Is the predictability of emerging and developed stock markets really exploitable?.

A number of recent papers have analyzed the degree of predictability of stock markets. In this paper, we firstly study whether this predictability is really exploitable and secondly, if the economic significance of predictability is higher or lower in the emerging stock markets than in the developed ones. We use a variety of linear and nonlinear – Artificial Neural Networks – models and perform a computationally demanding forecasting experiment to assess the predictability of returns. Since we are interested in comparing the predictability in economic terms we also propose a modification in the nets’ loss function for market trading purposes. In addition, we consider both explicit and implicit trading costs for emerging and developed stock markets. Our conclusions suggest that, in contrast to some previous studies, if we consider total trading costs both the emerging as well as the developed stock returns are clearly nonpredictable. Finally, we find that Artificial Neural Networks do not provide superior performance than the linear models.Finance; Forecasting; Emerging stock markets; Artificial neural networks;

Risk forecasting models and optimal portfolio selection.

This study analyses, from an investor's perspective, the performance of several risk forecasting models in obtaining optimal portfolios. The plausibility of the homoscedastic hypothesis implied in the classical Markowitz model is dicussed and more general models which take into account assymetry and time varying risk are analysed. Specifically, it studies whether ARCH-type based models obtain portfolios whose risk-adjusted returns exceed those of the classical Markowitz model. The same analysis is performed with models based on the Lower Partial Moment (LPM) which take into account the assymetry in the distribution of returns. The results suggest that none of the models achieve a clearly superior average performance. It is also found that models based on semivariance perform as well as those based on the variance, but not better than, even if the evaluation criterion is based on the Reward-to-Semivariance ratio. When attention turns to the analysis of worst case performance, the results are clearly different. Models which employ LPM with a high degree of risk aversion (n>2) as the risk measure are consistently superior to those which employ a symmetric measure, either homoscedastic or heteroscedastic.

Self-organizing maps could improve the classification of Spanish mutual funds.

In this paper, we apply nonlinear techniques (Self-Organizing Maps, k-nearest neighbors and the k-means algorithm) to evaluate the official Spanish mutual funds classification. The methodology that we propose allows us to identify which mutual funds are misclassified in the sense that they have historical performances which do not conform to the investment objectives established in their official category. According to this, we conclude that, on average, over 40% of mutual funds could be misclassified. Then, we propose an alternative classification, based on a double-step methodology, and we find that it achieves a significantly lower rate of misclassifications. The portfolios obtained from this alternative classification also attain better performances in terms of return/risk and include a smaller number of assets.Finance; Mutual funds; Clustering; Self-organizing map (SOM); Investment analysis;

Is the predictability of emerging and developed stock markets really exploitable?

A number of recent papers have analyzed the degree of predictability of stock markets. In this paper, we firstly study whether this predictability is really exploitable and secondly, if the economic significance of predictability is higher or lower in the emerging stock markets than in the developed ones. We use a variety of linear and nonlinear – Artificial Neural Networks – models and perform a computationally demanding forecasting experiment to assess the predictability of returns. Since we are interested in comparing the predictability in economic terms we also propose a modification in the nets’ loss function for market trading purposes. In addition, we consider both explicit and implicit trading costs for emerging and developed stock markets. Our conclusions suggest that, in contrast to some previous studies, if we consider total trading costs both the emerging as well as the developed stock returns are clearly nonpredictable. Finally, we find that Artificial Neural Networks do not provide superior performance than the linear models.Publicad

Self-organizing maps could improve the classification of Spanish mutual funds

In this paper, we apply nonlinear techniques (Self-Organizing Maps, k-nearest neighbors and the k-means algorithm) to evaluate the official Spanish mutual funds classification. The methodology that we propose allows us to identify which mutual funds are misclassified in the sense that they have historical performances which do not conform to the investment objectives established in their official category. According to this, we conclude that, on average, over 40% of mutual funds could be misclassified. Then, we propose an alternative classification, based on a double-step methodology, and we find that it achieves a significantly lower rate of misclassifications. The portfolios obtained from this alternative classification also attain better performances in terms of return/risk and include a smaller number of assets.Publicad

