The impact of the 2008 and 2010 financial crises on international stock markets : contagion and long memory

Nesta tese estudamos os efeitos de contágio financeiro e de memória longa causados pelas crises financeiras de 2008 e 2010 em alguns mercados acionistas internacionais. A tese é composta por três ensaios interligados. No Ensaio 1, recorremos à teoria das cópulas para testar a existência de contágio e revelar os canais “investor induced” de transmissão da crise de 2008 aos mercados da Bélgica, França, Holanda e Portugal (grupo NYSE Euronext). Concluímos que existe contágio nestes mercados, que o canal “portfolio rebalancing” é o mecanismo mais importante de transmissão da crise, e que o fenómeno “flight to quality” está presente nos mercados. No Ensaio 2, usando novamente modelos de cópulas, avaliamos os efeitos de contágio provocados pelo mercado acionista grego nos mercados do grupo NYSE Euronext, no contexto da crise de 2010. Os resultados obtidos sugerem que durante a crise de 2010 apenas o mercado português foi objeto de contágio; além disso, conclui-se que os efeitos de contágio provocados pela crise de 2008 são claramente superiores aos efeitos provocados pela crise de 2010. No Ensaio 3, abordamos o tema da memória longa através do estudo do expoente de Hurst dos mercados acionistas da Bélgica, E.U.A., França, Grécia, Holanda, Japão, Reino Unido e Portugal. Verificamos que as propriedades de memória longa dos mercados foram afetadas pelas crises, especialmente a de 2008 – que aumentou a memória longa dos mercados e tornou-os mais persistentes. Finalmente, usando cópulas mais uma vez, verificamos que as crises provocaram, em geral, um aumento na correlação entre os expoentes de Hurst locais dos mercados foco das crises (E.U.A. e Grécia) e os expoentes de Hurst locais dos outros mercados da amostra, sugerindo que o expoente de Hurst pode ser utilizado para detetar efeitos de contágio financeiro. Em síntese, os resultados desta tese sugerem que comparativamente com períodos de acalmia, os períodos de crises financeiras tendem a provocar ineficiência nos mercados acionistas e a conduzi-los na direção da persistência e do contágio financeiro.

Long-term memory in financial prices: evidence from the Dutch stock market returns

Prepared for presentation at the Portuguese Finance Network International Conference 2014, Vilamoura, Portugal, June 18-20

Gestão do stock da bandoteca do centro de processamento de dados do BPA - Banco Português do Atlântico

O programa que nos propusemos fazer destina-se à informatização do stock de bandas da bandoteca do Centro Informático do BPA.

Optimization of HS-SPME analytical conditions using factorial design for trihalomethanes determination in swimming pool water samples

Trihalomethanes (THMs) are widely referred and studied as disinfection by-products (DBPs). The THMs that are most commonly detected are chloroform (TCM), bromodichloromethane (BDCM), chlorodibromomethane (CDBM), and bromoform (TBM). Several studies regarding the determination of THMs in swimming pool water and air samples have been published. This paper reviews the most recent work in this field, with a special focus on water and air sampling, sample preparation and analytical determination methods. An experimental study has been developed in order to optimize the headspace solid-phasemicroextraction (HS-SPME) conditions of TCM, BDCM, CDBM and TBM from water samples using a 23 factorial design. An extraction temperature of 45 °C, for 25min, and a desorption time of 5 min were found to be the best conditions. Analysis was performed by gas chromatography with an electron capture detector (GC-ECD). The method was successfully applied to a set of 27 swimming pool water samples collected in the Oporto area (Portugal). TCM was the only THM detected with levels between 4.5 and 406.5 μg L−1. Four of the samples exceeded the guideline value for total THMs in swimming pool water (100 μgL−1) indicated by the Portuguese Health Authority.

