The impact of size and age of the company on assessing financial risk.

Textiles and tourism sectors are two important sectors in Portuguese economy. Its high exposure to both internal and international economy volatility transform the companies operating in these economic sectors especially vulnerable to recent economic crises in Portugal and European Union. The objective of this paper is to evaluate and understand the impact of size and age on the financial health of textile and tourism companies, measured by economic indices. An empirical based model is proposed. Its implications are derived and tested on a sample of 4061 Portuguese companies from textile and tourism sector, during the period 2005-2009. The results conclude that age has a stronger impact on the risk of failure than size. Whereas the effect of age is generally positive regarding the financial health of the company, the effect of size is less clear and depends on the age of the company.

Ash deposition during the co-firing of bituminous coal with pine sawdust and olive stones in a laboratory furnace

This article describes an experimental study on ash deposition during the co-firing of bituminous coal with pine sawdust and olive stones in a laboratory furnace. The main objective of this study was to relate the ash deposit rates with the type of biomass burned and its thermal percentage in the blend. The thermal percentage of biomass in the blend was varied between 10% and 50% for both sawdust and olive stones. For comparison purposes, tests have also been performed using only coal or only biomass. During the tests, deposits were collected with the aid of an air-cooled deposition probe placed far from the flame region, where the mean gas temperature was around 640 degrees C. A number of deposit samples were subsequently analyzed on a scanning electron microscope equipped with an energy dispersive X-ray detector. Results indicate that blending sawdust with coal decreases the deposition rate as compared with the firing of unblended coal due to both the sawdust low ash content and its low alkalis content. The co-firing of coal and sawdust yields deposits with high levels of silicon and aluminium which indicates the presence of ashes with high fusion temperature and, thus, with less capacity to adhere to the surfaces. In contrast, in the co-firing of coal with olive stones the deposition rate increases as compared with the firing of unblended coal and the deposits produced present high levels of potassium, which tend to increase their stickiness.

Equilibrium self-assembly of colloids with distinct interaction sites: Thermodynamics, percolation, and cluster distribution functions

We calculate the equilibrium thermodynamic properties, percolation threshold, and cluster distribution functions for a model of associating colloids, which consists of hard spherical particles having on their surfaces three short-ranged attractive sites (sticky spots) of two different types, A and B. The thermodynamic properties are calculated using Wertheim's perturbation theory of associating fluids. This also allows us to find the onset of self-assembly, which can be quantified by the maxima of the specific heat at constant volume. The percolation threshold is derived, under the no-loop assumption, for the correlated bond model: In all cases it is two percolated phases that become identical at a critical point, when one exists. Finally, the cluster size distributions are calculated by mapping the model onto an effective model, characterized by a-state-dependent-functionality (f) over bar and unique bonding probability (p) over bar. The mapping is based on the asymptotic limit of the cluster distributions functions of the generic model and the effective parameters are defined through the requirement that the equilibrium cluster distributions of the true and effective models have the same number-averaged and weight-averaged sizes at all densities and temperatures. We also study the model numerically in the case where BB interactions are missing. In this limit, AB bonds either provide branching between A-chains (Y-junctions) if epsilon(AB)/epsilon(AA) is small, or drive the formation of a hyperbranched polymer if epsilon(AB)/epsilon(AA) is large. We find that the theoretical predictions describe quite accurately the numerical data, especially in the region where Y-junctions are present. There is fairly good agreement between theoretical and numerical results both for the thermodynamic (number of bonds and phase coexistence) and the connectivity properties of the model (cluster size distributions and percolation locus).

Wetting response of KrF laser ablated polyimide surfaces

The wettability of polyimide surfaces microstructured using KrF laser radiation at fluences above the material ablation threshold was studied by static contact angle measurements. The laser-treated surfaces present a morphology consisting of conical features whose dimensions and areal density depend on the fluence. The effect of these parameters on the surface apparent contact angle depends on the wetting regime. When wetting occurs in the homogeneous regime, the apparent contact angle of the treated surfaces increases with the radiation fluence because the cone dimensions increase. In contrast, when wetting occurs in the heterogeneous regime, the apparent contact angle increases with the radiation fluence because the average distance between cones increases. The apparent water contact angle of the laser-treated surfaces can reach values as high as 162 degrees, as compared to 75 degrees for virgin polyimide.

