A factor model of seasonality in stock returns

Published as an article in: The Quarterly Review of Economics and Finance, 2004, vol. 44, issue 2, pages 224-236.

Delimitación del Marketing con Causa o Marketing Social Corporativo mediante el análisis de empresas que realizan acciones de responsabilidad social

Extracto del trabajo de investigación presentado en el programa de doctorado, que además está incluido en el formato de artículo en los anales (proceedings) de las II Jornadas Internacionales de Marketing Público y No Lucrativo (Zaragoza, abril de 2003).

Ontologies for representation of folk song metadata

The digital management of collections in museums, archives, libraries and galleries is an increasingly important part of cultural heritage studies. This paper describes a representation for folk song metadata, based on the Web Ontology Language (OWL) implementation of the CIDOC Conceptual Reference Model. The OWL representation facilitates encoding and reasoning over a genre ontology, while the CIDOC model enables a representation of complex spatial containment and proximity relations among geographic regions. It is shown how complex queries of folk song metadata, relying on inference and not only retrieval, can be expressed in OWL and solved using a description logic reasoner.

The Effect of Data Revisions on the Basic New Keynesian Model

This paper proposes an extended version of the basic New Keynesian monetary (NKM) model which contemplates revision processes of output and inflation data in order to assess the importance of data revisions on the estimated monetary policy rule parameters and the transmission of policy shocks. Our empirical evidence based on a structural econometric approach suggests that although the initial announcements of output and inflation are not rational forecasts of revised output and inflation data, ignoring the presence of non well-behaved revision processes may not be a serious drawback in the analysis of monetary policy in this framework. However, the transmission of inflation-push shocks is largely affected by considering data revisions. The latter being especially true when the nominal stickiness parameter is estimated taking into account data revision processes.

New methods for generating populations in Markov network based EDAs: Decimation strategies and model-based template recombination

Methods for generating a new population are a fundamental component of estimation of distribution algorithms (EDAs). They serve to transfer the information contained in the probabilistic model to the new generated population. In EDAs based on Markov networks, methods for generating new populations usually discard information contained in the model to gain in efficiency. Other methods like Gibbs sampling use information about all interactions in the model but are computationally very costly. In this paper we propose new methods for generating new solutions in EDAs based on Markov networks. We introduce approaches based on inference methods for computing the most probable configurations and model-based template recombination. We show that the application of different variants of inference methods can increase the EDAs’ convergence rate and reduce the number of function evaluations needed to find the optimum of binary and non-binary discrete functions.

An R package for permutations, Mallows and Generalized Mallows models

[EN]Probability models on permutations associate a probability value to each of the permutations on n items. This paper considers two popular probability models, the Mallows model and the Generalized Mallows model. We describe methods for making inference, sampling and learning such distributions, some of which are novel in the literature. This paper also describes operations for permutations, with special attention in those related with the Kendall and Cayley distances and the random generation of permutations. These operations are of key importance for the efficient computation of the operations on distributions. These algorithms are implemented in the associated R package. Moreover, the internal code is written in C++.

An Optical Fiber Bundle Sensor for Tip Clearance and Tip Timing Measurements in a Turbine Rig

When it comes to measuring blade-tip clearance or blade-tip timing in turbines, reflective intensity-modulated optical fiber sensors overcome several traditional limitations of capacitive, inductive or discharging probe sensors. This paper presents the signals and results corresponding to the third stage of a multistage turbine rig, obtained from a transonic wind-tunnel test. The probe is based on a trifurcated bundle of optical fibers that is mounted on the turbine casing. To eliminate the influence of light source intensity variations and blade surface reflectivity, the sensing principle is based on the quotient of the voltages obtained from the two receiving bundle legs. A discrepancy lower than 3% with respect to a commercial sensor was observed in tip clearance measurements. Regarding tip timing measurements, the travel wave spectrum was obtained, which provides the average vibration amplitude for all blades at a particular nodal diameter. With this approach, both blade-tip timing and tip clearance measurements can be carried out simultaneously. The results obtained on the test turbine rig demonstrate the suitability and reliability of the type of sensor used, and suggest the possibility of performing these measurements in real turbines under real working conditions.

Fishery dynamics and present status of the yellowfin tuna population of the Eastern Pacific Ocean

ENGLISH: From morphometric data, tagging results and reaction of the stock to fishing, it is inferred that the yellowfin tuna of the Eastern Pacific form a distinct population which intermingles little, if at all, with populations to the westward. Excellent statistics of catch and effort, and records of total catch, available since 1934, during rapid growth of the fishery, have made possible application of a generalized mathematical predator-prey model to estimate the effect of fishing on the population, and the average abundance and yield corresponding to different amounts of fishing effort, and also to estimate the rate of fishing mortality per unit of effort. From serial samples of size composition of catches, and from tagging experiments, it has been possible to determine rates of growth and of total mortality. These kinds of information permit application of the catch-per-recruit model of Beverton and Holt. Combination of the results of application of the Beverton and Holt model and of the generalized predator-prey model, leads to inference of the relationship between stock size and recruitment. The form of the relationship is remarkably similar to the theoretical model developed by W. E. Ricker. These studies, based on the data of the near-surface fishery by baitboats and purse seiners, indicate clearly that the increased intensity of fishing has caused diminution of the stocks to the point where they are somewhat "overfished"-that is, incapable of supporting the maximum sustainable average harvest. SPANISH: De los datos morfométricos, de los resultados de las marcaciones y de la reacción del stock a la pesca, se infiere que el atún aleta amarilla del Pacífico oriental forma una población diferente que se mezcla poco, si es que llega a mezclarse, con las poblaciones del oeste. Las excelentes estadísticas de la captura y el esfuerzo y los registros de la pesca global disponibles desde 1934, durante el rápido crecimiento de la pesquería, han hecho posible la aplicación de un modelo matemático generalizado depredador-presa para estimar el efecto de la pesca en la población y el promedio de la abundancia y del rendimiento correspondientes a los diferentes valores del esfuerzo de pesca, y también para estimar la tasa de la mortalidad de pesca por unidad de esfuerzo. Gracias a las muestras en serie de la composición de tamaños de las capturas y a los experimentos de marcación, ha sido posible determinar las tasas del crecimiento y de la mortalidad total. Estos tipos de información permiten la aplicación del modelo de la captura-porrecluta de Beverton y Holt. La combinación de los resultados de la aplicación del modelo de Beverton y Holt y del modelo generalizado depredador-presa, conduce a la inferencia de la relación entre el tamaño del stock y el reclutamiento. La forma de la relación es notoriamente similar al modelo teórico desarrollado por W. E. Ricker. Estos estudios, basados en los datos de la pesquería cerca de la superficie efectuada por barcos de carnada y rederos, indican claramente que el aumento de la intensidad de la pesca ha causado la disminución de los stocks hasta el punto de dejarlos algo "superexplotados", o sea, incapacitados para mantener una producción máxima promedio. (PDF contains 50 pages.)