Task assignment algorithms for two-type heterogeneous multiprocessors

Consider the problem of assigning implicit-deadline sporadic tasks on a heterogeneous multiprocessor platform comprising two different types of processors—such a platform is referred to as two-type platform. We present two low degree polynomial time-complexity algorithms, SA and SA-P, each providing the following guarantee. For a given two-type platform and a task set, if there exists a task assignment such that tasks can be scheduled to meet deadlines by allowing them to migrate only between processors of the same type (intra-migrative), then (i) using SA, it is guaranteed to find such an assignment where the same restriction on task migration applies but given a platform in which processors are 1+α/2 times faster and (ii) SA-P succeeds in finding a task assignment where tasks are not allowed to migrate between processors (non-migrative) but given a platform in which processors are 1+α times faster. The parameter 0<α≤1 is a property of the task set; it is the maximum of all the task utilizations that are no greater than 1. We evaluate average-case performance of both the algorithms by generating task sets randomly and measuring how much faster processors the algorithms need (which is upper bounded by 1+α/2 for SA and 1+α for SA-P) in order to output a feasible task assignment (intra-migrative for SA and non-migrative for SA-P). In our evaluations, for the vast majority of task sets, these algorithms require significantly smaller processor speedup than indicated by their theoretical bounds. Finally, we consider a special case where no task utilization in the given task set can exceed one and for this case, we (re-)prove the performance guarantees of SA and SA-P. We show, for both of the algorithms, that changing the adversary from intra-migrative to a more powerful one, namely fully-migrative, in which tasks can migrate between processors of any type, does not deteriorate the performance guarantees. For this special case, we compare the average-case performance of SA-P and a state-of-the-art algorithm by generating task sets randomly. In our evaluations, SA-P outperforms the state-of-the-art by requiring much smaller processor speedup and by running orders of magnitude faster.

Task Assignment Algorithms for Heterogeneous Multiprocessors

Consider the problem of assigning implicit-deadline sporadic tasks on a heterogeneous multiprocessor platform comprising a constant number (denoted by t) of distinct types of processors—such a platform is referred to as a t-type platform. We present two algorithms, LPGIM and LPGNM, each providing the following guarantee. For a given t-type platform and a task set, if there exists a task assignment such that tasks can be scheduled to meet their deadlines by allowing them to migrate only between processors of the same type (intra-migrative), then: (i) LPGIM succeeds in finding such an assignment where the same restriction on task migration applies (intra-migrative) but given a platform in which only one processor of each type is 1 + α × t-1/t times faster and (ii) LPGNM succeeds in finding a task assignment where tasks are not allowed to migrate between processors (non-migrative) but given a platform in which every processor is 1 + α times faster. The parameter α is a property of the task set; it is the maximum of all the task utilizations that are no greater than one. To the best of our knowledge, for t-type heterogeneous multiprocessors: (i) for the problem of intra-migrative task assignment, no previous algorithm exists with a proven bound and hence our algorithm, LPGIM, is the first of its kind and (ii) for the problem of non-migrative task assignment, our algorithm, LPGNM, has superior performance compared to state-of-the-art.

Provably Good Task Assignment for Two-Type Heterogeneous Multiprocessors Using Cutting Planes

Consider scheduling of real-time tasks on a multiprocessor where migration is forbidden. Specifically, consider the problem of determining a task-to-processor assignment for a given collection of implicit-deadline sporadic tasks upon a multiprocessor platform in which there are two distinct types of processors. For this problem, we propose a new algorithm, LPC (task assignment based on solving a Linear Program with Cutting planes). The algorithm offers the following guarantee: for a given task set and a platform, if there exists a feasible task-to-processor assignment, then LPC succeeds in finding such a feasible task-to-processor assignment as well but on a platform in which each processor is 1.5 × faster and has three additional processors. For systems with a large number of processors, LPC has a better approximation ratio than state-of-the-art algorithms. To the best of our knowledge, this is the first work that develops a provably good real-time task assignment algorithm using cutting planes.

Real-time scheduling with resource sharing on heterogeneous multiprocessors

Consider the problem of scheduling a task set τ of implicit-deadline sporadic tasks to meet all deadlines on a t-type heterogeneous multiprocessor platform where tasks may access multiple shared resources. The multiprocessor platform has m k processors of type-k, where k∈{1,2,…,t}. The execution time of a task depends on the type of processor on which it executes. The set of shared resources is denoted by R. For each task τ i , there is a resource set R i ⊆R such that for each job of τ i , during one phase of its execution, the job requests to hold the resource set R i exclusively with the interpretation that (i) the job makes a single request to hold all the resources in the resource set R i and (ii) at all times, when a job of τ i holds R i , no other job holds any resource in R i . Each job of task τ i may request the resource set R i at most once during its execution. A job is allowed to migrate when it requests a resource set and when it releases the resource set but a job is not allowed to migrate at other times. Our goal is to design a scheduling algorithm for this problem and prove its performance. We propose an algorithm, LP-EE-vpr, which offers the guarantee that if an implicit-deadline sporadic task set is schedulable on a t-type heterogeneous multiprocessor platform by an optimal scheduling algorithm that allows a job to migrate only when it requests or releases a resource set, then our algorithm also meets the deadlines with the same restriction on job migration, if given processors 4×(1+MAXP×⌈|P|×MAXPmin{m1,m2,…,mt}⌉) times as fast. (Here MAXP and |P| are computed based on the resource sets that tasks request.) For the special case that each task requests at most one resource, the bound of LP-EE-vpr collapses to 4×(1+⌈|R|min{m1,m2,…,mt}⌉). To the best of our knowledge, LP-EE-vpr is the first algorithm with proven performance guarantee for real-time scheduling of sporadic tasks with resource sharing on t-type heterogeneous multiprocessors.

