El tratamiento de la volatilidad en series de tiempo financieras

El objetivo primordial de esta investigación es el de examinar los métodos para tratar una gran variedad de datos con irregularidades que suceden en series de tiempo y en especial en aquellas referidas a la actividad financiera. Los modelos autorregresivos integrados de promedios móviles (o modelos ARIMA según sus siglas en inglés) son frecuentemente considerados como los que proveen la base principal para el modelado de cualquier serie de tiempo. Ahora bien, dada la tecnología actual, puede haber alternativas más atractivas y por sobre todo más eficientes. Numerosas series de tiempo financieras no tienen una media constante y también en la mayoría de los casos se observan fases en donde reina una relativa tranquilidad seguido de períodos de importantes cambios, o sea que la variabilidad cambia a través del tiempo. Dicho comportamiento es lo que recibe el nombre de volatilidad. Gran parte de la investigación actual se concentra en extender la metodología clásica de Box y Jenkins basada principalmente en los modelos de tipo ARIMA para analizar este tipo de comportamiento. Presentaremos un resumen de los métodos para el tratamiento de la volatilidad, la cual se define como la varianza de una variable aleatoria, comúnmente un retorno en el área financiera, condicional a toda la información pasada.The primary objective of this research is to examine methods to treat a wide variety of data irregularities that occur in time series and in particular to those related to the financial activity. The autoregressive integrated moving average (ARIMA models in short) are often regarded as providing the main basis for modeling any time series. However, given current technology, there may be more attractive alternatives and above all efficient. Many financial time series have a constant mean and in most cases we can observe phases where there is a relative tranquility followed by periods of significant change, that is, the variability changes over time. Such behavior is what is called volatility. Much of the current research focuses on extending the classical methodology formulated by Box and Jenkins and mainly based on ARIMA type models to analyze this type of behavior. We will present a short summary of the methods for the treatment of volatility, which is defined as the variance of a random variable, commonly a return in the financial area, conditional on all past information.Fil: Abril, María de Las Mercedes. Universidad Nacional de Tucuman. Facultad de Cs.economicas. Instituto de Investigaciones Estadisticas; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Tucumán; Argentin

Domain configuration and magnetization switching in arrays of permalloy nanostripes

The proximity effect in the collective behavior of arrays of magnetic nanostripes is currently a subject of intensive research. The imperative of reducing the size and distances between elements in order to achieve higher storage capacity, faster access to the information as well as low energy consumption, brings consequences about the isolated behavior of the elements and devices. Parallel to each other permalloy nanostripes with high aspect ratio have been prepared by the nanolithography technique. The evolution of the closure domains and the magnetization direction in individual nanostructures has been imaged under applied magnetic fields using Variable Field Magnetic Force Microscopy. Moreover, the magnetostatic interactions between neighboring elements and the proximity effects in arrays of such nanostructures have been quantitatively analyzed by Magnetic Force Microscopy and micromagnetic simulations. The agreement between simulations and the experimental results allows us to conclude the relevance of those interactions depending on the geometry characteristics. In particular, results suggest that the magnetostatic coupling between adjacent nanostripes vanishes for separation distances higher than 500 nm

De cómo funcionó el Ferrocarril Central Norte Argentino durante los años de 1920

Fil: Blanco, María Beatriz. Universidad Nacional de Tucuman. Facultad de Cs.economicas. Instituto de Investigaciones Estadisticas; ArgentinaFil: Abril, María de Las Mercedes. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Tucumán; Argentin

An analysis of the returns from the North Central Railway of Argentina for the period 1889-1920

Paso a paso los Ferrocarriles del Estado se convirtieron a finales del siglo XIX y principios del XX en la empresa más importante de la Argentina, por su importancia política y económica de la red. En conjunto, la longitud de vías era mayor que la de cualquiera otra empresa ferroviaria argentina y alcanzaba para 1918 a 6.135 kilómetros en explotación. Nuestro objetivo es analizar el comportamiento económico de la línea del Ferrocarril Central Norte de la Argentina. Para ello se trabajará con las series anuales de kilómetros de vías, pasajeros transportados, cargas en toneladas transportadas y rendimiento del capital invertido en tanto por uno que lo denominamos retorno. A fin de eliminar la influencia de los kilómetros de vías en las series de pasajeros y cargas, se trabaja definitivamente con los pasajeros por kilómetro de vía y cargas en toneladas por kilómetro de vías. Para el análisis se usa los modelos de espacio de estado y los modelos de volatilidad estocástica. Se encuentra que la volatilidad es la dominante en sus explicaciones, lo que muestra que efectivamente no hubo una política empresarial en el manejo de los ferrocarriles del Estado. Muy por el contrario, todo se hacía con un fuerte sentido de fomento y estaba sujeto a las disponibilidades financieras junto con el crédito externo existente en cada momento de tiempo.By the very end of the XIX century and the beginning of the XX century, the state funded railways slowly became the most important argentine enterprise mainly because of the political and economical importance of this network. Overall, we can say that the track length was higher than any other private railway company and by the end of 1918 was about 6135 kilometres long. Our goal is to analyze the economic performance of the Central Norte line of Argentina. In order to do so, we will use the annual series of track kilometres, carried passengers, transported loads and a measure of the capital invested. But we will take away the influence of the track length and obtain two new series, namely, transported loads by track kilometres and carried passengers by track kilometres. We will analyze all these series using state space models and stochastic volatility models. We will find that the volatility is the feature that dominates the behavior in everything we see. This fact corroborates that there was not and efficient entrepreneurial policy in the administration of this state line. On the contrary, everything was done with a strong sense of promotion and it was related to the financial availability of the time together with the external credit.Fil: Abril, María de Las Mercedes. Universidad Nacional de Tucuman. Facultad de Cs.economicas. Instituto de Investigaciones Estadisticas; Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina;Fil: Blanco, Maria Beatriz. Universidad Nacional de Tucuman. Facultad de Cs.economicas; Universidad Nacional de Tucuman. Facultad de Cs.economicas. Instituto de Estudios Socio-economicos

