Stock return comovements and integration within the Latin American integrated market

Financial integration has been pursued aggressively across the globe in the last fifty years; however, there is no conclusive evidence on the diversification gains (or losses) of such efforts. These gains (or losses) are related to the degree of comovements and synchronization among increasingly integrated global markets. We quantify the degree of comovements within the integrated Latin American market (MILA). We use dynamic correlation models to quantify comovements across securities as well as a direct integration measure. Our results show an increase in comovements when we look at the country indexes, however, the increase in the trend of correlation is previous to the institutional efforts to establish an integrated market in the region. On the other hand, when we look at sector indexes and an integration measure, we find a decreased in comovements among a representative sample of securities form the integrated market.

On the Integration of Smalltalk and Java

After decades of development in programming languages and programming environments, Smalltalk is still one of few environments that provide advanced features and is still widely used in the industry. However, as Java became prevalent, the ability to call Java code from Smalltalk and vice versa becomes important. Traditional approaches to integrate the Java and Smalltalk languages are through low-level communication between separate Java and Smalltalk virtual machines. We are not aware of any attempt to execute and integrate the Java language directly in the Smalltalk environment. A direct integration allows for very tight and almost seamless integration of the languages and their objects within a single environment. Yet integration and language interoperability impose challenging issues related to method naming conventions, method overloading, exception handling and thread-locking mechanisms. In this paper we describe ways to overcome these challenges and to integrate Java into the Smalltalk environment. Using techniques described in this paper, the programmer can call Java code from Smalltalk using standard Smalltalk idioms while the semantics of each language remains preserved. We present STX:LIBJAVA - an implementation of Java virtual machine within Smalltalk/X - as a validation of our approach

Integration of the Manakov-PMD Equation with Precomputed M(w) Matrices for PMD Simulation

A novel direct integration technique of the Manakov-PMD equation for the simulation of polarisation mode dispersion (PMD) in optical communication systems is demonstrated and shown to be numerically as efficient as the commonly used coarse-step method. The main advantage of using a direct integration of the Manakov-PMD equation over the coarse-step method is a higher accuracy of the PMD model. The new algorithm uses precomputed M(w) matrices to increase the computational speed compared to a full integration without loss of accuracy. The simulation results for the probability distribution function (PDF) of the differential group delay (DGD) and the autocorrelation function (ACF) of the polarisation dispersion vector for varying numbers of precomputed M(w) matrices are compared to analytical models and results from the coarse-step method. It is shown that the coarse-step method achieves a significantly inferior reproduction of the statistical properties of PMD in optical fibres compared to a direct integration of the Manakov-PMD equation.

Subcycling first- and second-order generalizations of the trapezoidal rule

Subcycling algorithms which employ multiple timesteps have been previously proposed for explicit direct integration of first- and second-order systems of equations arising in finite element analysis, as well as for integration using explicit/implicit partitions of a model. The author has recently extended this work to implicit/implicit multi-timestep partitions of both first- and second-order systems. In this paper, improved algorithms for multi-timestep implicit integration are introduced, that overcome some weaknesses of those proposed previously. In particular, in the second-order case, improved stability is obtained. Some of the energy conservation properties of the Newmark family of algorithms are shown to be preserved in the new multi-timestep extensions of the Newmark method. In the first-order case, the generalized trapezoidal rule is extended to multiple timesteps, in a simple way that permits an implicit/implicit partition. Explicit special cases of the present algorithms exist. These are compared to algorithms proposed previously. (C) 1998 John Wiley & Sons, Ltd.

