Multi index model - uma abordagem para aplicação ao mercado accionista em Portugal

O mercado accionista, de uma forma global, tem-se revelado nos últimos tempos uma das principais fontes de incentivo ao mercado de valores mobiliários. O seu impacto junto do público em geral é enorme e a sua importância para as empresas é vital. Interessa, então, perceber como é que a teoria financeira tem obordado a avaliação e a compreensão do processo de formação de uma cotação. Desde os anos 50 até aos dias de hoje, interessa perceber como é que os diferentes autores têm tratado esta abordagem e quais os resultados deste confronto. Interessa sobretudo perceber o abordogem de Stephen Ross e a teoria do arbitragem. Na sequência desta obordagem e com o aparecimento do Multi Index Model, passou a ser possível extimar com maior precisão a evolução da cotação, na medida em que esta estaria dependente de um vasto conjunto de variavéis, que abragem uma vasta área de influência. O contributo de Ross é por isso decisivo. No final interessa reter a melhor técnica e teoria, que defende os interesses do investidor. Face o isto resta, então, saber qual a melhor técnica estatística para proceder a estes estudos empíricos.

A Multi-DAG Model for Real-Time Parallel Applications with Conditional Execution

The 30th ACM/SIGAPP Symposium On Applied Computing (SAC 2015). 13 to 17, Apr, 2015, Embedded Systems. Salamanca, Spain.

A multi-objective model for scheduling of short-term incentive-based demand response programs offered by electricity retailers

In this paper, we formulate the electricity retailers’ short-term decision-making problem in a liberalized retail market as a multi-objective optimization model. Retailers with light physical assets, such as generation and storage units in the distribution network, are considered. Following advances in smart grid technologies, electricity retailers are becoming able to employ incentive-based demand response (DR) programs in addition to their physical assets to effectively manage the risks of market price and load variations. In this model, the DR scheduling is performed simultaneously with the dispatch of generation and storage units. The ultimate goal is to find the optimal values of the hourly financial incentives offered to the end-users. The proposed model considers the capacity obligations imposed on retailers by the grid operator. The profit seeking retailer also has the objective to minimize the peak demand to avoid the high capacity charges in form of grid tariffs or penalties. The non-dominated sorting genetic algorithm II (NSGA-II) is used to solve the multi-objective problem. It is a fast and elitist multi-objective evolutionary algorithm. A case study is solved to illustrate the efficient performance of the proposed methodology. Simulation results show the effectiveness of the model for designing the incentive-based DR programs and indicate the efficiency of NSGA-II in solving the retailers’ multi-objective problem.

A Multi-state model for the analysis of functional decline and mortality of frail elderly patients

L’objectiu d’aquest estudi, que correspon a un projecte de recerca sobre la pèrdua funcional i la mortalitat de persones grans fràgils, és construir un procés de supervivència predictiu que tingui en compte l’evolució funcional i nutricional dels pacients al llarg del temps. En aquest estudi ens enfrontem a l’anàlisi de dades de supervivència i mesures repetides però els mètodes estadístics habituals per al tractament conjunt d’aquest tipus de dades no són apropiats en aquest cas. Com a alternativa utilitzem els models de supervivència multi-estats per avaluar l’associació entre mortalitat i recuperació, o no, dels nivells funcionals i nutricionals considerats normals. Després d’estimar el model i d’identificar els factors pronòstics de mortalitat és possible obtenir un procés predictiu que permet fer prediccions de la supervivència dels pacients en funció de la seva història concreta fins a un determinat moment. Això permet realitzar un pronòstic més precís de cada grup de pacients, la qual cosa pot ser molt útil per als professionals sanitaris a l’hora de prendre decisions clíniques.

A multi-objective model for a multi-period distribution management problem

The problems arising in commercial distribution are complex and involve several players and decision levels. One important decision is relatedwith the design of the routes to distribute the products, in an efficient and inexpensive way.This article deals with a complex vehicle routing problem that can beseen as a new extension of the basic vehicle routing problem. The proposed model is a multi-objective combinatorial optimization problemthat considers three objectives and multiple periods, which models in a closer way the real distribution problems. The first objective is costminimization, the second is balancing work levels and the third is amarketing objective. An application of the model on a small example, with5 clients and 3 days, is presented. The results of the model show the complexity of solving multi-objective combinatorial optimization problems and the contradiction between the several distribution management objective.

Site index model approach for drained peatland forest stands

Tiivistelmä: Pituusboniteettisovellus ojitusalueiden metsille

International Transmission of the Business Cycle in a Multi-Sector Model.

Multi-country models have not been very successful in replicating important features of the international transmission of business cycles. Standard models predict cross-country correlations of output and consumption which are respectively too low and too high. In this paper, we build a multi-country model of the business cycle with multiple sectors in order to analyze the role of sectoral shocks in the international transmission of the business cycle. We find that a model with multiple sectors generates a higher cross-country correlation of output than standard one-sector models, and a lower cross-country correlation of consumption. In addition, it predicts cross-country correlations of employment and investment that are closer to the data than the standard model. We also analyze the relative effects of multiple sectors, trade in intermediate goods, imperfect substitution between domestic and foreign goods, home preference, capital adjustment costs, and capital depreciation on the international transmission of the business cycle.

