Market Index Biases and Minimum Risk Indices

Markets, in the real world, are not efficient zero-sum games where hypotheses of the CAPM are fulfilled. Then, it is easy to conclude the market portfolio is not located on Markowitz"s efficient frontier, and passive investments (and indexing) are not optimal but biased. In this paper, we define and analyze biases suffered by passive investors: the sample, construction, efficiency and active biases and tracking error are presented. We propose Minimum Risk Indices (MRI) as an alternative to deal with to market index biases, and to provide investors with portfolios closer to the efficient frontier, that is, more optimal investment possibilities. MRI (using a Parametric Value-at-Risk Minimization approach) are calculated for three stock markets achieving interesting results. Our indices are less risky and more profitable than current Market Indices in the Argentinean and Spanish markets, facing that way the Efficient Market Hypothesis. Two innovations must be outlined: an error dimension has been included in the backtesting and the Sharpe"s Ratio has been used to select the"best" MRI

Poverty and marginalisation : challenges to poor women's leadership in urban India

This article examines the women's quota at the local governance level in urban India, using several case studies of women municipal councillors, to question the evidently low numbers of poor and marginalised women amongst them. It examines issues of class, caste, and religion that have a direct impact on the access of poor women to quotas reserved for them at the local government level. The objective of this work is to draw attention to the specific ways in which women are constrained at the pre-election stage, resulting in an elite capture of the women's quota in India, indicating the need for further research and study on this issue.

Source separation techniques applied to linear prediction

The prediction filters are well known models for signal estimation, in communications, control and many others areas. The classical method for deriving linear prediction coding (LPC) filters is often based on the minimization of a mean square error (MSE). Consequently, second order statistics are only required, but the estimation is only optimal if the residue is independent and identically distributed (iid) Gaussian. In this paper, we derive the ML estimate of the prediction filter. Relationships with robust estimation of auto-regressive (AR) processes, with blind deconvolution and with source separation based on mutual information minimization are then detailed. The algorithm, based on the minimization of a high-order statistics criterion, uses on-line estimation of the residue statistics. Experimental results emphasize on the interest of this approach.

Capital Controls with International Reserve Accumulation: Can this Be Optimal ?

Motivated by the Chinese experience, we analyze a semi-open economy where the central bank has access to international capital markets, but the private sector has not. This enables the central bank to choose an interest rate different from the international rate. We examine the optimal policy of the central bank by modelling it as a Ramsey planner who can choose the level of domestic public debt and of international reserves. The central bank can improve savings opportunities of credit-constrained consumers modelled as in Woodford (1990). We find that in a steady state it is optimal for the central bank to replicate the open economy, i.e., to issue debt financed by the accumulation of reserves so that the domestic interest rate equals the foreign rate. When the economy is in transition, however, a rapidly growing economy has a higher welfare without capital mobility and the optimal interest rate differs from the international rate. We argue that the domestic interest rate should be temporarily above the international rate. We also find that capital controls can still help reach the first best when the planner has more fiscal instruments.

Nonlinear prediction based on score function

The linear prediction coding of speech is based in the assumption that the generation model is autoregresive. In this paper we propose a structure to cope with the nonlinear effects presents in the generation of the speech signal. This structure will consist of two stages, the first one will be a classical linear prediction filter, and the second one will model the residual signal by means of two nonlinearities between a linear filter. The coefficients of this filter are computed by means of a gradient search on the score function. This is done in order to deal with the fact that the probability distribution of the residual signal still is not gaussian. This fact is taken into account when the coefficients are computed by a ML estimate. The algorithm based on the minimization of a high-order statistics criterion, uses on-line estimation of the residue statistics and is based on blind deconvolution of Wiener systems [1]. Improvements in the experimental results with speech signals emphasize on the interest of this approach.

Apical closure device for transapical valve procedures?.