The subcycled Newmark algorithm

The popular Newmark algorithm, used for implicit direct integration of structural dynamics, is extended by means of a nodal partition to permit use of different timesteps in different regions of a structural model. The algorithm developed has as a special case an explicit-explicit subcycling algorithm previously reported by Belytschko, Yen and Mullen. That algorithm has been shown, in the absence of damping or other energy dissipation, to exhibit instability over narrow timestep ranges that become narrower as the number of degrees of freedom increases, making them unlikely to be encountered in practice. The present algorithm avoids such instabilities in the case of a one to two timestep ratio (two subcycles), achieving unconditional stability in an exponential sense for a linear problem. However, with three or more subcycles, the trapezoidal rule exhibits stability that becomes conditional, falling towards that of the central difference method as the number of subcycles increases. Instabilities over narrow timestep ranges, that become narrower as the model size increases, also appear with three or more subcycles. However by moving the partition between timesteps one row of elements into the region suitable for integration with the larger timestep these the unstable timestep ranges become extremely narrow, even in simple systems with a few degrees of freedom. As well, accuracy is improved. Use of a version of the Newmark algorithm that dissipates high frequencies minimises or eliminates these narrow bands of instability. Viscous damping is also shown to remove these instabilities, at the expense of having more effect on the low frequency response.

Explicit/implicit partitioning and a new explicit form of the generalized alpha method

Most finite element packages use the Newmark algorithm for time integration of structural dynamics. Various algorithms have been proposed to better optimize the high frequency dissipation of this algorithm. Hulbert and Chung proposed both implicit and explicit forms of the generalized alpha method. The algorithms optimize high frequency dissipation effectively, and despite recent work on algorithms that possess momentum conserving/energy dissipative properties in a non-linear context, the generalized alpha method remains an efficient way to solve many problems, especially with adaptive timestep control. However, the implicit and explicit algorithms use incompatible parameter sets and cannot be used together in a spatial partition, whereas this can be done for the Newmark algorithm, as Hughes and Liu demonstrated, and for the HHT-alpha algorithm developed from it. The present paper shows that the explicit generalized alpha method can be rewritten so that it becomes compatible with the implicit form. All four algorithmic parameters can be matched between the explicit and implicit forms. An element interface between implicit and explicit partitions can then be used, analogous to that devised by Hughes and Liu to extend the Newmark method. The stability of the explicit/implicit algorithm is examined in a linear context and found to exceed that of the explicit partition. The element partition is significantly less dissipative of intermediate frequencies than one using the HHT-alpha method. The explicit algorithm can also be rewritten so that the discrete equation of motion evaluates forces from displacements and velocities found at the predicted mid-point of a cycle. Copyright (C) 2003 John Wiley Sons, Ltd.

Simulação numérica do comportamento dinâmico de uma laje

Nesta dissertação pretende-se simular o comportamento dinâmico de uma laje de betão armado aplicando o Método de Elementos Finitos através da sua implementação no programa FreeFEM++. Este programa permite-nos a análise do modelo matemático tridimensional da Teoria da Elasticidade Linear, englobando a Equação de Equilíbrio, Equação de Compatibilidade e Relações Constitutivas. Tratando-se de um problema dinâmico é necessário recorrer a métodos numéricos de Integração Directa de modo a obter a resposta em termos de deslocamento ao longo do tempo. Para este trabalho escolhemos o Método de Newmark e o Método de Euler para a discretização temporal, um pela sua popularidade e o outro pela sua simplicidade de implementação. Os resultados obtidos pelo FreeFEM++ são validados através da comparação com resultados adquiridos a partir do SAP2000 e de Soluções Teóricas, quando possível.

Numerical methods in multibody system dynamics

"Series: Solid mechanics and its applications, vol. 226"

Quantification of dose nonuniformities by voxel-based dosimetry in patients receiving 90Y-ibritumomab-tiuxetan.