A Multi-scale Model for Copper Dishing in Chemical-Mechanical Polishing

The present success in the manufacture of multi-layer interconnects in ultra-large-scale integration is largely due to the acceptable planarization capabilities of the chemical-mechanical polishing (CMP) process. In the past decade, copper has emerged as the preferred interconnect material. The greatest challenge in Cu CMP at present is the control of wafer surface non-uniformity at various scales. As the size of a wafer has increased to 300 mm, the wafer-level non-uniformity has assumed critical importance. Moreover, the pattern geometry in each die has become quite complex due to a wide range of feature sizes and multi-level structures. Therefore, it is important to develop a non-uniformity model that integrates wafer-, die- and feature-level variations into a unified, multi-scale dielectric erosion and Cu dishing model. In this paper, a systematic way of characterizing and modeling dishing in the single-step Cu CMP process is presented. The possible causes of dishing at each scale are identified in terms of several geometric and process parameters. The feature-scale pressure calculation based on the step-height at each polishing stage is introduced. The dishing model is based on pad elastic deformation and the evolving pattern geometry, and is integrated with the wafer- and die-level variations. Experimental and analytical means of determining the model parameters are outlined and the model is validated by polishing experiments on patterned wafers. Finally, practical approaches for minimizing Cu dishing are suggested.

A Multi-scale Model for Copper Dishing in Chemical-Mechanical Polishing

The present success in the manufacture of multi-layer interconnects in ultra-large-scale integration is largely due to the acceptable planarization capabilities of the chemical-mechanical polishing (CMP) process. In the past decade, copper has emerged as the preferred interconnect material. The greatest challenge in Cu CMP at present is the control of wafer surface non-uniformity at various scales. As the size of a wafer has increased to 300 mm, the wafer-level non-uniformity has assumed critical importance. Moreover, the pattern geometry in each die has become quite complex due to a wide range of feature sizes and multi-level structures. Therefore, it is important to develop a non-uniformity model that integrates wafer-, die- and feature-level variations into a unified, multi-scale dielectric erosion and Cu dishing model. In this paper, a systematic way of characterizing and modeling dishing in the single-step Cu CMP process is presented. The possible causes of dishing at each scale are identified in terms of several geometric and process parameters. The feature-scale pressure calculation based on the step-height at each polishing stage is introduced. The dishing model is based on pad elastic deformation and the evolving pattern geometry, and is integrated with the wafer- and die-level variations. Experimental and analytical means of determining the model parameters are outlined and the model is validated by polishing experiments on patterned wafers. Finally, practical approaches for minimizing Cu dishing are suggested.

Kinetic multi-layer model of aerosol surface and bulk chemistry (KM-SUB): the influence of interfacial transport and bulk diffusion on the oxidation of oleic acid by ozone

We present a novel kinetic multi-layer model that explicitly resolves mass transport and chemical reaction at the surface and in the bulk of aerosol particles (KM-SUB). The model is based on the PRA framework of gas-particle interactions (Poschl-Rudich-Ammann, 2007), and it includes reversible adsorption, surface reactions and surface-bulk exchange as well as bulk diffusion and reaction. Unlike earlier models, KM-SUB does not require simplifying assumptions about steady-state conditions and radial mixing. The temporal evolution and concentration profiles of volatile and non-volatile species at the gas-particle interface and in the particle bulk can be modeled along with surface concentrations and gas uptake coefficients. In this study we explore and exemplify the effects of bulk diffusion on the rate of reactive gas uptake for a simple reference system, the ozonolysis of oleic acid particles, in comparison to experimental data and earlier model studies. We demonstrate how KM-SUB can be used to interpret and analyze experimental data from laboratory studies, and how the results can be extrapolated to atmospheric conditions. In particular, we show how interfacial and bulk transport, i.e., surface accommodation, bulk accommodation and bulk diffusion, influence the kinetics of the chemical reaction. Sensitivity studies suggest that in fine air particulate matter oleic acid and compounds with similar reactivity against ozone (carbon-carbon double bonds) can reach chemical lifetimes of many hours only if they are embedded in a (semi-)solid matrix with very low diffusion coefficients (< 10(-10) cm(2) s(-1)). Depending on the complexity of the investigated system, unlimited numbers of volatile and non-volatile species and chemical reactions can be flexibly added and treated with KM-SUB. We propose and intend to pursue the application of KM-SUB as a basis for the development of a detailed master mechanism of aerosol chemistry as well as for the derivation of simplified but realistic parameterizations for large-scale atmospheric and climate models.