OBJECTIVES: Transapical transcatheter valve procedures are performed through a left minithoracotomy and require apical sutures to seal the apical access site. The use of large-calibre devices compromises any attempt to fully perform the procedure with a thoracoscopic approach or percutaneously. We report our preliminary experience in animals with a new sutureless self-expandable apical occluder, engineered to perform transapical access site closure in a minimally invasive setting with large-size introducer sheaths. METHODS: The apical occluder with extendable waist was implanted in six young pigs during an acute animal study. Under general anaesthesia, animals (mean weight: 62 ± 8 kg) received full heparinization (heparin: 100 UI/kg; activated clotting time above 250 s). Through a median sternotomy, a 21-Fr Certitude? introducer sheath (outer diameter: 25 Fr) was placed over the wire into the cardiac apex. The delivery catheter carrying the constrained apical plug was inserted into the sheath and deployed under fluoroscopic control, whereas the Certitude? was retrieved. After protamine infusion, we observed and recorded the 1-h bleeding with standard haemodynamic parameters. Animals were sacrificed, and hearts analysed. RESULTS: Six apical closure devices were successfully introduced and deployed in six pig hearts through large-size apical sheaths at first attempt. In all animals, the plugs guaranteed immediate apical sealing and traces of blood were collected in the pericardium during the 1-h observational period (mean of 16 ± 3.4 ml of blood loss per animal). Haemodynamic parameters remained stable during the entire study period and no plug dislodgement was detected with normal systemic blood pressure (mean arterial mean blood pressure: 65 ± 7 mmHg). Post-mortem analysis confirmed the full deployment and good fixation of all plugs, without macroscopic damages to the surrounding myocardium. CONCLUSIONS: This sutureless self-expandable apical occluder is a simple device capable of sealing large-size apical access sites (20-35 Fr) in an acute animal study. This approach is a step further towards less invasive transapical valve procedures in the clinical setting, and further animal tests will be performed to confirm the long-term efficacy and safety of this device.

Entry Regulation Asymmetries and Gasoline Competition in a Mixed Motorway Network

Regulatory and funding asymmetries in the Spanish motorway network produce huge differences in the structure of gasoline markets by motorway type: free or toll. While competition is encouraged among gas stations on free motorways, the regulations for toll motorways allow private concessionaires to auction all gas stations to the same provider, thereby limiting competition and consolidating market power. This paper reports how this regulatory asymmetry results in higher prices and fewer gas stations. Specifically, we show that competition is constrained on toll motorways by the granting of geographical monopolies, resulting in a small number of rivals operating in close proximity to each other, and allowing gas stations to operate as local monopolies. The lack of competition would seem to account for the price differential between toll and free motorways. According to available evidence, deregulation measures affecting toll motorway concessions could help to mitigate price inefficiencies and increase consumer welfare.

Targeted cell elimination reveals an auxin-guided biphasic mode of lateral root initiation.

To sustain a lifelong ability to initiate organs, plants retain pools of undifferentiated cells with a preserved proliferation capacity. The root pericycle represents a unique tissue with conditional meristematic activity, and its tight control determines initiation of lateral organs. Here we show that the meristematic activity of the pericycle is constrained by the interaction with the adjacent endodermis. Release of these restraints by elimination of endodermal cells by single-cell ablation triggers the pericycle to re-enter the cell cycle. We found that endodermis removal substitutes for the phytohormone auxin-dependent initiation of the pericycle meristematic activity. However, auxin is indispensable to steer the cell division plane orientation of new organ-defining divisions. We propose a dual, spatiotemporally distinct role for auxin during lateral root initiation. In the endodermis, auxin releases constraints arising from cell-to-cell interactions that compromise the pericycle meristematic activity, whereas, in the pericycle, auxin defines the orientation of the cell division plane to initiate lateral roots.

