Estratégias de investimento em mercados liberalizados de energia elétrica

Dissertação para obtenção do grau de Mestre em Engenharia Electrotécnica Ramo Energia

Earth mortars constructive use on Neolithic domestic structures. Some case studies in Alentejo.

HMC08 - 1st Historical Mortars Conference: Characterization, Diagnosis, Conservation, Repair and Compatibility, LNEC, Lisbon, 24-26 September 2008

Promising blood-derived biomarkers for estimation of the postmortem interval

A precise estimation of the postmortem interval (PMI) is one of the most important topics in forensic pathology. However, the PMI estimation is based mainly on the visual observation of cadaverous pheno- mena (e.g. algor, livor and rigor mortis) and on alternative methods such as thanatochemistry that remain relatively imprecise. The aim of this in vitro study was to evaluate the kinetic alterations of several bio- chemical parameters (i.e. proteins, enzymes, substrates, electrolytes and lipids) during putrefaction of human blood. For this purpose, we performed kinetic biochemical analysis during a 264 hour period. The results showed a significant linear correlation between total and direct bilirubin, urea, uric acid, transferrin, immunoglobulin M (IgM), creatine kinase (CK), aspartate transaminase (AST), calcium and iron with the time of blood putrefaction. These parameters allowed us to develop two mathematical models that may have predictive values and become important complementary tools of traditional methods to achieve a more accurate PMI estimation

Study and implementation of some quantitative trading models

Quantitative or algorithmic trading is the automatization of investments decisions obeying a fixed or dynamic sets of rules to determine trading orders. It has increasingly made its way up to 70% of the trading volume of one of the biggest financial markets such as the New York Stock Exchange (NYSE). However, there is not a signi cant amount of academic literature devoted to it due to the private nature of investment banks and hedge funds. This projects aims to review the literature and discuss the models available in a subject that publications are scarce and infrequently. We review the basic and fundamental mathematical concepts needed for modeling financial markets such as: stochastic processes, stochastic integration and basic models for prices and spreads dynamics necessary for building quantitative strategies. We also contrast these models with real market data with minutely sampling frequency from the Dow Jones Industrial Average (DJIA). Quantitative strategies try to exploit two types of behavior: trend following or mean reversion. The former is grouped in the so-called technical models and the later in the so-called pairs trading. Technical models have been discarded by financial theoreticians but we show that they can be properly cast into a well defined scientific predictor if the signal generated by them pass the test of being a Markov time. That is, we can tell if the signal has occurred or not by examining the information up to the current time; or more technically, if the event is F_t-measurable. On the other hand the concept of pairs trading or market neutral strategy is fairly simple. However it can be cast in a variety of mathematical models ranging from a method based on a simple euclidean distance, in a co-integration framework or involving stochastic differential equations such as the well-known Ornstein-Uhlenbeck mean reversal ODE and its variations. A model for forecasting any economic or financial magnitude could be properly defined with scientific rigor but it could also lack of any economical value and be considered useless from a practical point of view. This is why this project could not be complete without a backtesting of the mentioned strategies. Conducting a useful and realistic backtesting is by no means a trivial exercise since the \laws" that govern financial markets are constantly evolving in time. This is the reason because we make emphasis in the calibration process of the strategies' parameters to adapt the given market conditions. We find out that the parameters from technical models are more volatile than their counterpart form market neutral strategies and calibration must be done in a high-frequency sampling manner to constantly track the currently market situation. As a whole, the goal of this project is to provide an overview of a quantitative approach to investment reviewing basic strategies and illustrating them by means of a back-testing with real financial market data. The sources of the data used in this project are Bloomberg for intraday time series and Yahoo! for daily prices. All numeric computations and graphics used and shown in this project were implemented in MATLAB^R scratch from scratch as a part of this thesis. No other mathematical or statistical software was used.

Avoiding transcription factor competition at promoter level increases the chances of obtaining oscillations

Background: The ultimate goal of synthetic biology is the conception and construction of genetic circuits that are reliable with respect to their designed function (e.g. oscillators, switches). This task remains still to be attained due to the inherent synergy of the biological building blocks and to an insufficient feedback between experiments and mathematical models. Nevertheless, the progress in these directions has been substantial. Results: It has been emphasized in the literature that the architecture of a genetic oscillator must include positive (activating) and negative (inhibiting) genetic interactions in order to yield robust oscillations. Our results point out that the oscillatory capacity is not only affected by the interaction polarity but by how it is implemented at promoter level. For a chosen oscillator architecture, we show by means of numerical simulations that the existence or lack of competition between activator and inhibitor at promoter level affects the probability of producing oscillations and also leaves characteristic fingerprints on the associated period/amplitude features. Conclusions: In comparison with non-competitive binding at promoters, competition drastically reduces the region of the parameters space characterized by oscillatory solutions. Moreover, while competition leads to pulse-like oscillations with long-tail distribution in period and amplitude for various parameters or noisy conditions, the non-competitive scenario shows a characteristic frequency and confined amplitude values. Our study also situates the competition mechanism in the context of existing genetic oscillators, with emphasis on the Atkinson oscillator.

