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.

Person Localization Using Sensor Information Fusion

Nowadays the incredible grow of mobile devices market led to the need for location-aware applications. However, sometimes person location is difficult to obtain, since most of these devices only have a GPS (Global Positioning System) chip to retrieve location. In order to suppress this limitation and to provide location everywhere (even where a structured environment doesn’t exist) a wearable inertial navigation system is proposed, which is a convenient way to track people in situations where other localization systems fail. The system combines pedestrian dead reckoning with GPS, using widely available, low-cost and low-power hardware components. The system innovation is the information fusion and the use of probabilistic methods to learn persons gait behavior to correct, in real-time, the drift errors given by the sensors.

Elspot: Nord Pool Spot Integration in MASCEM Electricity Market Simulator

The energy sector in industrialized countries has been restructured in the last years, with the purpose of decreasing electricity prices through the increase in competition, and facilitating the integration of distributed energy resources. However, the restructuring process increased the complexity in market players' interactions and generated emerging problems and new issues to be addressed. In order to provide players with competitive advantage in the market, decision support tools that facilitate the study and understanding of these markets become extremely useful. In this context arises MASCEM (Multi-Agent Simulator of Competitive Electricity Markets), a multi-agent based simulator that models real electricity markets. To reinforce MASCEM with the capability of recreating the electricity markets reality in the fullest possible extent, it is crucial to make it able to simulate as many market models and player types as possible. This paper presents a new negotiation model implemented in MASCEM based on the negotiation model used in day-ahead market (Elspot) of Nord Pool. This is a key module to study competitive electricity markets, as it presents well defined and distinct characteristics from the already implemented markets, and it is a reference electricity market in Europe (the one with the larger amount of traded power).