Multi-scaled femtosecond laser structuring of stationary titanium surfaces

The evolution of the topography of titanium surfaces treated with femtosecond laser radiation in stationary conditions as a function of radiation fluence and number of laser pulses is investigated. Depending on the processing parameters, ripples, microcolumns, wavy or smooth surfaces can be obtained. The ripples predominate for fluences near the damage threshold of titanium (0.2+/-0.1) J/cm(2), while microcolumns form during the first 200 pulses for fluences between (0.6+/-0.2) and (1.7+/-0.2) J/cm(2). A wavy topography develops for fluences and number of pulses higher than (1.7+/-0.2) J/cm(2) and 300, respectively. A bimodal surface topography consisting of surface ripples overlapping a microcolumnar topography can be obtained if the surfaces are firstly treated to create microcolumns followed by laser treatment with a lower fluence near the ablation threshold of the material, in order to generate periodic ripple

Evaluation of organophosphorus and synthetic pyrethroid insecticides against six vector mosquitoe species

Three organophosphorus compounds- malathion, folithion and temephos- and two synthetic pyrethroids- alphamethrin and deltamethrin- were used for monitoring the susceptibility status of larvae and adults of six vector mosquitoe species: Culex quinquefasciatus (Filariasis) and Aedes albopictus (Dengue) (both laboratory and field strains); laboratory strains of Aedes aegypti (Dengue), Anopheles slephensi and Anopheles culicifacies (Malaria), and Culex tritaeniorhynchus (Japanese encephalitis) in India. From the LC50 values obtained for these insecticides, it was found that all mosquito species including the field strains of Cx. quinquefasciatus and Ae. albopictus were highly susceptible Except for Cx. quinquefasciatus (field strain) against malathion, 100% mortality was observed at the discriminating dosages recommended by World Health Organization. The residual effect of alphamethrin, deltamethrin, malathion and folithion at 25 mg (ai)/m² on different surfaces against six species of vector mosquitoes showed that alphamethrin was the most effective on all four treated surfaces (mud, plywood, cement and thatch). Nevertheless, residual efficacy lasted longer on thatch than on the other surfaces. Therefore, synthetic pyrethroids such as alphamethrin can be effectively employed in integrated vector control operations.

Is stock market volatility persistent? A fractionally integrated approach

This paper seeks to study the persistence in the G7’s stock market volatility, which is carried out using the GARCH, IGARCH and FIGARCH models. The data set consists of the daily returns of the S&P/TSX 60, CAC 40, DAX 30, MIB 30, NIKKEI 225, FTSE 100 and S&P 500 indexes over the period 1999-2009. The results evidences long memory in volatility, which is more pronounced in Germany, Italy and France. On the other hand, Japan appears as the country where this phenomenon is less obvious; nevertheless, the persistence prevails but with minor intensity.

The problem of estimating the volatility of zero coupon bond interest rate

Financial literature and financial industry use often zero coupon yield curves as input for testing hypotheses, pricing assets or managing risk. They assume this provided data as accurate. We analyse implications of the methodology and of the sample selection criteria used to estimate the zero coupon bond yield term structure on the resulting volatility of spot rates with different maturities. We obtain the volatility term structure using historical volatilities and Egarch volatilities. As input for these volatilities we consider our own spot rates estimation from GovPX bond data and three popular interest rates data sets: from the Federal Reserve Board, from the US Department of the Treasury (H15), and from Bloomberg. We find strong evidence that the resulting zero coupon bond yield volatility estimates as well as the correlation coefficients among spot and forward rates depend significantly on the data set. We observe relevant differences in economic terms when volatilities are used to price derivatives.

On the concept of endogenous volatility

Most financial and economic time-series display a strong volatility around their trends. The difficulty in explaining this volatility has led economists to interpret it as exogenous, i.e., as the result of forces that lie outside the scope of the assumed economic relations. Consequently, it becomes hard or impossible to formulate short-run forecasts on asset prices or on values of macroeconomic variables. However, many random looking economic and financial series may, in fact, be subject to deterministic irregular behavior, which can be measured and modelled. We address the notion of endogenous volatility and exemplify the concept with a simple business-cycles model.