An assessment of the sea breeze energy potential using small wind turbines in peri-urban coastal areas

From wind speed data recorded hourly at 2 m high during 18 years (1993-2010) in the Llobregat Delta (15 km south of Barcelona city; northeast of the Iberian Peninsula), wind speed distributions at 10 m high were computed for the whole year and for the sea breeze period (from March 1 to September 30, from 10 to 19 local time). Weibull probability density functions fitted to the distributions were used to assess the wind energy generated by two off-grid small wind turbines: the IT-PE-100 and the HP-600W. Results from FAST and AeroDyn simulation tools were compared with those obtained by applying measured wind speeds to manufacturer power curves. Using manufacturer data, the IT-PE-100 would deliver 132 kWh during the whole year (70 kWh during the sea breeze period). From the simulations, the IT-PE-100 would deliver 155 kWh during the whole year (80 kWh during the sea breeze period). It is concluded that the sea-breeze is an interesting wind energy resource for micro-generation, not only in the Mediterranean basin but in other areas of the world with similar wind regimes, and particularly in peri-urban coastal areas where large-scale wind farms cannot be implemented.Peer ReviewedPostprint (published version

Determinantes de la revelación de información sobre derivados financieros en el mercado español

En el presente trabajo estudiamos como las diferentes propuestas normativas que se han ido desarrollando en los últimos años en torno a la información contable sobre derivados financieros con la presencia cada vez más próxima de las proposiciones del IASB tuvieron una influencia significativa en la transparencia y calidad de los datos contables reportados por las entidades cotizadas. Dada la evolución normativa y el período de tiempo considerado (2000 2002), el trabajo centra su atención en información voluntaria sobre derivados financieros y actividades de riesgo, considerando como única obligación legal la consecución de la imagen fiel del patrimonio y de la situación financiera de las entidades emisoras. En función de ello el trabajo se divide en tres partes. En una primera, se analiza si ha existido un cambio en la información voluntaria facilitada por las empresas de la muestra durante el periodo de estudio considerado, evidenciando un aumento estadísticamente significativo durante el periodo de estudio. En una segunda parte del estudio, se emplean los modelos Tobit y Probit para analizar los determinantes que determinan la revelación de información sobre derivados financieros, y se encuentra evidencia de que la mejora informativa sólo se produce justificada por el tamaño de la empresa y el volumen de endeudamiento, corroborando parcialmente otros trabajos desarrollados en mercados internacionales alternativos. En la última parte del estudio hacemos uso de una técnica no paramétrica de clasificación, K-vecinos-más-próximos o Knn, buscando recoger posibles relaciones no lineales no consideradas en los trabajos precedentes

Effect of hypoxia on lung gene expression and proteomic profile: insights into the pulmonary surfactant response

Exposure of lung to hypoxia has been previously reported to be associated with significant alterations in the protein content of bronchoalveolar lavage (BAL) and lung tissue. In the present work we have used a proteomic approach to describe the changes in protein complement induced by moderate long-term hypoxia (rats exposed to 10% O2 for 72h) in BAL and lung tissue, with a special focus on the proteins associated with pulmonary surfactant, which could indicate adaptation of this system to limited oxygen availability. The analysis of the general proteomic profile indicates a hypoxia-induced increase in proteins associated with inflammation both in lavage and lung tissue. Analysis at mRNA and protein levels revealed no significant changes induced by hypoxia on the content in surfactant proteins or their apparent oligomeric state. In contrast, we detected a hypoxia-induced significant increase in the expression and accumulation of hemoglobin in lung tissue, at both mRNA and protein levels, as well as an accumulation of hemoglobin both in BAL and associated with surface-active membranes of the pulmonary surfactant complex. Evaluation of pulmonary surfactant surface activity from hypoxic rats showed no alterations in its spreading ability, ruling out inhibition by increased levels of serum or inflammatory proteins.Ministerio de Ciencia BIO2012-30733Ministerio de Ciencia CSD2007-00010Gobierno de la Comunidad de Madrid S2009MAT-1507National Institutes of Health NIH HL3478