HouSI: Heuristic for delimitation of housing submarkets and price homogeneous areas

This paper seeks to address the problem of the empirical identification of housing market segmentation,once we assume that submarkets exist. The typical difficulty in identifying housing submarkets when dealing with many locations is the vast number of potential solutions and, in such cases, the use of the Chow test for hedonic functions is not a practical solution. Here, we solve this problem by undertaking an identification process with a heuristic for spatially constrained clustering, the"Housing Submarket Identifier" (HouSI). The solution is applied to the housing market in the city of Barcelona (Spain), where we estimate a hedonic model for fifty thousand dwellings aggregated into ten groups. In order to determine the utility of the procedure we seek to verify whether the final solution provided by the heuristic is comparable with the division of the city into ten administrative districts.

Systematic evaluation of matrix effects in hydrophilic interaction chromatography versus reversed phase liquid chromatography coupled to mass spectrometry.

Reversed phase liquid chromatography (RPLC) coupled to mass spectrometry (MS) is the gold standard technique in bioanalysis. However, hydrophilic interaction chromatography (HILIC) could represent a viable alternative to RPLC for the analysis of polar and/or ionizable compounds, as it often provides higher MS sensitivity and alternative selectivity. Nevertheless, this technique can be also prone to matrix effects (ME). ME are one of the major issues in quantitative LC-MS bioanalysis. To ensure acceptable method performance (i.e., trueness and precision), a careful evaluation and minimization of ME is required. In the present study, the incidence of ME in HILIC-MS/MS and RPLC-MS/MS was compared for plasma and urine samples using two representative sets of 38 pharmaceutical compounds and 40 doping agents, respectively. The optimal generic chromatographic conditions in terms of selectivity with respect to interfering compounds were established in both chromatographic modes by testing three different stationary phases in each mode with different mobile phase pH. A second step involved the assessment of ME in RPLC and HILIC under the best generic conditions, using the post-extraction addition method. Biological samples were prepared using two different sample pre-treatments, i.e., a non-selective sample clean-up procedure (protein precipitation and simple dilution for plasma and urine samples, respectively) and a selective sample preparation, i.e., solid phase extraction for both matrices. The non-selective pretreatments led to significantly less ME in RPLC vs. HILIC conditions regardless of the matrix. On the contrary, HILIC appeared as a valuable alternative to RPLC for plasma and urine samples treated by a selective sample preparation. Indeed, in the case of selective sample preparation, the compounds influenced by ME were different in HILIC and RPLC, and lower and similar ME occurrence was generally observed in RPLC vs. HILIC for urine and plasma samples, respectively. The complementary of both chromatographic modes was also demonstrated, as ME was observed only scarcely for urine and plasma samples when selecting the most appropriate chromatographic mode.

Trasporti e sviluppo territoriale negli spazi intermedi : l'esempio della regione transfrontaliera Insubrica

