration in MASCEM electricity market simulator

With the restructuring of the energy sector in industrialized countries there is an increased complexity in market players’ interactions along with emerging problems and new issues to be addressed. Decision support tools that facilitate the study and understanding of these markets are extremely useful to provide players with competitive advantage. In this context arises MASCEM, a multi-agent simulator for competitive electricity markets. It is essential to reinforce MASCEM with the ability to recreate electricity markets reality in the fullest possible extent, making it able to simulate as many types of markets models and players as possible. This paper presents the development of the Balancing Market in MASCEM. A key module to the study of competitive electricity markets, as it has well defined and distinct characteristics previously implemented.