Analysis of financial data series using fractional Fourier transform and multidimensional scaling

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.

Seismic vulnerability: From building evaluation to a typology generalization

Outlining the best strategies for seismic risk mitigation requires that both benefits and costs of retrofitting are known in advance. The assessment of the vulnerability of building typologies is a first step of a more extensive effort, concerning the analysis of the viability of seismic risk mitigation and taking into account retrofitting costs. The methodology adopted to obtain the seismic vulnerability of some classes of residential buildings existing in mainland Portugal is presented. This methodology is based on a structural analysis of individual buildings belonging to the same typology. An application example is presented to illustrate the methodology. Fragility curves of “boxed” building typology are also presented and broken down into three height classes: low rise, medium-rise and high-rise. These curves are based on average capacity spectra derived from several individual buildings belonging to the same typology.

Persistence characteristics in financial prices: evidence from the portuguese stock market returns

The objective of this article is to provide additional knowledge to the discussion of long-term memory, leaning over the behavior of the main Portuguese stock index. The first four moments are calculated using time windows of increasing size and sliding time windows of fixed size equal to 50 days and suggest that daily returns are non-ergodic and non-stationary. Seeming that the series is best described by a fractional Brownian motion approach, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA). The findings indicate evidence of long term memory in the form of persistence. This evidence of fractal structure suggests that the market is subject to greater predictability and contradicts the efficient market hypothesis in its weak form. This raises issues regarding theoretical modeling of asset pricing. In addition, we carried out a more localized (in time) study to identify the evolution of the degree of long-term dependency over time using windows 200-days and 400-days. The results show a switching feature in the index, from persistent to anti-persistent, quite evident from 2010.

Long-term dependence in financial prices: evidence from the Belgian stock market returns

This article aims to contribute to the discussion of long-term dependence, focusing on the behavior of the main Belgian stock index. Non-parametric analyzes of the general characteristics of temporal frequency show that daily returns are non-ergodic and non-stationary. Therefore, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA), under the fractional Brownian motion approach, and we found slight evidence of long-term dependence. These results refute the random walk hypothesis with i.i.d. increments, which is the basis of the EMH in its weak form, and call into question some theoretical modeling of asset pricing. Other more localized complementary study, to identify the evolution of the degree of dependence over time windows, showed that the index has become less persistent from 2010. This may mean a maturing market by the extension of the effects of current financial crisis.

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

XII Iberian-Italian Congress of Financial and Actuarial Mathematics

"The purpose of the XII Iberian-Italian Congress of Financial and Actuarial Mathematics is to provide a meeting point for researchers in Financial Economics from different countries and research backgrounds in universities, government or financial institutions. In fact, the Congress which is currently taking place in Lisbon has been organized to encourage communication and debate among the participants as well as to reinforce the bonds between us.The current edition of the Congress is characterized by the quality and diversity of the papers that have been submitted with special attention to the International Financial Crisis and measures of risk in different financial markets. However, as the Congress Program indicates, there are also parallel sessions about traditional topics in finance such as asset pricing, insurance, corporate finance, etc.Although this Congress has always been organized alternately between Spain and Italy, this year we have the great pleasure of celebrating it in Portugal which will be included as a permanent partner." [prefácio]

A fractional perspective to financial indices

The application of mathematical methods and computer algorithms in the analysis of economic and financial data series aims to give empirical descriptions of the hidden relations between many complex or unknown variables and systems. This strategy overcomes the requirement for building models based on a set of ‘fundamental laws’, which is the paradigm for studying phenomena usual in physics and engineering. In spite of this shortcut, the fact is that financial series demonstrate to be hard to tackle, involving complex memory effects and a apparently chaotic behaviour. Several measures for describing these objects were adopted by market agents, but, due to their simplicity, they are not capable to cope with the diversity and complexity embedded in the data. Therefore, it is important to propose new measures that, on one hand, are highly interpretable by standard personal but, on the other hand, are capable of capturing a significant part of the dynamical effects.

Multi-Objective and Financial Portfolio Optimization of Carrier-Sense Multiple Access Protocols with Cooperative Diversity

8th International Workshop on Multiple Access Communications (MACOM2015), Helsinki, Finland.

Attachment, Physiological and Familial Vulnerability in Childhood Obesity: an Interactive Multisystem Approach

The aims of the present study were to test the association between insecure attachment and basal cortisol and catecholamines levels in a sample of obese children. The role of familial vulnerability and gender was also investigated. Methods: Cortisol and catecholamines levels of 8- to 13-year olds obese children were measured. Self-report questionnaires were used to assess attachment pattern and current anxiety and depression, and parent-report questionnaires were used to assess attachment, current anxiety and depression and familial vulnerability. Linear regression analyses were performed for individuals that scored low versus high on parental internalizing problems, and for boys and girls, separately. Results: In the group with high parental internalizing problems, insecure attachment was significantly associated with reduced basal levels of cortisol, in boys (p=0.007, b= -0.861, R2= 73.0%). In the group with low parental internalizing problems, the association between insecure attachment and cortisol was not significant in either boys or girls, and it was negative in boys (p=0.075, b= -0.606, R2= 36.7%) and positive in girls (p=0.677, b= 0.176, R2= 3.1%) . Conclusions: Apparently, physiological risk factors for psicopathology in obesity are more evident in individuals with a high familial vulnerability. In addition, patterns of physiological risk for psicopathology in obesity are different in boys and girls. Therefore, it is important to take into account familial vulnerability and gender when investigating physiological risk factors for psycopathology in obesity. Insecure attachment in childhood may be a risk factor for obesity. Interventions to increase children's attachment security should examine the effects on children's weight.