Value and prices in Russian economic thought (1890-1920)

The subject "Value and prices in Russian economic thought (1890--1920)" should evoke several names and debates in the reader's mind. For a long time, Western scholars have been aware that the Russian economists Tugan-Baranovsky and Bortkiewicz were active participants to the Marxian transformation problem, that the mathematical models of Dmitriev prefigured forthcoming neoricardian based models, and that many Russian economists were either supporting the Marxian labour theory of value or being revisionists. Moreover, these ideas were preparing the ground for Soviet planning. Russian scholars additionally knew that this period was the time of introduction of marginalism in Russia, and that, during this period, economists were active in thinking the relation of ethics with economic theory. All these issues are well covered in the existing literature. But there is a big gap that this dissertation intends to fill. The existing literature handles these pieces separately, although they are part of a single, more general, history. All these issues (the labour theory of value, marginalism, the Marxian transformation problem, planning, ethics, mathematical economics) were part of what this dissertation calls here "The Russian synthesis". The Russian synthesis (in the singular) designates here all the attempts at synthesis between classical political economy and marginalism, between labour theory of value and marginal utility, and between value and prices that occurred in Russian economic thought between 1890 and 1920, and that embraces the whole set of issues evoked above. This dissertation has the ambition of being the first comprehensive history of that Russian synthesis. In this, this contribution is unique. It has always surprised the author of the present dissertation that such a book has not yet been written. Several good reasons, both in terms of scarce availability of sources and of ideological restrictions, may accounted for a reasonable delay of several decades. But it is now urgent to remedy the situation before the protagonists of the Russian synthesis are definitely classified under the wrong labels in the pantheon of economic thought. To accomplish this task, it has seldom be sufficient to gather together the various existing studies on aspects of this story. It as been necessary to return to the primary sources in the Russian language. The most important part of the primary literature has never been translated, and in the last years only some of them have been republished in Russian. Therefore, most translations from the Russian have been made by the author of the present dissertation. The secondary literature has been surveyed in the languages that are familiar (Russian, English and French) or almost familiar (German) to the present author, and which are hopefully the most pertinent to the present investigation. Besides, and in order to increase the acquaintance with the text, which was the objective of all this, some archival sources were used. The analysis consists of careful chronological studies of the authors' writings and their evolution in their historical and intellectual context. As a consequence, the dissertation brings new authors to the foreground - Shaposhnikov and Yurovsky - who were traditionally confined to the substitutes' bench, because they only superficially touched the domains quoted above. In the Russian synthesis however, they played an important part of the story. As a side effect, some authors that used to play in the foreground - Dmitriev and Bortkiewicz - are relegated to the background, but are not forgotten. Besides, the dissertation refreshes the views on authors already known, such as Ziber and, especially, Tugan-Baranovsky. The ultimate objective of this dissertation is to change the opinion that one could have on "value and prices in Russian economic thought", by setting the Russian synthesis at the centre of the debates.

Interiority of the optimal population growth rate with endogenous fertility

This paper analyzes the issue of the interiority of the optimal population growth rate in a two-period overlapping generations model with endogenous fertility. Using Cobb-Douglas utility and production functions, we show that the introduction of a cost of raising children allows for the possibility of the existence of an interior global maximum in the planner¿s problem, contrary to the exogenous fertility case

Effects of age, birth cohort and period of death on Swiss cancer mortality, 1951-1984.