OBJECTIVE: To assess the impact of nonuniform dose distribution within lesions and tumor-involved organs of patients receiving Zevalin, and to discuss possible implications of equivalent uniform biological effective doses (EU-BED) on treatment efficacy and toxicity. MATLAB? -based software for voxel-based dosimetry was adopted for this purpose. METHODS: Eleven lesions from seven patients with either indolent or aggressive non-Hodgkin lymphoma were analyzed, along with four organs with disease. Absorbed doses were estimated by a direct integration of single-voxel kinetic data from serial tomographic images. After proper corrections, differential BED distributions and surviving cell fractions were estimated, allowing for the calculation of EU-BED. To quantify dose uniformity in each target area, a heterogeneity index was defined. RESULTS: Average doses were below those prescribed by conventional radiotherapy to eradicate lymphoma lesions. Dose heterogeneity and effect on tumor control varied among lesions, with no apparent relation to tumor mass. Although radiation doses to involved organs were safe, unexpected liver toxicity occurred in one patient who presented with a pattern of diffuse infiltration. CONCLUSION: Voxel-based dosimetry and radiobiologic modeling can be successfully applied to lesions and tumor-involved organs, representing a methodological advance over estimation of mean absorbed doses. However, effects on tumor control and organ toxicity still cannot be easily predicted.

Análise dinâmica de solos submetidos à ação simultânea das três componentes da excitação na base rochosa

Durante a análise sísmica de estruturas complexas, o modelo matemático empregado deveria incluir não só as distribuicões irregulares de massas e de rigidezes senão também à natureza tridimensional da ecitação sísmica. Na prática, o elevado número de graus de liberdade involucrado limita este tipo de análise à disponibilidade de grandes computadoras. Este trabalho apresenta um procedimento simplificado, para avaliar a amplificação do movimento sísmico em camadas de solos. Sua aplicação permitiria estabelecer critérios a partir dos quais avalia-se a necessidade de utilizar modelos de interação solo-estrutura mais complexos que os utilizados habitualmente. O procedimento proposto possui as seguientes características : A- Movimento rígido da rocha definido em termos de três componentes ortagonais. Direção de propagação vertical. B- A ecuação constitutiva do solo inclui as características de não linearidade, plasticidade, dependência da história da carga, dissipação de energia e variação de volume. C- O perfil de solos é dicretizado mediante um sistema de massas concentradas. Utiliza-se uma formulação incremental das equações de movimento com integração directa no domínio do tempo. As propriedades pseudo-elásticas do solo são avaliadas em cada intervalo de integração, em função do estado de tensões resultante da acção simultânea das três componentes da excitação. O correcto funcionamento do procedimento proposto é verificado mediante análises unidimensionais (excitação horizontal) incluindo estudos comparativos com as soluções apresentadas por diversos autores. Similarmente apresentam-se análises tridimensionais (acção simultânea das três componentes da excitação considerando registros sísmicos reais. Analisa-se a influência que possui a dimensão da análise (uma análise tridimensional frente a três análises unidimensionais) na resposta de camadas de solos submetidos a diferentes níveis de exçitação; isto é, a limitação do Princípio de Superposisão de Efeitos.

Thermodynamics of Ising model with infinite-range interactions by generalized canonical ensemble

In this work we present the idea of how generalized ensembles can be used to simplify the operational study of non-additive physical systems. As alternative of the usual methods of direct integration or mean-field theory, we show how the solution of the Ising model with infinite-range interactions is obtained by using a generalized canonical ensemble. We describe how the thermodynamical properties of this model in the presence of an external magnetic field are founded by simple parametric equations. Without impairing the usual interpretation, we obtain an identical critical behaviour as observed in traditional approaches.

Study of and design procedure for dual circularly polarized waveguide slot arrays

