Second Order Filter Distribution Approximations for Financial Time Series with Extreme Outliers

Particle Filters are now regularly used to obtain the filter distributions associated with state space financial time series. Most commonly used nowadays is the auxiliary particle filter method in conjunction with a first order Taylor expansion of the log-likelihood. We argue in this paper that for series such as stock returns, which exhibit fairly frequent and extreme outliers, filters based on this first order approximation can easily break down. However, an auxiliary particle filter based on the much more rarely used second order approximation appears to perform well in these circumstances. To detach the issue of algorithm design from problems related to model misspecification and parameter estimation, we demonstrate the lack of robustness of the first order approximation and the feasibility of a specific second order approximation using simulated data.Bayesian inference, Importance sampling, Particle filter, State space model, Stochastic volatility.

Second Order Filter Distribution Approximations for Financial Time Series with Extreme Outlier

Particle Filters are now regularly used to obtain the filter distributions associated with state space financial time series. The method most commonly used nowadays is the auxiliary particle filter method in conjunction with a first order Taylor expansion of the log-likelihood. We argue in this paper that, for series such as stock return, which exhibit fairly frequent and extreme outliers, filters based on this first order approximation can easily break down. However, the auxiliary particle filter based on the much more rarely used second order approximation appears to perform well in these circumstances. We demonstrate our results with a typical stock market series.FParticle filters, Second order approximations, State space models, Stochastic volatility

A ética organizacional como instrumento de gestão na prossecução do interesse público

Comunicação apresentada no 8º Congresso Nacional de Administração Pública – Desafios e Soluções, em Carcavelos de 21 a 22 de Novembro de 2011.Esta apresentação pretende, a partir das sucessivas reformas que se tem verificado nas modernas administrações públicas, chamar a atenção para um novo questionar ético; Pretendemos ainda, delimitar e reflectir sobre a noção de “interesse público” relacionando-a com responsabilidade ética (individual, pública e organizacional); e por fim, questionaremos de que forma pode, a ética organizacional, ser considerada uma ferramenta de gestão na prossecução do interesse público, propondo alguns mecanismos de, progressivamente a ir introduzindo no quotidiano das organizações públicas

Affiliative Subgroups in Preschool Classrooms: Integrating Constructs and Methods from Social Ethology and Sociometric Traditions

Recent studies of school-age children and adolescents have used social network analyses to characterize selection and socialization aspects of peer groups. Fewer network studies have been reported for preschool classrooms and many of those have focused on structural descriptions of peer networks, and/or, on selection processes rather than on social functions of subgroup membership. In this study we started by identifying and describing different types of affiliative subgroups (HMP- high mutual proximity, LMP- low mutual proximity, and ungrouped children) in a sample of 240 Portuguese preschool children using nearest neighbor observations. Next, we used additional behavioral observations and sociometric data to show that HMP and LMP subgroups are functionally distinct: HMP subgroups appear to reflect friendship relations, whereas LMP subgroups appear to reflect common social goals, but without strong, within-subgroup dyadic ties. Finally, we examined the longitudinal implications of subgroup membership and show that children classified as HMP in consecutive years had more reciprocated friendships than did children whose subgroup classification changed from LMP or ungrouped to HMP. These results extend previous findings reported for North American peer groups

Affiliative Subgroups in Preschool Classrooms: Integrating Constructs and Methods from Social Ethology and Sociometric Traditions

Recent studies of school-age children and adolescents have used social network analyses to characterize selection and socialization aspects of peer groups. Fewer network studies have been reported for preschool classrooms and many of those have focused on structural descriptions of peer networks, and/or, on selection processes rather than on social functions of subgroup membership. In this study we started by identifying and describing different types of affiliative subgroups (HMP- high mutual proximity, LMP- low mutual proximity, and ungrouped children) in a sample of 240 Portuguese preschool children using nearest neighbor observations. Next, we used additional behavioral observations and sociometric data to show that HMP and LMP subgroups are functionally distinct: HMP subgroups appear to reflect friendship relations, whereas LMP subgroups appear to reflect common social goals, but without strong, within-subgroup dyadic ties. Finally, we examined the longitudinal implications of subgroup membership and show that children classified as HMP in consecutive years had more reciprocated friendships than did children whose subgroup classification changed from LMP or ungrouped to HMP. These results extend previous findings reported for North American peer groups

Cardiac risk factors and co-morbidities in mental ilness

Persons diagnosed with mental disease have usually inadequate lifestyle, especially sedentary life, lack of physical exercise, cardiac diseases, diets with sugar, lipids, coffee, and also tobacco or drugs abuse (Citrome & Yeomans, 2005; Chuang et al., 2008; Messias & Rondina, 2007). They have also high risk of mortality (Osborn et al., 2006).info:eu-repo/semantics/publishedVersio

Project management success in health: the need of additional research in public health projects