Swiss death certification data over the period 1951-1984 for total cancer mortality and 30 major cancer sites in the population aged 25 to 74 years were analysed using a log-linear Poisson model with arbitrary constraints on the parameters to isolate the effects of birth cohort, calendar period of death and age. The overall pattern of total cancer mortality in males was stable for period values and showed some moderate decreases in cohort values restricted to the generations born after 1930. Cancer mortality trends were more favourable in females, with steady, though moderate, declines in both cohort and period values. According to the estimates from the model, the worst affected generation for male lung cancer was that born around 1910, and a flattening of trends or some moderate decline was observed for more recent cohorts, although this decline was considerably more limited than in other European countries. There were decreases in cohort and period values for stomach, intestine and oesophageal cancer in both sexes and (cervix) uteri in females. Increases were observed in both cohort and period trends for pancreas and liver in males and for several other neoplasms, including prostate, brain, leukaemias and lymphomas, restricted, however, for the latter sites, to the earlier cohorts and hence partly attributable to improved diagnosis and certification in the elderly. Although age values for lung cancer in females were around 10-times lower than in males, upward trends in female lung cancer cohort values were observed in subsequent cohorts and for period values from the late 1960's onwards. Therefore, future trends in female lung cancer mortality should continue to be monitored. The application of these age/period/cohort models thus provides a summary guide for the reading and interpretation of cancer mortality trends, although it cannot replace careful inspection of single age-specific rates.

Exactly solvable phase oscillator models with syncrhonization dynamics

Populations of phase oscillators interacting globally through a general coupling function f(x) have been considered. We analyze the conditions required to ensure the existence of a Lyapunov functional giving close expressions for it in terms of a generating function. We have also proposed a family of exactly solvable models with singular couplings showing that it is possible to map the synchronization phenomenon into other physical problems. In particular, the stationary solutions of the least singular coupling considered, f(x) = sgn(x), have been found analytically in terms of elliptic functions. This last case is one of the few nontrivial models for synchronization dynamics which can be analytically solved.

Interiority of the optimal population growth rate with endogenous fertility

This paper analyzes the issue of the interiority of the optimal population growth rate in a two-period overlapping generations model with endogenous fertility. Using Cobb-Douglas utility and production functions, we show that the introduction of a cost of raising children allows for the possibility of the existence of an interior global maximum in the planner¿s problem, contrary to the exogenous fertility case

Dynamic models of viral replication and latency.

PURPOSE OF REVIEW: HIV targets primary CD4(+) T cells. The virus depends on the physiological state of its target cells for efficient replication, and, in turn, viral infection perturbs the cellular state significantly. Identifying the virus-host interactions that drive these dynamic changes is important for a better understanding of viral pathogenesis and persistence. The present review focuses on experimental and computational approaches to study the dynamics of viral replication and latency. RECENT FINDINGS: It was recently shown that only a fraction of the inducible latently infected reservoirs are successfully induced upon stimulation in ex-vivo models while additional rounds of stimulation make allowance for reactivation of more latently infected cells. This highlights the potential role of treatment duration and timing as important factors for successful reactivation of latently infected cells. The dynamics of HIV productive infection and latency have been investigated using transcriptome and proteome data. The cellular activation state has shown to be a major determinant of viral reactivation success. Mathematical models of latency have been used to explore the dynamics of the latent viral reservoir decay. SUMMARY: Timing is an important component of biological interactions. Temporal analyses covering aspects of viral life cycle are essential for gathering a comprehensive picture of HIV interaction with the host cell and untangling the complexity of latency. Understanding the dynamic changes tipping the balance between success and failure of HIV particle production might be key to eradicate the viral reservoir.

Application of theoretical models to financial innovation

The present paper is aimed at providing a general strategic overview of the existing theoretical models that have applications in the field of financial innovation. Whereas most financialdevelopments have relied upon traditional economic tools, a new stream of research is defining a novel paradigm in which mathematical models from diverse scientific disciplines are being applied to conceptualize and explain economic and financial behavior. Indeed, terms such as ‘econophysics’ or ‘quantum finance’ have recently appeared to embrace efforts in this direction. As a first contact with such research, the project will present a brief description of some of the main theoretical models that have applications in finance and economics, and will try to present, if possible, potential new applications to particular areas in financial analysis, or new applicable models. As a result, emphasiswill be put on the implications of this research for the financial sector and its future dynamics.