Predicting healthcare expenditure by multimorbidity groups

[EN] Objectives: This article has two main purposes. Firstly, to model the integrated healthcare expenditure for the entire population of a health district in Spain, according to multimorbidity, using Clinical Risk Groups (CRG). Secondly, to show how the predictive model is applied to the allocation of health budgets. Methods: The database used contains the information of 156,811 inhabitants in a Valencian Community health district in 2013. The variables were: age, sex, CRG's main health statuses, severity level, and healthcare expenditure. The two-part models were used for predicting healthcare expenditure. From the coefficients of the selected model, the relative weights of each group were calculated to set a case-mix in each health district. Results: Models based on multimorbidity-related variables better explained integrated healthcare expenditure. In the first part of the two-part models, a logit model was used, while the positive costs were modelled with a log-linear OLS regression. An adjusted R-2 of 46-49% between actual and predicted values was obtained. With the weights obtained by CRG, the differences found with the case-mix of each health district proved most useful for budgetary purposes. Conclusions: The expenditure models allowed improved budget allocations between health districts by taking into account morbidity, as opposed to budgeting based solely on population size.This work was supported by "Instituto de Salud Carlos III - Ministerio de Economia y Competitividad" and the European Union (FEDER funds) - FIS PI12/00037.Caballer-Tarazona, V.; Guadalajara Olmeda, MN.; Vivas-Consuelo, D. (2019). Predicting healthcare expenditure by multimorbidity groups. Health Policy. 123(4):427-434. https://doi.org/10.1016/j.healthpol.2019.02.002S427434123

Relecturas de Paulo Freire en el siglo XXI. Cincuenta años de Pedagogía del Oprimido

Introduction: The publication of Pedagogy of the Oppressed was amilestone in the history and theory of education that devoted Paulo Freireas one of the great educators, at the level of Jean Jacques Rousseau or JohnDewey. However, his work already had a complex reception in the UnitedStates and also in Spain. On the occasion of the 50th anniversary of its firstpublication, and due to this importance and that difficult reception, thisarticle analyzes the reinterpretations that have been made of Freire in the21st century, i.e. the points to which education theorists return. Methodology:For this, the most important works of the Brazilian have been analyzedas well as, above all, the most relevant articles of the 21st century. Thisincluded the use of a hermeneutical methodology based on the postulatesof Kederman and Curren, namely, with the intention of returning to theinteresting, inspiring and orienting historical authors for us. Discussion:In this way, it is observed that the re-readings of Freire have to move himaway from the Marxist postulates in order to re-read it from pedagogicaland political perspectives with less of a link to critical pedagogy, as wellas with a moral and theological interest. Results: As a result, we see a lessideological Freire with a ductility capable of allowing him to inspire notonly the educational experiences of critical pedagogy, but any educationalpractice, which, in the end, is the hope of all great educators.Introducción: La publicación de Pedagogía del oprimido supuso un hito en la historia y la teoría de la educación que consagró a Paulo Freire como uno de los grandes educadores, a la altura de Jean Jacques Rousseau o John Dewey. Sin embargo, su obra tuvo una recepción compleja ya en Estados Unidos y también en España. Con motivo del 50 aniversario de su primera publicación, y debido a esa importancia y a esa difícil recepción, este artículo analiza las relecturas que se han hecho de Freire en el siglo xxi, es decir, aquellos puntos a los que los teóricos de la educación vuelven. Metodología: Para ello se han analizado las obras más importantes del brasileño y, sobre todo, los artículos más relevantes del siglo xxi. Esto con el uso de una metodología hermenéutica inspirada en los postulados de Kederman y Curren, a saber, con la pretensión de volver a los autores históricos interesantes, inspiradores y orientadores para nosotros. Discusión: De esta manera se observa que las relecturas de Freire tienden a alejarlo de los postulados marxistas para releerlo desde perspectivas pedagógicas y políticas no tan vinculadas a la pedagogía crítica, que se abren a un interés moral y teológico. Resultados: En consecuencia, aparece un Freire menos ideologizado, con una ductilidad capaz de permitirle inspirar ya no solo las experiencias educativas propias de la pedagogía crítica, sino cualquier práctica educativa -que, a la postre, es la esperanza de los grandes educadores