Avec cette thèse de doctorat nous proposons une réflexion transversale concernant les relations entre infrastructures de transport et développement territorial dans des espaces dits « intermédiaires ». Le concept d'espace intermédiaire, relativement nouveau en géographie, est conçu en fonction d'une double approche : celle des infrastructures où les espaces intermédiaires constituent des zones de transit obligées entre des pôles urbains hiérarchiquement supérieurs (par rapport une échelle horizontale) et celle des frontières où les espaces intermédiaires constituent des territoires de coopération entre différents niveaux politico-institutionnels (par rapport à une échelle verticale). Cette problématique de recherche est traitée aussi bien du point de vue théorique qu'avec des études de cas portant sur les effets des nouvelles infrastructures de transports dans la région transfrontalière insubrique (entre le Canton du Tessin et la Lombardie). L'objectif visé est de défendre un scénario d'organisation spatiale polycentrique à plusieurs niveaux comme solution pour le développement durable et cohérent de ces espaces intermédiaires. Ainsi, pour le « niveau macro », nous proposons une analyse des changements d'accessibilité spatiale et des potentiels de développement territorial pour les agglomérations concernées par la mise en service du nouveau tunnel ferroviaire de base du Monte Ceneri (TBC) et de la nouvelle ligne Lugano/Como-Mendrisio-Varese-Malpensa (FMV) à l'horizon 2020. Pour le « niveau meso », nous analysons les effets de la nouvelle ligne FMV en termes de potentiel de densification polycentrique autours des gares ferroviaires. Pour le « niveau micro », nous proposons une analyse sur les comportements de mobilité ainsi que des améliorations ciblées du système de transport pour la ville de Mendrisio visant à promouvoir le développement polycentrique de cette commune. De plus, un système d'analyse permettant de mettre en lien les divers facteurs explicatifs dans l'analyse des relations entre les nouvelles infrastructures de transport et les effets sur la mobilité et le développement territorial est également élaboré et testé dans notre recherche. -- With this Ph.D. thesis we investigate the relationship between transport infrastructures and territory development inside the so called "in-between spaces". The idea of "in-between space", relatively novel in geography, is the formal outcome of a double approach: the one of the infrastructures, saying that these spaces can be described as areas of constrained transit between urban centres of superior hierarchical level (on a horizontal scale), and the one of the borders, stating that in-between spaces are areas of cooperation between various political-institutional levels. The above mentioned research issues are deepened both at theoretical and empirical level, being the latter based on field studies of the cross-boundary Western-Lombard area (between the Swiss canton of Ticino and the Italian region of Lombardy). This research pursues the goal of defending the argument that a multi-level polycentric spatial scenario can be a possible solution fora sustainable development of the above described in- between areas. From a "macro" perspective, what we submit here is an analysis on the expected changes in spatial accessibility and on the potential territorial development for the built-up areas influenced by the construction of the new train tunnel of the Monte Ceneri (TBC) and of the new railway line Lugano/Como-Mendrisio-Varese-Malpensa (FMV). At a "meso" level we analyse the effects exerted by the new FMV line taking into account the potential densification of the areas surrounding the railway stations. Finally, at a "micro" level, we analyse the mobility behaviours in the town of Mendrisio and we propose some possible improvements to the local public transport system, with the scope to promote a polycentric development of this municipality. Moreover, we developed and tested an analytic system able to define the existing links between the various explaining factors characterizing the relationship between new transport infrastructures and effects on mobility. -- With this Ph.D. thesis we investigate the relationship between transport infrastructures and territory development inside the so called "in-between spaces". The idea of "in-between space", relatively novel in geography, is the formal outcome of a double approach: the one of the infrastructures, saying that these spaces can be described as areas of constrained transit between urban centres of superior hierarchical level (on a horizontal scale), and the one of the borders, stating that in-between spaces are areas of cooperation between various political-institutional levels. The above mentioned research issues are deepened both at theoretical and empirical level, being the latter based on field studies of the cross-boundary Western-Lombard area (between the Swiss canton of Ticino and the Italian region of Lombardy). This research pursues the goal of defending the argument that a multi-level polycentric spatial scenario can be a possible solution for a sustainable development of the above described in- between areas. From a "macro" perspective, what we submit here is an analysis on the expected changes in spatial accessibility and on the potential territorial development for the built-up areas influenced by the construction of the new train tunnel of the Monte Ceneri (TBC) and of the new railway line Lugano/Como-Mendrisio-Varese-Malpensa (FMV). At a "meso" level we analyse the effects exerted by the new FMV line taking into account the potential densification of the areas surrounding the railway stations. Finally, at a "micro" level, we analyse the mobility behaviours in the town of Mendrisio and we propose some possible improvements to the local public transport system, with the scope to promote a polycentric development of this municipality. Moreover, we developed and tested an analytic system able to define the existing links between the various explaining factors characterizing the relationship between new transport infrastructures and effects on mobility.