Monte Carlo Methods in Parameter Estimation of Nonlinear Models

Yksi keskeisimmistä tehtävistä matemaattisten mallien tilastollisessa analyysissä on mallien tuntemattomien parametrien estimointi. Tässä diplomityössä ollaan kiinnostuneita tuntemattomien parametrien jakaumista ja niiden muodostamiseen sopivista numeerisista menetelmistä, etenkin tapauksissa, joissa malli on epälineaarinen parametrien suhteen. Erilaisten numeeristen menetelmien osalta pääpaino on Markovin ketju Monte Carlo -menetelmissä (MCMC). Nämä laskentaintensiiviset menetelmät ovat viime aikoina kasvattaneet suosiotaan lähinnä kasvaneen laskentatehon vuoksi. Sekä Markovin ketjujen että Monte Carlo -simuloinnin teoriaa on esitelty työssä siinä määrin, että menetelmien toimivuus saadaan perusteltua. Viime aikoina kehitetyistä menetelmistä tarkastellaan etenkin adaptiivisia MCMC menetelmiä. Työn lähestymistapa on käytännönläheinen ja erilaisia MCMC -menetelmien toteutukseen liittyviä asioita korostetaan. Työn empiirisessä osuudessa tarkastellaan viiden esimerkkimallin tuntemattomien parametrien jakaumaa käyttäen hyväksi teoriaosassa esitettyjä menetelmiä. Mallit kuvaavat kemiallisia reaktioita ja kuvataan tavallisina differentiaaliyhtälöryhminä. Mallit on kerätty kemisteiltä Lappeenrannan teknillisestä yliopistosta ja Åbo Akademista, Turusta.

Estimation of age- and stage-specific Catalan breast cancer survival functions using US and Catalan survival data

Background: During the last part of the 1990s the chance of surviving breast cancer increased. Changes in survival functions reflect a mixture of effects. Both, the introduction of adjuvant treatments and early screening with mammography played a role in the decline in mortality. Evaluating the contribution of these interventions using mathematical models requires survival functions before and after their introduction. Furthermore, required survival functions may be different by age groups and are related to disease stage at diagnosis. Sometimes detailed information is not available, as was the case for the region of Catalonia (Spain). Then one may derive the functions using information from other geographical areas. This work presents the methodology used to estimate age- and stage-specific Catalan breast cancer survival functions from scarce Catalan survival data by adapting the age- and stage-specific US functions. Methods: Cubic splines were used to smooth data and obtain continuous hazard rate functions. After, we fitted a Poisson model to derive hazard ratios. The model included time as a covariate. Then the hazard ratios were applied to US survival functions detailed by age and stage to obtain Catalan estimations. Results: We started estimating the hazard ratios for Catalonia versus the USA before and after the introduction of screening. The hazard ratios were then multiplied by the age- and stage-specific breast cancer hazard rates from the USA to obtain the Catalan hazard rates. We also compared breast cancer survival in Catalonia and the USA in two time periods, before cancer control interventions (USA 1975–79, Catalonia 1980–89) and after (USA and Catalonia 1990–2001). Survival in Catalonia in the 1980–89 period was worse than in the USA during 1975–79, but the differences disappeared in 1990–2001. Conclusion: Our results suggest that access to better treatments and quality of care contributed to large improvements in survival in Catalonia. On the other hand, we obtained detailed breast cancer survival functions that will be used for modeling the effect of screening and adjuvant treatments in Catalonia.

Effectiveness of early detection on breast cancer mortality reduction in Catalonia (Spain)

Background: At present, it is complicated to use screening trials to determine the optimal age intervals and periodicities of breast cancer early detection. Mathematical models are an alternative that has been widely used. The aim of this study was to estimate the effect of different breast cancer early detection strategies in Catalonia (Spain), in terms of breast cancer mortality reduction (MR) and years of life gained (YLG), using the stochastic models developed by Lee and Zelen (LZ). Methods: We used the LZ model to estimate the cumulative probability of death for a cohort exposed to different screening strategies after T years of follow-up. We also obtained the cumulative probability of death for a cohort with no screening. These probabilities were used to estimate the possible breast cancer MR and YLG by age, period and cohort of birth. The inputs of the model were: incidence of, mortality from and survival after breast cancer, mortality from other causes, distribution of breast cancer stages at diagnosis and sensitivity of mammography. The outputs were relative breast cancer MR and YLG. Results: Relative breast cancer MR varied from 20% for biennial exams in the 50 to 69 age interval to 30% for annual exams in the 40 to 74 age interval. When strategies differ in periodicity but not in the age interval of exams, biennial screening achieved almost 80% of the annual screening MR. In contrast to MR, the effect on YLG of extending screening from 69 to 74 years of age was smaller than the effect of extending the screening from 50 to 45 or 40 years. Conclusion: In this study we have obtained a measure of the effect of breast cancer screening in terms of mortality and years of life gained. The Lee and Zelen mathematical models have been very useful for assessing the impact of different modalities of early detection on MR and YLG in Catalonia (Spain).