Volatility regimes for the VIX index

This article presents a Markov chain framework to characterize the behavior of the CBOE Volatility Index (VIX index). Two possible regimes are considered: high volatility and low volatility. The specification accounts for deviations from normality and the existence of persistence in the evolution of the VIX index. Since the time evolution of the VIX index seems to indicate that its conditional variance is not constant over time, I consider two different versions of the model. In the first one, the variance of the index is a function of the volatility regime, whereas the second version includes an autoregressive conditional heteroskedasticity (ARCH) specification for the conditional variance of the index.

Volatility forecasting with range models: An evaluation of new alternatives to the CARR model

The aim of this paper is to analyze the forecasting ability of the CARR model proposed by Chou (2005) using the S&P 500. We extend the data sample, allowing for the analysis of different stock market circumstances and propose the use of various range estimators in order to analyze their forecasting performance. Our results show that there are two range-based models that outperform the forecasting ability of the GARCH model. The Parkinson model is better for upward trends and volatilities which are higher and lower than the mean while the CARR model is better for downward trends and mean volatilities.

Virtual communities of practice: investigating motivations and constraints in the processes of knowledge creation and transfer

With accelerated market volatility, faster response times and increased globalization, business environments are going through a major transformation and firms have intensified their search for strategies which can give them competitive advantage. This requires that companies continuously innovate, to think of new ideas that can be transformed or implemented as products, processes or services, generating value for the firm. Innovative solutions and processes are usually developed by a group of people, working together. A grouping of people that share and create new knowledge can be considered as a Community of Practice (CoP). CoP’s are places which provide a sound basis for organizational learning and encourage knowledge creation and acquisition. Virtual Communities of Practice (VCoP's) can perform a central role in promoting communication and collaboration between members who are dispersed in both time and space. Nevertheless, it is known that not all CoP's and VCoP's share the same levels of performance or produce the same results. This means that there are factors that enable or constrain the process of knowledge creation. With this in mind, we developed a case study in order to identify both the motivations and the constraints that members of an organization experience when taking part in the knowledge creating processes of VCoP's. Results show that organizational culture and professional and personal development play an important role in these processes. No interviewee referred to direct financial rewards as a motivation factor for participation in VCoPs. Most identified the difficulty in aligning objectives established by the management with justification for the time spent in the VCoP. The interviewees also said that technology is not a constraint.

Complex fluids at complex surfaces simply complicated

We study wetting and filling of patterned surfaces by a nematic liquid crystal. We focus on three important classes of periodic surfaces: triangular, sinusoidal and rectangular. The results highlight the similarities and differences of nematic wetting of these surfaces and wetting by simple fluids. The interplay of geometry, surface and elastic energies can lead to the suppression of either filling or wetting. The periodic rectangular surface displays re-entrant transitions, with a sequence dry-filled-wet-filled, in the relevant region of parameter space.

Filling and wetting transitions of nematic liquid crystals on sinusoidal substrates

Close to sinusoidal substrates, simple fluids may undergo a filling transition, in which the fluid passes from a dry to a filled state, where the interface remains unbent but bound to the substrate. Increasing the surface field, the interface unbinds and a wetting transition occurs. We show that this double-transition sequence may be strongly modified in the case of ordered fluids, such as nematic liquid crystals. Depending on the preferred orientation of the nematic molecules at the structured substrate and at the isotropic-nematic interface, the filling transition may not exist, and the fluid passes directly from a dry to a complete-wet state, with the interface far from the substrate. More interestingly, in other situations, the complete wetting transition may be prevented, and the fluid passes from a dry to a filled state, and remains in this configuration, with the interface always attached to the substrate, even for very large surface fields. Both transitions are observed only for a same substrate in a narrow range of amplitudes.

Short-term wind power forecasting in Portugal by neural networks and wavelet transform

This paper proposes artificial neural networks in combination with wavelet transform for short-term wind power forecasting in Portugal. The increased integration of wind power into the electric grid, as nowadays occurs in Portugal, poses new challenges due to its intermittency and volatility. Hence, good forecasting tools play a key role in tackling these challenges. Results from a real-world case study are presented. A comparison is carried out, taking into account the results obtained with other approaches. Finally, conclusions are duly drawn. (C) 2010 Elsevier Ltd. All rights reserved.