Tuple-based morphisms for interoperability establishment of financial information models

Dissertação apresentada na Faculdade de Ciências e Tecnologia da Universidade Nova de Lisboa para obtenção do grau de Mestre em Engenharia Electrotécnica e Computadores

Municipalities of higher vulnerability to Sylvatic Yellow Fever occurrence in the São Paulo State, Brazil

Until 1999 the endemic cases of Sylvatic Yellow Fever were located in the states of northern, midwestern and pre-Amazon regions. Since then, the disease progressively expanded its territory of occurrence, cases being registered beyond the traditional boundaries of endemism. The São Paulo State is considered to be part of this context, since after decades without registration of autochthonous cases of the disease, it reported, in 2000 and 2008-2009, epizootic occurrence in non-human primates and 30 cases in humans. Facts like these, added to the increase in incidences of serious adverse effects resulting from the Yellow Fever vaccination, have highlighted the importance of defining priority municipalities for vaccination against the disease in the state. Two groups of municipalities, some affected and some non-affected by YF, were compared for environmental variables related to the eco-epidemiology of the disease according to literature. The Multiple Correspondence Analysis (MCA) was used to pinpoint the factor able to differentiate the two groups of municipalities and define the levels of risk. The southeast region of the São Paulo State was considered to be the area with a higher number of municipalities classified as high risk and should be considered a priority for the application of prevention measures against Yellow Fever.

Delineating environmental groundwater vulnerability and protection zones mapping in fractured rock masses

Hard‐rock watersheds commonly exhibit complex geological bedrock and morphological features. Hydromineral resources have relevant economic value for the thermal spas industry. The present study aims to develop a groundwater vulnerability approach in Caldas da Cavaca hydromineral system (Aguiar da Beira, Central Portugal) which has a thermal tradition that dates back to the late 19th century, and contribute to a better understanding of the hydrogeological conceptual site model. In this work different layers were overlaid, generating several thematic maps to arrive at an integrated framework of several key‐sectors in Caldas da Cavaca site. Thus, to accomplish a comprehensive analysis and conceptualization of the site, a multi‐technical approach was used, such as, field and laboratory techniques, where several data was collected, like geotectonics, hydrology and hydrogeology, hydrogeomorphology, hydrogeophysical and hydrogeomechanical zoning aiming the application of the so‐called DISCO method. All these techniques were successfully performed and a groundwater vulnerability to contamination assessment, based on GOD‐S, DRASTIC‐Fm, SINTACS, SI and DISCO indexes methodology, was delineated. Geographical Information Systems (GIS) technology was on the basis to organise and integrate the geodatabases and to produce all the thematic maps. This multi‐technical approach highlights the importance of groundwater vulnerability to contamination mapping as a tool to support hydrogeological conceptualisation, contributing to better decision‐making of water resources management and sustainability.

“Upselling,” a Peculiar Financial Practice : An Anthropological Contribution to the Deconstruction of a Case Study

Trabalho de Projecto apresentado para cumprimento dos requisitos necessários à obtenção do grau de Mestre em Antropologia dos Direitos Humanos e Movimentos Sociais.

Analysis of mental health service financial models with a particular emphasis of Ireland

ABSTRACT: Financing is a critical factor in ensuring the optimal development and delivery of a mental health system. The primary method of financing worldwide is tax-based. However many low income countries depend on out-of-pocket payments. There is a report on Irish Health Care funding but none that deals exclusively with mental health care. This paper analyses the various financial models that exist globally with respect to financing the mental health sector, examines the impact of various models on service users, especially in terms of relative ‘financial burden’ and provides a more detailed examination of the current mental health funding situation in Ireland After extensive internet and hardcopy research on the above topics, the findings were analysed and a number of recommendations were reached. Mental health service should be free at the point of delivery to achieve universal coverage. Government tax-based funding or mandatory social insurance with government top-ups, as required, appears the optimal option, although there is no one funding system applicable everywhere. Out-of-pocket funding can create a crippling financial burden for service users. It is important to employ improved revenue collection systems, eliminate waste, provide equitable resource distribution, ring fence mental health funding and cap the number of visits, where necessary. Political, economic, social and cultural factors play a role in funding decisions and this can be clearly seen in the context of the current economic recession in Ireland. Only 33% of the Irish population has access to free public health care and the number health insurance policy holders has dramatically declined, resulting in increased out-of-pocket payments. This approach risks negatively impacting on the social determinants of health, increasing health inequalities and negatively affecting economic productivity. It is therefore important the Irish government examines other options to provide funding for mental health services.