Research on Lightweight Design Knowledge Manage System of Loader

在全球资源日益紧张的今天，结构轻量化研究得到越来越多的关注，我国从20世纪90年代将轻量化设计技术引入工程机械领域，随着轻量化技术的不断发展，国内各高校和企业在减少材料消耗、减少环境污染、提高材料利用率、提升工程机械性能以及提高利润和国际竞争力等方面取得了很好的成果。目前，国内的轻量化设计主要是以几何模型为主的传统CAD优化设计，在设计过程中缺乏对轻量化设计知识和经验的有效归纳和整理，没有实现知识的共享和重用等，导致产品发展较慢、缺少核心竞争力。因此，基于知识重用的轻量化设计方法对于提高工程机械产品的轻量化设计水平具有重要的意义。 本文从解决工程机械轻量化设计知识管理的难题出发，分析了轻量化...As the globule resource becoming increasingly tight, we take more and more attention on the research on structure lightweight design. Our country introduce the lightweight design technology into the field of construction machinery since 1990s, with the continuous development of lightweight technology, domestic university and enterprise has achieved very good results in reducing material consumptio...学位：工学硕士院系专业：物理与机电工程学院_机械设计及理论学号：1992010115276

Angular and Energy Distributions of Electrons Produced in Arbitrary Biomaterials by Proton Impact

We present a simple method for obtaining reliable angular and energy distributions of electrons ejected from arbitrary condensed biomaterials by proton impact. Relying on a suitable description of the electronic excitation spectrum and a physically motivated relation between the ion and electron scattering angles, it yields cross sections in rather good agreement with experimental data in a broad range of ejection angles and energies, by only using as input the target composition and density. The versatility and simplicity of the method, which can be also extended to other charged particles, make it especially suited for obtaining ionization data for any complex biomaterial present in realistic cellular environments.The authors recognize the financial support from the Spanish Ministerio de Economía y Competitividad and the European Regional Development Fund (Project No. FIS2010–17225). PdV acknowledges financial support from the European Union’s FP7-People Program (Marie Curie Actions) within the Initial Training Network No. 608163 "ARGENT". Support from the European COST Action MP1002 NanoIBCT is gratefully acknowledged

Calculated energy loss of swift light ions in platinum and gold: importance of the target electronic excitation spectrum

Understanding and predicting the energy loss of swift ions in metals is important for many applications of charged particle beams, such as analysis and modification of materials, and recently for modelling metal nanoparticle radiosensitisation in ion beam cancer therapy. We have calculated the stopping power of the transition metals Pt and Au for protons and alpha particles in a wide energy range, using the dielectric formalism, which realistically accounts for the excitation spectrum of each metal through the Mermin Energy Loss Function - Generalised Oscillator Strength methodology. For each combination of projectile, energy and target, we have considered: (i) the equilibrium charge state of the projectile through the target, (ii) the energy-loss due to electron capture and loss processes, and (iii) the energy loss resulting from the polarisation of the projectile's electronic cloud due to the self-induced electric field. Our calculated stopping powers show a fairly good agreement with the available experimental data for platinum and gold, particularly the most recent ones around the stopping power maximum, which validates the methodology we have used to be further extended to other transition metals. For the materials studied (platinum and gold), two commonly used and different sources of the experimental excitation spectrum yield comparable calculated stopping powers and mean excitation energies, the latter being closer to the most recent data provided in a recent ICRU Report than to previous compilations. Despite the small differences in the sources of excitation spectra of these metals, they lead to practically the same stopping power results as far as they reproduce the main excitation features of the material and fulfil physically motivated sum rules.Comment: 7 pages, 2 figure

Rapid prototyping for multi-application sensor networking

Jorge Portilla, Teresa Riesgo, Ana Abril, and Angel De Castro, “Rapid prototyping for multi-application sensor networking,” Spie Newsroom, Spie, (2007). Copyright © 2015 SPIE Society of Photo‑Optical Instrumentation Engineers. One print or electronic copy may be made for personal use only. Systematic reproduction and distribution, duplication of any material in this paper for a fee or for commercial purposes, or modification of the content of the paper are prohibited.Developing integrated hardware interfaces for different actuators allows rapid and easy integration into existing wireless network