Defining health law or the edgewood syndrome

ABSTRACT - The authors’ main purpose is to present ideas on defining Health Law by highlighting the particularities of the field of Health Law as well as of the teaching of this legal branch, hoping to contribute to the maturity and academic recognition of Health Law, not only as a very rich legal field but also as a powerful social instrument in the fulfillment of fundamental human rights. The authors defend that Health Law has several characteristics that distinguish it from traditional branches of law such as its complexity and multidisciplinary nature. The study of Health Law normally covers issues such as access to care, health systems organization, patients’ rights, health professionals’ rights and duties, strict liability, healthcare contracts between institutions and professionals, medical data protection and confidentiality, informed consent and professional secrecy, crossing different legal fields including administrative, antitrust, constitutional, contract, corporate, criminal, environmental, food and drug, intellectual property, insurance, international and supranational, labor/employment, property, taxation, and tort law. This is one of the reasons why teaching Health Law presents a challenge to the teacher, which will have to find the programs, content and methods appropriate to the profile of recipients which are normally non jurists and the needs of a multidisciplinary curricula. By describing academic definitions of Health Law as analogous to Edgewood, a fiction house which has a different architectural style in each of its walls, the authors try to describe which elements should compose a more comprehensive definition. In this article Biolaw, Bioethics and Human Rights are defined as complements to a definition of Health Law: Biolaw because it is the legal field that treats the social consequences that arise from technological advances in health and life sciences; Bioethics which evolutions normally influence the shape of the legal framework of Health; and, finally Human Rights theory and declarations are outlined as having always been historically linked to medicine and health, being the umbrella that must cover all the issues raised in the area of Health Law. To complete this brief incursion on the definition on Health Law the authors end by giving note of the complex relations between this field of Law and Public Health. Dealing more specifically on laws adopted by governments to provide important health services and regulate industries and individual conduct that affect the health of the populations, this aspect of Health Law requires special attention to avoid an imbalance between public powers and individual freedoms. The authors conclude that public trust in any health system is essentially sustained by developing health structures which are consistent with essential fundamental rights, such as the universal right to access health care, and that the study of Health Law can contribute with important insights into both health structures and fundamental rights in order to foster a health system that respects the Rule of Law.-------------------------- RESUMO – O objectivo principal dos autores é apresentar ideias sobre a definição de Direito da Saúde, destacando as particularidades desta área do direito, bem como do ensino deste ramo jurídico, na esperança de contribuir para a maturidade e para o reconhecimento académico do mesmo, não só como um campo juridicamente muito rico, mas, também, como um poderoso instrumento social no cumprimento dos direitos humanos fundamentais. Os autores defendem que o Direito da Saúde tem diversas características que o distinguem dos ramos tradicionais do direito, como a sua complexidade e natureza multidisciplinar. O estudo do Direito da Saúde abrangendo normalmente questões como o acesso aos cuidados, a organização dos sistemas de saúde, os direitos e deveres dos doentes e dos profissionais de saúde, a responsabilidade civil, os contratos entre instituições de saúde e profissionais, a protecção e a confidencialidade de dados clínicos, o consentimento informado e o sigilo profissional, implica uma abordagem transversal de diferentes áreas legais, incluindo os Direitos contratual, administrativo, antitrust, constitucional, empresarial, penal, ambiental, alimentar, farmacêutico, da propriedade intelectual, dos seguros, internacional e supranacional, trabalho, fiscal e penal. Esta é uma das razões pelas quais o ensino do Direito da Saúde representa um desafio para o professor, que terá de encontrar os programas, conteúdos e métodos adequados ao perfil dos destinatários, que são normalmente não juristas e às necessidades de um currículo multidisciplinar. Ao descrever as várias definições académicas de Direito da Saúde como análogas a Edgewood, uma casa de ficção que apresenta um estilo arquitectónico diferente em cada uma de suas paredes, os autores tentam encontrar os elementos que deveriam compor uma definição mais abrangente. No artigo, Biodireito, Bioética e Direitos Humanos são descritos como complementos de uma definição de Direito da Saúde: o Biodireito, dado que é o campo jurídico que trata as consequências sociais que surgem dos avanços tecnológicos na área da saúde e das ciências da vida; a Bioética cujas evoluções influenciam normalmente o quadro jurídico da Saúde; e, por fim, a teoria dos Direitos Humanos e as suas declarações as quais têm estado sempre historicamente ligadas à medicina e à saúde, devendo funcionar como pano de fundo de todas as questões levantadas na área do Direito da Saúde. Para finalizar a sua breve incursão sobre a definição de Direito da Saúde, os autores dão ainda nota das complexas relações entre este último e a Saúde Pública, onde se tratam mais especificamente as leis aprovadas pelos governos para regular os serviços de saúde, as indústrias e as condutas individuais que afectam a saúde das populações, aspecto do Direito da Saúde que requer uma atenção especial para evitar um desequilíbrio entre os poderes públicos e as liberdades individuais. Os autores concluem afirmando que a confiança do público em qualquer sistema de saúde é, essencialmente, sustentada pelo desenvolvimento de estruturas de saúde que sejam consistentes com o direito constitucional da saúde, tais como o direito universal ao acesso a cuidados de saúde, e que o estudo do Direito da Saúde pode contribuir com elementos

Information flow analysis using data-dependent logical propositions

Dissertação para obtenção do Grau de Mestre em Engenharia Informática

Dom Pedro and its internalization to Rio de Janeiro

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

Internationalization process of Gallo worldwide: Introduction of olive in a non-traditional market - China

