Quality of transmission estimation in WDM and elastic optical networks accounting for space-spectrum dependencies

We develop a framework for estimating the quality of transmission (QoT) of a new lightpath before it is established, as well as for calculating the expected degradation it will cause to existing lightpaths. The framework correlates the QoT metrics of established lightpaths, which are readily available from coherent optical receivers that can be extended to serve as optical performance monitors. Past similar studies used only space (routing) information and thus neglected spectrum, while they focused on oldgeneration noncoherent networks. The proposed framework accounts for correlation in both the space and spectrum domains and can be applied to both fixed-grid wavelength division multiplexing (WDM) and elastic optical networks. It is based on a graph transformation that exposes and models the interference between spectrum-neighboring channels. Our results indicate that our QoT estimates are very close to the actual performance data, that is, to having perfect knowledge of the physical layer. The proposed estimation framework is shown to provide up to 4 × 10-2 lower pre-forward error correction bit error ratio (BER) compared to theworst-case interference scenario,which overestimates the BER. The higher accuracy can be harvested when lightpaths are provisioned with low margins; our results showed up to 47% reduction in required regenerators, a substantial savings in equipment cost.

Analysis of the Bovespa Futures and Spot Indexes With High Frequency Data. Chinese Business Review

Data from the World Federation of Exchanges show that Brazil’s Sao Paulo stock exchange is one of the largest worldwide in terms of market value. Thus, the objective of this study is to obtain univariate and bivariate forecasting models based on intraday data from the futures and spot markets of the BOVESPA index. The interest is to verify if there exist arbitrage opportunities in Brazilian financial market. To this end, three econometric forecasting models were built: ARFIMA, vector autoregressive (VAR), and vector error correction (VEC). Furthermore, it presents the results of a Granger causality test for the aforementioned series. This type of study shows that it is important to identify arbitrage opportunities in financial markets and, in particular, in the application of these models on data of this nature. In terms of the forecasts made with these models, VEC showed better results. The causality test shows that futures BOVESPA index Granger causes spot BOVESPA index. This result may indicate arbitrage opportunities in Brazil.

Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.

This paper analyzes the dynamics ofthe American Depositary Receipt (ADR) of a Colombian bank (Bancolombia) in relation to its pricing factors (underlying (preferred) shares price, exchange rate and the US market index). The aim is to test if there is a long-term relation among these variables that would imply predictability. One cointegrating relation is found allowing the use of a vector error correction model to examine the transmission of shocks to the underlying prices, the exchange rate, and the US market index. The main finding of this paper is that in the short run, the underlying share price seems to adjust after changes in the ADR price, pointing to the fact that the NYSE (trading market for the ADR) leads the Colombian market. However, in the long run, both, the underlying share price and the ADR price, adjust to changes in one another.

Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

State protection under collective damping and diffusion

In this paper we provide a recipe for state protection in a network of oscillators under collective damping and diffusion. Our strategy is to manipulate the network topology, i.e., the way the oscillators are coupled together, the strength of their couplings, and their natural frequencies, in order to create a relaxation-diffusion-free channel. This protected channel defines a decoherence-free subspace (DFS) for nonzero-temperature reservoirs. Our development also furnishes an alternative approach to build up DFSs that offers two advantages over the conventional method: it enables the derivation of all the network-protected states at once, and also reveals, through the network normal modes, the mechanism behind the emergence of these protected domains.

Teleportation using coupled oscillator states

We analyze the fidelity of teleportation protocols, as a function of resource entanglement, for three kinds of two-mode oscillator states: states with fixed total photon number, number states entangled at a beam splitter, and the two-mode squeezed vacuum state. We define corresponding teleportation protocols for each case including phase noise to model degraded entanglement of each resource.

Quantum control and quantum entanglement

We discuss quantum error correction for errors that occur at random times as described by, a conditional Poisson process. We shoo, how a class of such errors, detected spontaneous emission, can be corrected by continuous closed loop, feedback.

Flex cars and the alcohol price

We build a model that incorporates the effect of the innovative ""flex"" car, an automobile that is able to run with either gasoline or alcohol, on the dynamics of fuel prices in Brazil. Our model shows that differences regarding fuel prices will now depend on the proportions of alcohol, gasoline and flex cars in the total stock. Conversely, the demand for each type of car will also depend on the expected future prices of alcohol and gasoline (in addition to the car prices). The model reflects our findings that energy prices are tied in the long run and that causality runs stronger from gasoline to alcohol. The estimated error correction parameter is stable, implying that the speed of adjustment towards equilibrium remains unchanged. The latter result is probably due to a still small fraction of flex cars in the total stock (approx. 5%), despite the fact that its sales nearly reached 100% in 2006. (C) 2009 Elsevier B.V. All rights reserved.

Correcting the effects of spontaneous emission on cold-trapped ions

We propose two quantum error-correction schemes which increase the maximum storage time for qubits in a system of cold-trapped ions, using a minimal number of ancillary qubits. Both schemes consider only the errors introduced by the decoherence due to spontaneous emission from the upper levels of the ions. Continuous monitoring of the ion fluorescence is used in conjunction with selective coherent feedback to eliminate these errors immediately following spontaneous emission events.

Causal and localizable quantum operations

We examine constraints on quantum operations imposed by relativistic causality. A bipartite superoperator is said to be localizable if it can be implemented by two parties (Alice and Bob) who share entanglement but do not communicate, it is causal if the superoperator does not convey information from Alice to Bob or from Bob to Alice. We characterize the general structure of causal complete-measurement superoperators, and exhibit examples that are causal but not localizable. We construct another class of causal bipartite superoperators that are not localizable by invoking bounds on the strength of correlations among the parts of a quantum system. A bipartite superoperator is said to be semilocalizable if it can be implemented with one-way quantum communication from Alice to Bob, and it is semicausal if it conveys no information from Bob to Alice. We show that all semicausal complete-measurement superoperators are semi localizable, and we establish a general criterion for semicausality. In the multipartite case, we observe that a measurement superoperator that projects onto the eigenspaces of a stabilizer code is localizable.