PROJMAN 2014 - International Conference on Project MANagement, Procedia TechnologyThe research about the factors that are linked to project management performance and project management success, has been developed for several years, so the literature about this subject is relatively extensive. After a literature review about project success factors, it was found that the current research effort is mainly focused on information technology, engineering and software development projects, not yet on public health projects. Public health projects have a different focus, are concerned on providing conditions in which people can be healthy, and are essential for populations’ welfare. Their distinctive attributes justify the need of research towards the development of a specific model of success factors, to support top management and project managers in planning and operational management. A model of success factors would help in the identification, control and minimization of issues that increase the likelihood of going in the wrong direction and strengthen those that create value or increase the probability of going successfully. It would also be useful as a tool for prediction and diagnosis in evaluating objectively and gradually minimize the probability of project failure, and thus assist in improving the project performance. This article presents a brief literature review on project management success and points out the need of additional research for public health projects in this area

Afiliação e dominância em grupos de crianças pré-escolares

O presente artigo tem como objectivo apresentar algumas perspectivas etológicas acerca das primeiras relações entre pares. De inicio são discutidos os trabalhos da década de 70 sobre a hierarquia de dominância em crianças de idade pré escolar. De seguida é discutido o conceito de afiliação e em particular os estudos sobre a identificação das estruturas afiliativas em grupos de crianças no pré--escolar. Face às dificuldades encontradas com a interpretação dos sociogramas comportamentais é apresentada uma alternativa de identificar subgrupos de crianças com perfis de afiliação e a evolução deste tipo de metodologia. Finalmente, discutem-se possíveis pontes entre os conceitos de afiliação edominância

Household disaster preparedness: a survey research results after the wildfires in the Pedrógão Grande, Figueiró dos Vinhos and Castanheira de Pera, Portugal, 2017

Os incêndios florestais constituem uma séria ameaça à saúde das populações e ao ambiente. A preparação das famílias para fazer face a desastres e emergências é crucial para a sua proteção e para a resiliência da comunidade. Aproximadamente um ano depois do incêndio florestal de 2017 ocorrido na região portuguesa de Pedrógão Grande, foi realizado um inquérito sobre medidas de preparação, envolvendo uma amostra aleatória e representativa de 330 pessoas da população afetada. Analisaram-se as relações entre as variáveis sociodemográficas e a adoção de medidas básicas de preparação pelas famílias, bem como do índice de preparação, através de odds ratio, estimadas por regressão logística. A taxa de resposta ao inquérito foi de 83%. Alimentos que não requerem refrigeração nem preparação culinária e o abastecimento de água foram as medidas de preparação mais referidas (85% e 63% respetivamente). Aproximadamente 79% dos respondentes referiram dispor de um rádio a pilhas e 47% de uma lanterna a pilhas, mas apenas 35% verificava regularmente a carga das pilhas. A forma preferida para obter informações durante um desastre ou emergência era a televisão (36,4%), o telefone (22%) e o rádio (15%). A análise do índice de preparação revela a existência de pequenas diferenças a nível local e que as mulheres tendem a adotar menos medidas de preparação que os homens. A existência de doenças crónicas está relacionada com a adoção de um maior número de medidas de preparação.Wildfires are a serious threat to populations’ health and the environment. Household preparedness for disasters and emergency is crucial to help people to protect themselves and improve community resilience. A sur vey on preparedness household measures was conducted in 2018 in a random representative sample (n=330) of the population af fected by the 2017 wildfire in the Por tuguese region of Pedrógão Grande. Associations between sociodemographic variables and the preparedness measures as well the preparedness index were tested by odds ratio estimated by logistic regression. A response rate of 83% was obtained. Non-perishable food and water supplies were the preparedness measures most referred (85% and 63% respectively). To have a battery operated radio (79%) and a flashlight (47%) were also referred but only 35% checked the batteries regularly. The preferred primary means of getting information during a disaster or emergency were television (36,4%), telephone (22%) and radio (15%). The preparedness index analysis shows a slightly dif ference at local level and that women tended to be less prepared than men. Having a chronical disease is associated with the adoption of a higher number of preparedness measures.info:eu-repo/semantics/publishedVersio

Electronic doping of graphene by deposited transition metal atoms

We perform a phenomenological analysis of the problem of the electronic doping of a graphene sheet by deposited transition metal atoms, which aggregate in clusters. The sample is placed in a capacitor device such that the electronic doping of graphene can be varied by the application of a gate voltage and such that transport measurements can be performed via the application of a (much smaller) voltage along the graphene sample, as reported in the work of Pi et al. [Phys. Rev. B 80, 075406 (2009)]. The analysis allows us to explain the thermodynamic properties of the device, such as the level of doping of graphene and the ionisation potential of the metal clusters in terms of the chemical interaction between graphene and the clusters. We are also able, by modelling the metallic clusters as perfect conducting spheres, to determine the scattering potential due to these clusters on the electronic carriers of graphene and hence the contribution of these clusters to the resistivity of the sample. The model presented is able to explain the measurements performed by Pi et al. on Pt-covered graphene samples at the lowest metallic coverages measured and we also present a theoretical argument based on the above model that explains why significant deviations from such a theory are observed at higher levels of coverage.Comment: 16 pages, 10 figure