Mn-II and Cu-II complexes with arylhydrazones of active methylene compounds as effective heterogeneous catalysts for solvent- and additive-free microwave-assisted peroxidative oxidation of alcohols

A one-pot template reaction of sodium 2-(2-(dicyanomethylene) hydrazinyl) benzenesulfonate (NaHL1) with water and manganese(II) acetate tetrahydrate led to the mononuclear complex [Mn(H2O)(6)](HL1a)(2)center dot 4H(2)O (1), where (HL1a) -= 2-(SO3-)C6H4(NH)=N=C(C N) (CONH2) is the carboxamide species derived from nucleophilic attack of water on a cyano group of (HL1) . The copper tetramer [Cu-4(H2O)(10)(-) (1 kappa N: kappa O-2: kappa O, 2 kappa N: k(O)-L-2)(2)]center dot 2H(2)O (2) was obtained from reaction of Cu(NO3)(2)center dot 2.5H(2)O with sodium 5-(2( 4,4-dimethyl-2,6-dioxocyclohexylidene) hydrazinyl)-4-hydroxybenzene-1,3-disulfonate (Na2H2L2). Both complexes were characterized by elemental analysis, IR spectroscopy, ESI-MS and single crystal X-ray diffraction. They exhibit a high catalytic activity for the solvent-and additive-free microwave (MW) assisted oxidation of primary and secondary alcohols with tert-butylhydroperoxide, leading to yields of the oxidized products up to 85.5% and TOFs up to 1.90 x 103 h(-1) after 1 h under low power (5-10 W) MW irradiation. Moreover, the heterogeneous catalysts are easily recovered and reused, at least for three consecutive cycles, maintaining 89% of the initial activity and a high selectivity.

Energy-aware task mapping onto heterogeneous platforms using DVFS and sleep states

Heterogeneous multicore platforms are becoming an interesting alternative for embedded computing systems with limited power supply as they can execute specific tasks in an efficient manner. Nonetheless, one of the main challenges of such platforms consists of optimising the energy consumption in the presence of temporal constraints. This paper addresses the problem of task-to-core allocation onto heterogeneous multicore platforms such that the overall energy consumption of the system is minimised. To this end, we propose a two-phase approach that considers both dynamic and leakage energy consumption: (i) the first phase allocates tasks to the cores such that the dynamic energy consumption is reduced; (ii) the second phase refines the allocation performed in the first phase in order to achieve better sleep states by trading off the dynamic energy consumption with the reduction in leakage energy consumption. This hybrid approach considers core frequency set-points, tasks energy consumption and sleep states of the cores to reduce the energy consumption of the system. Major value has been placed on a realistic power model which increases the practical relevance of the proposed approach. Finally, extensive simulations have been carried out to demonstrate the effectiveness of the proposed algorithm. In the best-case, savings up to 18% of energy are reached over the first fit algorithm, which has shown, in previous works, to perform better than other bin-packing heuristics for the target heterogeneous multicore platform.

Multidimensional Scaling Analysis of Stock Market Indexes

This paper applies multidimensional scaling techniques and Fourier transform for visualizing possible time-varying correlations between 25 stock market values. The method is useful for observing clusters of stock markets with similar behavior.

Stock photography: entre memória e esquecimento

Dissertação apresentada para cumprimento dos requisitos necessários à obtenção do grau de Mestre em Ciências da Comunicação, especialização em Comunicação e Artes

Energy-aware Task Allocation onto Unrelated Heterogeneous Multicore Platform for Mixed Criticality Systems

Presented at Work in Progress Session, IEEE Real-Time Systems Symposium (RTSS 2015). 1 to 4, Dec, 2015. San Antonio, U.S.A..

An integration bridge for heterogeneous e-service environments

Dissertação para obtenção do Grau de Mestre em Engenharia Electrotécnica e de Computadores

Measuring data transfer in heterogeneous IoT environments

Dissertação para obtenção do Grau de Mestre em Engenharia Electrotécnica e de Computadores