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

A type system for value-dependent information flow analysis

Information systems are widespread and used by anyone with computing devices as well as corporations and governments. It is often the case that security leaks are introduced during the development of an application. Reasons for these security bugs are multiple but among them one can easily identify that it is very hard to define and enforce relevant security policies in modern software. This is because modern applications often rely on container sharing and multi-tenancy where, for instance, data can be stored in the same physical space but is logically mapped into different security compartments or data structures. In turn, these security compartments, to which data is classified into in security policies, can also be dynamic and depend on runtime data. In this thesis we introduce and develop the novel notion of dependent information flow types, and focus on the problem of ensuring data confidentiality in data-centric software. Dependent information flow types fit within the standard framework of dependent type theory, but, unlike usual dependent types, crucially allow the security level of a type, rather than just the structural data type itself, to depend on runtime values. Our dependent function and dependent sum information flow types provide a direct, natural and elegant way to express and enforce fine grained security policies on programs. Namely programs that manipulate structured data types in which the security level of a structure field may depend on values dynamically stored in other fields The main contribution of this work is an efficient analysis that allows programmers to verify, during the development phase, whether programs have information leaks, that is, it verifies whether programs protect the confidentiality of the information they manipulate. As such, we also implemented a prototype typechecker that can be found at http://ctp.di.fct.unl.pt/DIFTprototype/.

A trust model for cloud computing environment

This paper presents a proposal for a management model based on reliability requirements concerning Cloud Computing (CC). The proposal was based on a literature review focused on the problems, challenges and underway studies related to the safety and reliability of Information Systems (IS) in this technological environment. This literature review examined the existing obstacles and challenges from the point of view of respected authors on the subject. The main issues are addressed and structured as a model, called "Trust Model for Cloud Computing environment". This is a proactive proposal that purposes to organize and discuss management solutions for the CC environment, aiming improved reliability of the IS applications operation, for both providers and their customers. On the other hand and central to trust, one of the CC challenges is the development of models for mutual audit management agreements, so that a formal relationship can be established involving the relevant legal responsibilities. To establish and control the appropriate contractual requirements, it is necessary to adopt technologies that can collect the data needed to inform risk decisions, such as access usage, security controls, location and other references related to the use of the service. In this process, the cloud service providers and consumers themselves must have metrics and controls to support cloud-use management in compliance with the SLAs agreed between the parties. The organization of these studies and its dissemination in the market as a conceptual model that is able to establish parameters to regulate a reliable relation between provider and user of IT services in CC environment is an interesting instrument to guide providers, developers and users in order to provide services and secure and reliable applications.

Grupos de facto enquanto fenómeno organizativo plurissocietário: (in)admissibilidade da aplicação analógica dos artigos 501º e 502º do CSC aos grupos de facto qualificados

Dissertação de mestrado em Direito dos Contratos e das Empresas

Development of a data acquisition system to characterise sustainable energy technologies and to support Web-Based learning (DAQ-WBL)

Driven by concerns about rising energy costs, security of supply and climate change a new wave of Sustainable Energy Technologies (SET’s) have been embraced by the Irish consumer. Such systems as solar collectors, heat pumps and biomass boilers have become common due to government backed financial incentives and revisions of the building regulations. However, there is a deficit of knowledge and understanding of how these technologies operate and perform under Ireland’s maritime climate. This AQ-WBL project was designed to address both these needs by developing a Data Acquisition (DAQ) system to monitor the performance of such technologies and a web-based learning environment to disseminate performance characteristics and supplementary information about these systems. A DAQ system consisting of 108 sensors was developed as part of Galway-Mayo Institute of Technology’s (GMIT’s) Centre for the Integration of Sustainable EnergyTechnologies (CiSET) in an effort to benchmark the performance of solar thermal collectors and Ground Source Heat Pumps (GSHP’s) under Irish maritime climate, research new methods of integrating these systems within the built environment and raise awareness of SET’s. It has operated reliably for over 2 years and has acquired over 25 million data points. Raising awareness of these SET’s is carried out through the dissemination of the performance data through an online learning environment. A learning environment was created to provide different user groups with a basic understanding of a SET’s with the support of performance data, through a novel 5 step learning process and two examples were developed for the solar thermal collectors and the weather station which can be viewed at http://www.kdp 1 .aquaculture.ie/index.aspx. This online learning environment has been demonstrated to and well received by different groups of GMIT’s undergraduate students and plans have been made to develop it further to support education, awareness, research and regional development.