Kinetic multi-layer model of aerosol surface and bulk chemistry (KM-SUB): the influence of interfacial transport and bulk diffusion on the oxidation of oleic acid by ozone

We present a novel kinetic multi-layer model that explicitly resolves mass transport and chemical reaction at the surface and in the bulk of aerosol particles (KM-SUB). The model is based on the PRA framework of gas–particle interactions (P¨oschl et al., 5 2007), and it includes reversible adsorption, surface reactions and surface-bulk exchange as well as bulk diffusion and reaction. Unlike earlier models, KM-SUB does not require simplifying assumptions about steady-state conditions and radial mixing. The temporal evolution and concentration profiles of volatile and non-volatile species at the gas-particle interface and in the particle bulk can be modeled along with surface 10 concentrations and gas uptake coefficients. In this study we explore and exemplify the effects of bulk diffusion on the rate of reactive gas uptake for a simple reference system, the ozonolysis of oleic acid particles, in comparison to experimental data and earlier model studies. We demonstrate how KM-SUB can be used to interpret and analyze experimental data from laboratory stud15 ies, and how the results can be extrapolated to atmospheric conditions. In particular, we show how interfacial transport and bulk transport, i.e., surface accommodation, bulk accommodation and bulk diffusion, influence the kinetics of the chemical reaction. Sensitivity studies suggest that in fine air particulate matter oleic acid and compounds with similar reactivity against ozone (C=C double bonds) can reach chemical lifetimes of 20 multiple hours only if they are embedded in a (semi-)solid matrix with very low diffusion coefficients (10−10 cm2 s−1). Depending on the complexity of the investigated system, unlimited numbers of volatile and non-volatile species and chemical reactions can be flexibly added and treated with KM-SUB. We propose and intend to pursue the application of KM-SUB 25 as a basis for the development of a detailed master mechanism of aerosol chemistry as well as for the derivation of simplified but realistic parameterizations for large-scale atmospheric and climate models.

Kinetic multi-layer model of gas-particle interactions in aerosols and clouds (KM-GAP): linking condensation, evaporation and chemical reactions of organics, oxidants and water

We present a novel kinetic multi-layer model for gas-particle interactions in aerosols and clouds (KM-GAP) that treats explicitly all steps of mass transport and chemical reaction of semi-volatile species partitioning between gas phase, particle surface and particle bulk. KM-GAP is based on the PRA model framework (Pöschl-Rudich-Ammann, 2007), and it includes gas phase diffusion, reversible adsorption, surface reactions, bulk diffusion and reaction, as well as condensation, evaporation and heat transfer. The size change of atmospheric particles and the temporal evolution and spatial profile of the concentration of individual chemical species can be modelled along with gas uptake and accommodation coefficients. Depending on the complexity of the investigated system, unlimited numbers of semi-volatile species, chemical reactions, and physical processes can be treated, and the model shall help to bridge gaps in the understanding and quantification of multiphase chemistry and microphysics in atmo- spheric aerosols and clouds. In this study we demonstrate how KM-GAP can be used to analyze, interpret and design experimental investigations of changes in particle size and chemical composition in response to condensation, evaporation, and chemical reaction. For the condensational growth of water droplets, our kinetic model results provide a direct link between laboratory observations and molecular dynamic simulations, confirming that the accommodation coefficient of water at 270 K is close to unity. Literature data on the evaporation of dioctyl phthalate as a function of particle size and time can be reproduced, and the model results suggest that changes in the experimental conditions like aerosol particle concentration and chamber geometry may influence the evaporation kinetics and can be optimized for eðcient probing of specific physical effects and parameters. With regard to oxidative aging of organic aerosol particles, we illustrate how the formation and evaporation of volatile reaction products like nonanal can cause a decrease in the size of oleic acid particles exposed to ozone.

Kinetic multi-layer model of gas-particle interactions in aerosols and clouds (KM-GAP): linking condensation, evaporation and chemical reactions of organics, oxidants and water

We present a novel kinetic multi-layer model for gas-particle interactions in aerosols and clouds (KMGAP) that treats explicitly all steps of mass transport and chemical reaction of semi-volatile species partitioning between gas phase, particle surface and particle bulk. KMGAP is based on the PRA model framework (P¨oschl-Rudich- Ammann, 2007), and it includes gas phase diffusion, reversible adsorption, surface reactions, bulk diffusion and reaction, as well as condensation, evaporation and heat transfer. The size change of atmospheric particles and the temporal evolution and spatial profile of the concentration of individual chemical species can be modeled along with gas uptake and accommodation coefficients. Depending on the complexity of the investigated system and the computational constraints, unlimited numbers of semi-volatile species, chemical reactions, and physical processes can be treated, and the model shall help to bridge gaps in the understanding and quantification of multiphase chemistry and microphysics in atmospheric aerosols and clouds. In this study we demonstrate how KM-GAP can be used to analyze, interpret and design experimental investigations of changes in particle size and chemical composition in response to condensation, evaporation, and chemical reaction. For the condensational growth of water droplets, our kinetic model results provide a direct link between laboratory observations and molecular dynamic simulations, confirming that the accommodation coefficient of water at 270K is close to unity (Winkler et al., 2006). Literature data on the evaporation of dioctyl phthalate as a function of particle size and time can be reproduced, and the model results suggest that changes in the experimental conditions like aerosol particle concentration and chamber geometry may influence the evaporation kinetics and can be optimized for efficient probing of specific physical effects and parameters. With regard to oxidative aging of organic aerosol particles, we illustrate how the formation and evaporation of volatile reaction products like nonanal can cause a decrease in the size of oleic acid particles exposed to ozone.