For the past sixty years, waveguide slot radiator arrays have played a critical role in microwave radar and communication systems. They feature a well-characterized antenna element capable of direct integration into a low-loss feed structure with highly developed and inexpensive manufacturing processes. Waveguide slot radiators comprise some of the highest performance—in terms of side-lobe-level, efficiency, etc. — antenna arrays ever constructed. A wealth of information is available in the open literature regarding design procedures for linearly polarized waveguide slots. By contrast, despite their presence in some of the earliest published reports, little has been presented to date on array designs for circularly polarized (CP) waveguide slots. Moreover, that which has been presented features a classic traveling wave, efficiency-reducing beam tilt. This work proposes a unique CP waveguide slot architecture which mitigates these problems and a thorough design procedure employing widely available, modern computational tools. The proposed array topology features simultaneous dual-CP operation with grating-lobe-free, broadside radiation, high aperture efficiency, and good return loss. A traditional X-Slot CP element is employed with the inclusion of a slow wave structure passive phase shifter to ensure broadside radiation without the need for performance-limiting dielectric loading. It is anticipated this technology will be advantageous for upcoming polarimetric radar and Ka-band SatCom systems. The presented design methodology represents a philosophical shift away from traditional waveguide slot radiator design practices. Rather than providing design curves and/or analytical expressions for equivalent circuit models, simple first-order design rules – generated via parametric studies — are presented with the understanding that device optimization and design will be carried out computationally. A unit-cell, S-parameter based approach provides a sufficient reduction of complexity to permit efficient, accurate device design with attention to realistic, application-specific mechanical tolerances. A transparent, start-to-finish example of the design procedure for a linear sub-array at X-Band is presented. Both unit cell and array performance is calculated via finite element method simulations. Results are confirmed via good agreement with finite difference, time domain calculations. Array performance exhibiting grating-lobe-free, broadside-scanned, dual-CP radiation with better than 20 dB return loss and over 75% aperture efficiency is presented.

Comparison of dynamic effects of high-speed traffic load on ballasted track using a simplified two-dimensional and full three-dimensional model.

The vertical dynamic actions transmitted by railway vehicles to the ballasted track infrastructure is evaluated taking into account models with different degree of detail. In particular, we have studied this matter from a two-dimensional (2D) finite element model to a fully coupled three-dimensional (3D) multi-body finite element model. The vehicle and track are coupled via a non-linear Hertz contact mechanism. The method of Lagrange multipliers is used for the contact constraint enforcement between wheel and rail. Distributed elevation irregularities are generated based on power spectral density (PSD) distributions which are taken into account for the interaction. The numerical simulations are performed in the time domain, using a direct integration method for solving the transient problem due to the contact nonlinearities. The results obtained include contact forces, forces transmitted to the infrastructure (sleeper) by railpads and envelopes of relevant results for several track irregularities and speed ranges. The main contribution of this work is to identify and discuss coincidences and differences between discrete 2D models and continuum 3D models, as wheel as assessing the validity of evaluating the dynamic loading on the track with simplified 2D models

Linear Approach to the Orbiting Spacecraft Thermal Problem

A linear method is developed for solving the nonlinear differential equations of a lumped-parameter thermal model of a spacecraft moving in a closed orbit. This method, based on perturbation theory, is compared with heuristic linearizations of the same equations. The essential feature of the linear approach is that it provides a decomposition in thermal modes, like the decomposition of mechanical vibrations in normal modes. The stationary periodic solution of the linear equations can be alternately expressed as an explicit integral or as a Fourier series. This method is applied to a minimal thermal model of a satellite with ten isothermal parts (nodes), and the method is compared with direct numerical integration of the nonlinear equations. The computational complexity of this method is briefly studied for general thermal models of orbiting spacecraft, and it is concluded that it is certainly useful for reduced models and conceptual design but it can also be more efficient than the direct integration of the equations for large models. The results of the Fourier series computations for the ten-node satellite model show that the periodic solution at the second perturbative order is sufficiently accurate.

Receptores homodinos a 300 GHz basados en tecnología CMOS

Using CMOS transistors for terahertz detection is currently a disruptive technology that offers the direct integration of a terahertz detector with video preamplifiers. The detectors are based on the resistive mixer concept and its performance mainly depends on the following parameters: type of antenna, electrical parameters (gate to drain capacitor and channel length of the CMOS device) and foundry. Two different 300 GHz detectors are discussed: a single transistor detector with a broadband antenna and a differential pair driven by a resonant patch antenna.