Analysis of space-time environmental data in complex regions

This thesis develops a comprehensive and a flexible statistical framework for the analysis and detection of space, time and space-time clusters of environmental point data. The developed clustering methods were applied in both simulated datasets and real-world environmental phenomena; however, only the cases of forest fires in Canton of Ticino (Switzerland) and in Portugal are expounded in this document. Normally, environmental phenomena can be modelled as stochastic point processes where each event, e.g. the forest fire ignition point, is characterised by its spatial location and occurrence in time. Additionally, information such as burned area, ignition causes, landuse, topographic, climatic and meteorological features, etc., can also be used to characterise the studied phenomenon. Thereby, the space-time pattern characterisa- tion represents a powerful tool to understand the distribution and behaviour of the events and their correlation with underlying processes, for instance, socio-economic, environmental and meteorological factors. Consequently, we propose a methodology based on the adaptation and application of statistical and fractal point process measures for both global (e.g. the Morisita Index, the Box-counting fractal method, the multifractal formalism and the Ripley's K-function) and local (e.g. Scan Statistics) analysis. Many measures describing the space-time distribution of environmental phenomena have been proposed in a wide variety of disciplines; nevertheless, most of these measures are of global character and do not consider complex spatial constraints, high variability and multivariate nature of the events. Therefore, we proposed an statistical framework that takes into account the complexities of the geographical space, where phenomena take place, by introducing the Validity Domain concept and carrying out clustering analyses in data with different constrained geographical spaces, hence, assessing the relative degree of clustering of the real distribution. Moreover, exclusively to the forest fire case, this research proposes two new methodologies to defining and mapping both the Wildland-Urban Interface (WUI) described as the interaction zone between burnable vegetation and anthropogenic infrastructures, and the prediction of fire ignition susceptibility. In this regard, the main objective of this Thesis was to carry out a basic statistical/- geospatial research with a strong application part to analyse and to describe complex phenomena as well as to overcome unsolved methodological problems in the characterisation of space-time patterns, in particular, the forest fire occurrences. Thus, this Thesis provides a response to the increasing demand for both environmental monitoring and management tools for the assessment of natural and anthropogenic hazards and risks, sustainable development, retrospective success analysis, etc. The major contributions of this work were presented at national and international conferences and published in 5 scientific journals. National and international collaborations were also established and successfully accomplished. -- Cette thèse développe une méthodologie statistique complète et flexible pour l'analyse et la détection des structures spatiales, temporelles et spatio-temporelles de données environnementales représentées comme de semis de points. Les méthodes ici développées ont été appliquées aux jeux de données simulées autant qu'A des phénomènes environnementaux réels; nonobstant, seulement le cas des feux forestiers dans le Canton du Tessin (la Suisse) et celui de Portugal sont expliqués dans ce document. Normalement, les phénomènes environnementaux peuvent être modélisés comme des processus ponctuels stochastiques ou chaque événement, par ex. les point d'ignition des feux forestiers, est déterminé par son emplacement spatial et son occurrence dans le temps. De plus, des informations tels que la surface bru^lée, les causes d'ignition, l'utilisation du sol, les caractéristiques topographiques, climatiques et météorologiques, etc., peuvent aussi être utilisées pour caractériser le phénomène étudié. Par conséquent, la définition de la structure spatio-temporelle représente un outil puissant pour compren- dre la distribution du phénomène et sa corrélation avec des processus sous-jacents tels que les facteurs socio-économiques, environnementaux et météorologiques. De ce fait, nous proposons une méthodologie basée sur l'adaptation et l'application de mesures statistiques et fractales des processus ponctuels d'analyse global (par ex. l'indice de Morisita, la dimension fractale par comptage de boîtes, le formalisme multifractal et la fonction K de Ripley) et local (par ex. la statistique de scan). Des nombreuses mesures décrivant les structures spatio-temporelles de phénomènes environnementaux peuvent être trouvées dans la littérature. Néanmoins, la plupart de ces mesures sont de caractère global et ne considèrent pas de contraintes spatiales com- plexes, ainsi que la haute variabilité et la nature multivariée des événements. A cet effet, la méthodologie ici proposée prend en compte les complexités de l'espace géographique ou le phénomène a lieu, à travers de l'introduction du concept de Domaine de Validité et l'application des mesures d'analyse spatiale dans des données en présentant différentes contraintes géographiques. Cela permet l'évaluation du degré relatif d'agrégation spatiale/temporelle des structures du phénomène observé. En plus, exclusif au cas de feux forestiers, cette recherche propose aussi deux nouvelles méthodologies pour la définition et la cartographie des zones périurbaines, décrites comme des espaces anthropogéniques à proximité de la végétation sauvage ou de la forêt, et de la prédiction de la susceptibilité à l'ignition de feu. A cet égard, l'objectif principal de cette Thèse a été d'effectuer une recherche statistique/géospatiale avec une forte application dans des cas réels, pour analyser et décrire des phénomènes environnementaux complexes aussi bien que surmonter des problèmes méthodologiques non résolus relatifs à la caractérisation des structures spatio-temporelles, particulièrement, celles des occurrences de feux forestières. Ainsi, cette Thèse fournit une réponse à la demande croissante de la gestion et du monitoring environnemental pour le déploiement d'outils d'évaluation des risques et des dangers naturels et anthro- pogéniques. Les majeures contributions de ce travail ont été présentées aux conférences nationales et internationales, et ont été aussi publiées dans 5 revues internationales avec comité de lecture. Des collaborations nationales et internationales ont été aussi établies et accomplies avec succès.