An investigation into system security requirements and implementation in an Application Service Provider (ASP) environment

Although the ASP model has been around for over a decade, it has not achieved the expected high level of market uptake. This research project examines the past and present state of ASP adoption and identifies security as a primary factor influencing the uptake of the model. The early chapters of this document examine the ASP model and ASP security in particular. Specifically, the literature and technology review chapter analyses ASP literature, security technologies and best practices with respect to system security in general. Based on this investigation, a prototype to illustrate the range and types of technologies that encompass a security framework was developed and is described in detail. The latter chapters of this document evaluate the practical implementation of system security in an ASP environment. Finally, this document outlines the research outputs, including the conclusions drawn and recommendations with respect to system security in an ASP environment. The primary research output is the recommendation that by following best practices with respect to security, an ASP application can provide the same level of security one would expect from any other n-tier client-server application. In addition, a security evaluation matrix, which could be used to evaluate not only the security of ASP applications but the security of any n-tier application, was developed by the author. This thesis shows that perceptions with regard to fears of inadequate security of ASP solutions and solution data are misguided. Finally, based on the research conducted, the author recommends that ASP solutions should be developed and deployed on tried, tested and trusted infrastructure. Existing Application Programming Interfaces (APIs) should be used where possible and security best practices should be adhered to where feasible.

Fiscal insurance and debt management in OECD economies

Assuming the role of debt management is to provide hedging against fiscal shocks we consider three questions: i) what indicators can be used to assess the performance of debt management? ii) how well have historical debt management policies performed? and iii) how is that performance affected by variations in debt issuance? We consider these questions using OECD data on the market value of government debt between 1970 and 2000. Motivated by both the optimal taxation literature and broad considerations of debt stability we propose a range of performance indicators for debt management. We evaluate these using Monte Carlo analysis and find that those based on the relative persistence of debt perform best. Calculating these measures for OECD data provides only limited evidence that debt management has helped insulate policy against unexpected fiscal shocks. We also find that the degree of fiscal insurance achieved is not well connected to cross country variations in debt issuance patterns. Given the limited volatility observed in the yield curve the relatively small dispersion of debt management practices across countries makes little difference to the realised degree of fiscal insurance.

Harmful competition in the insurance markets

There is a general presumption that competition is a good thing. In this paper we show that competition in the insurance markets can be bad and that adverse selection is in general worse under competition than under monopoly. The reason is that monopoly can exploit its market power to relax incentive constraints by cross-subsidization between different risk types. Cream-skimming behavior, on the contrary, prevents competitive firms from using implicit transfers. In effect monopoly is shown to provide better coverage to those buying insurance but at the cost of limiting participation to insurance. Performing simulation for di erent distributions of risk, we find that monopoly in general performs (much) better than competition in terms of the realization of the gains from trade across all traders in equilibrium. However, most of the surplus is retained by the firm and, as a result, most individuals prefer competitive markets notwithstanding their performance is generally poorer than monopoly.

Mental health and growing up factsheet. Drugs and alcohol - what parents need to know.