Universal state inversion and concurrence in arbitrary dimensions

Wootters [Phys. Rev. Lett. 80, 2245 (1998)] has given an explicit formula for the entanglement of formation of two qubits in terms of what he calls the concurrence of the joint density operator. Wootters's concurrence is defined with the help of the superoperator that flips the spin of a qubit. We generalize the spin-flip superoperator to a universal inverter, which acts on quantum systems of arbitrary dimension, and we introduce the corresponding generalized concurrence for joint pure states of D-1 X D-2 bipartite quantum systems. We call this generalized concurrence the I concurrence to emphasize its relation to the universal inverter. The universal inverter, which is a positive, but not completely positive superoperator, is closely related to the completely positive universal-NOT superoperator, the quantum analogue of a classical NOT gate. We present a physical realization of the universal-NOT Superoperator.

Color constancy and the functional significance of McCollough effects

A central problem in visual perception concerns how humans perceive stable and uniform object colors despite variable lighting conditions (i.e. color constancy). One solution is to 'discount' variations in lighting across object surfaces by encoding color contrasts, and utilize this information to 'fill in' properties of the entire object surface. Implicit in this solution is the caveat that the color contrasts defining object boundaries must be distinguished from the spurious color fringes that occur naturally along luminance-defined edges in the retinal image (i.e. optical chromatic aberration). In the present paper, we propose that the neural machinery underlying color constancy is complemented by an 'error-correction' procedure which compensates for chromatic aberration, and suggest that error-correction may be linked functionally to the experimentally induced illusory colored aftereffects known as McCollough effects (MEs). To test these proposals, we develop a neural network model which incorporates many of the receptive-field (RF) profiles of neurons in primate color vision. The model is composed of two parallel processing streams which encode complementary sets of stimulus features: one stream encodes color contrasts to facilitate filling-in and color constancy; the other stream selectively encodes (spurious) color fringes at luminance boundaries, and learns to inhibit the filling-in of these colors within the first stream. Computer simulations of the model illustrate how complementary color-spatial interactions between error-correction and filling-in operations (a) facilitate color constancy, (b) reveal functional links between color constancy and the ME, and (c) reconcile previously reported anomalies in the local (edge) and global (spreading) properties of the ME. We discuss the broader implications of these findings by considering the complementary functional roles performed by RFs mediating color-spatial interactions in the primate visual system. (C) 2002 Elsevier Science Ltd. All rights reserved.

Autenticação de vídeo H.264/AVC

Hoje em dia, há cada vez mais informação audiovisual e as transmissões ou ficheiros multimédia podem ser partilhadas com facilidade e eficiência. No entanto, a adulteração de conteúdos vídeo, como informação financeira, notícias ou sessões de videoconferência utilizadas num tribunal, pode ter graves consequências devido à importância desse tipo de informação. Surge então, a necessidade de assegurar a autenticidade e a integridade da informação audiovisual. Nesta dissertação é proposto um sistema de autenticação de vídeo H.264/Advanced Video Coding (AVC), denominado Autenticação de Fluxos utilizando Projecções Aleatórias (AFPA), cujos procedimentos de autenticação, são realizados ao nível de cada imagem do vídeo. Este esquema permite um tipo de autenticação mais flexível, pois permite definir um limite máximo de modificações entre duas imagens. Para efectuar autenticação é utilizada uma nova técnica de autenticação de imagens, que combina a utilização de projecções aleatórias com um mecanismo de correcção de erros nos dados. Assim é possível autenticar cada imagem do vídeo, com um conjunto reduzido de bits de paridade da respectiva projecção aleatória. Como a informação de vídeo é tipicamente, transportada por protocolos não fiáveis pode sofrer perdas de pacotes. De forma a reduzir o efeito das perdas de pacotes, na qualidade do vídeo e na taxa de autenticação, é utilizada Unequal Error Protection (UEP). Para validação e comparação dos resultados implementou-se um sistema clássico que autentica fluxos de vídeo de forma típica, ou seja, recorrendo a assinaturas digitais e códigos de hash. Ambos os esquemas foram avaliados, relativamente ao overhead introduzido e da taxa de autenticação. Os resultados mostram que o sistema AFPA, utilizando um vídeo com qualidade elevada, reduz o overhead de autenticação em quatro vezes relativamente ao esquema que utiliza assinaturas digitais e códigos de hash.

Evaluation of dynamic pass-through of carbon prices into electricity prices – a cointegrated VECM analysis

This paper addresses the impact of the CO2 opportunity cost on the wholesale electricity price in the context of the Iberian electricity market (MIBEL), namely on the Portuguese system, for the period corresponding to the Phase II of the European Union Emission Trading Scheme (EU ETS). In the econometric analysis a vector error correction model (VECM) is specified to estimate both long–run equilibrium relations and short–run interactions between the electricity price and the fuel (natural gas and coal) and carbon prices. The model is estimated using daily spot market prices and the four commodities prices are jointly modelled as endogenous variables. Moreover, a set of exogenous variables is incorporated in order to account for the electricity demand conditions (temperature) and the electricity generation mix (quantity of electricity traded according the technology used). The outcomes for the Portuguese electricity system suggest that the dynamic pass–through of carbon prices into electricity prices is strongly significant and a long–run elasticity was estimated (equilibrium relation) that is aligned with studies that have been conducted for other markets.