Mecanismo de fotodegradação de compostos orgânicos catalisada por TiO2

Conventional technology used in the treatment of wastewater has been pointed as a major environmental problem for sustainable development, since minimization is not addressed accordingly. Advanced oxidation processes (AOP), based on the formation of hydroxyl radical (•OH), a powerful oxidant agent, have been considered to be a potential technology for the destruction of many toxic compounds. Photocatalysis using solar light, an AOP, has been studied for nearly 20 years and recently attracted great interest as a clean-up technology. However, solar detoxification processes have not yet achieved commercial success. This article presents an overview of reaction mechanisms at the surface of semiconductors used as photocatalysts (specially TiO2), when heterogeneous photocatalysis is used to remove hazardous compounds from contaminated sites.

A Co-Processor Approach for Efficient Java Execution in Embedded Systems

This thesis deals with a hardware accelerated Java virtual machine, named REALJava. The REALJava virtual machine is targeted for resource constrained embedded systems. The goal is to attain increased computational performance with reduced power consumption. While these objectives are often seen as trade-offs, in this context both of them can be attained simultaneously by using dedicated hardware. The target level of the computational performance of the REALJava virtual machine is initially set to be as fast as the currently available full custom ASIC Java processors. As a secondary goal all of the components of the virtual machine are designed so that the resulting system can be scaled to support multiple co-processor cores. The virtual machine is designed using the hardware/software co-design paradigm. The partitioning between the two domains is flexible, allowing customizations to the resulting system, for instance the floating point support can be omitted from the hardware in order to decrease the size of the co-processor core. The communication between the hardware and the software domains is encapsulated into modules. This allows the REALJava virtual machine to be easily integrated into any system, simply by redesigning the communication modules. Besides the virtual machine and the related co-processor architecture, several performance enhancing techniques are presented. These include techniques related to instruction folding, stack handling, method invocation, constant loading and control in time domain. The REALJava virtual machine is prototyped using three different FPGA platforms. The original pipeline structure is modified to suit the FPGA environment. The performance of the resulting Java virtual machine is evaluated against existing Java solutions in the embedded systems field. The results show that the goals are attained, both in terms of computational performance and power consumption. Especially the computational performance is evaluated thoroughly, and the results show that the REALJava is more than twice as fast as the fastest full custom ASIC Java processor. In addition to standard Java virtual machine benchmarks, several new Java applications are designed to both verify the results and broaden the spectrum of the tests.

Gerenciamento de resíduos químicos em laboratórios de ensino e pesquisa

The generation of chemical residues in both teaching and research laboratories is a serious problem in Brazil. In this article, a Chemical Residues Management Program is presented and discussed. The Program is centered in different hierarchic positions, but driven by minimization. A common ground for discussion and distribution of related information is also proposed as a mean to spread the program throughout Brazilian Universities.