Information about drugs and alcohol - what parents need to know: information for parents, carers and anyone who works with young people. About this leaflet This is one in a series of leaflets for parents, teachers and young people entitled Mental Health and Growing Up. These leaflets aim to provide practical, up-to-date information about mental health problems (emotional, behavioural and psychiatric disorders) that can affect children and young people. This leaflet offers practical advice for parents, teachers and carers who are worried that a young person is misusing drugs or alcohol. Why do I need to know about a young person using drugs or alcohol? Many young people smoke, drink alcohol and may try drugs. It is important you are aware of this and do not ignore it as a time when they are just having fun or experimenting. It doesnââ,‰"¢t take much for the young people to soon lose control and to need help to recover from this problem. How common is it? By the age of 16, up to half of young people have tried an illegal drug. Young people are trying drugs earlier and more are drinking alcohol. What are the different types of drugs which cause problems? The most commonly used, readily available and strongly addictive drugs are tobacco and alcohol. There are numerous others that can be addictive. Alcohol and cannabis are sometimes seen as ââ,¬Ëogatewayââ,‰"¢ drugs that lead to the world of other drugs like cocaine and heroin. Drugs are also classed as ââ,¬Ëolegalââ,‰"¢ andââ,¬Ëoillegalââ,‰"¢. The obviously illegal drugs include cannabis (hash), speed (amphetamines), ecstasy (E), cocaine and heroin. Using ââ,¬Ëolegalââ,‰"¢ drugs (like cigarettes, alcohol, petrol, glue) does not mean they are safe or allowed to be misused. It just means they may be bought or sold for specific purposes and are limited to use by specific age groups. There are clear laws regarding alcohol and young people. For more detailed information on various drugs, their side-effects and the law, see ââ,¬ËoFurther Informationââ,‰"¢ at the end of the factsheet. Why do young people use drugs or alcohol? Young people may try or use drugs or alcohol for various reasons. They may do it for fun, because they are curious, or to be like their friends. Some are experimenting with the feeling of intoxication. Sometimes they use it to cope with difficult situations or feelings of worry and low mood. A young person is more likely to try or use drugs or alcohol if they hang out or stay with friends or family who use them. What can be the problems related to using drugs or alcohol? Drugs and alcohol can have different effects on different people. In young people especially the effects can be unpredictable and potentially dangerous. Even medications for sleep or painkillers can be addictive and harmful if not used the way they are prescribed by a doctor. Drugs and alcohol can damage health. Sharing needles or equipment can cause serious infections, such as HIV and hepatitis. Accidents, arguments and fights are more likely after drinking and drug use. Young people are more likely to engage in unprotected sex when using drugs. Using drugs can lead to serious mental illnesses, such as psychosis and depression. When does it become addiction or problem? It is very difficult to know when exactly using drugs or alcohol is more than just ââ,¬Ëocasualââ,‰"¢. Addiction becomes more obvious when the young person spends most of their time thinking about, looking for or using drugs. Drugs or alcohol then become the focus of the young personââ,‰"¢s life. They ignore their usual work, such as not doing their schoolwork, or stop doing their usual hobbies/sports such as dancing or football. How do I know if there is a problem or addiction? Occasional use can be very difficult to detect. If the young person is using on a regular basis, their behaviour often changes. Look for signs such as: ïâ?s§ unexplained moodiness ïâ?s§ behaviour that is ââ,¬Ëoout of character' ïâ?s§ loss of interest in school or friends ïâ?s§ unexplained loss of clothes or money ïâ?s§ unusual smells and items like silver foil, needle covers. Remember, the above changes can also mean other problems, such as depression, rather than using drugs. What do I do if I am worried? If you suspect young person is using drugs, remember some general rules. ïâ?s§ Pay attention to what the child is doing, including schoolwork, friends and leisure time. ïâ?s§ Learn about the effects of alcohol and drugs (see websites listed below). ïâ?s§ Listen to what the child says about alcohol and drugs, and talk about it with them. ïâ?s§ Encourage the young person to be informed and responsible about drugs and alcohol. ïâ?s§ Talk to other parents, friends or teachers about drugs - the facts and your fears and seek help. If someone in the family or close friend is using drugs or alcohol, it is important that they seek help too. It may be hard to expect the young person to give up, especially if a parent or carer is using it too. My child is abusing drugs. What do I do? ïâ?s§ If your child is using drugs or alcohol, seek help. ïâ?s§ Do stay calm and make sure of facts. ïâ?s§ Don't give up on them, get into long debates or arguments when they are drunk, stoned or high. ïâ?s§ Donââ,‰"¢t be angry or blame themââ,‰?othey need your help and trust to make journey of recovery. Where can I get help? You can talk in confidence to a professional like your GP or practice nurse, a local drug project or your local child and adolescent mental health. They can refer your child to relevant services and they will be able to offer you advice and support. You may also be able to seek help through a school nurse, teacher or social worker. You can find this information from your local area telephone book or council website, or ask for the address from your health centre. [For the full factsheet, click on the link above]This resource was contributed by The National Documentation Centre on Drug Use.