2,959 research outputs found

    Resiliency and Stock Returns: evidence from the London stock exchange

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    Literature has provided evidence of liquidity as a predictor of expected returns. However, resiliency, as one of its dimensions, has not been extensively studied. The resiliency measure introduced here assumes that liquidity shocks occur during the trading activity and that, in the opening of the following day, the reversals to the new fundamental value is completed. No significant evidence was found for a measure of resiliency that considers the trading day return and the consecutive overnight return, both for equally-weighted and value-weighted portfolios. Also, even considering a sample without micro-cap stocks, illiquidity premium is not significant. (JEL: G10, G11, G12, G14

    Power transformers thermal modeling using an Enhanced Set-Membership Multivariable Gaussian Evolving Fuzzy System

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    Knowledge of temperature distribution in power transformers is essential for the management of electrical distribution systems. Monitoring the hot-spot temperature of a power transformer can extend its lifetime. In this work, we present two new models based on Set-Membership filtering: the Set-Membership evolving Multivariable Gaussian and the Enhanced Set-Membership evolving Multivariable Gaussian. Both approaches are acting by adjusting the learning rate in the evolving fuzzy modeling system. To evaluate its performance were applied synthetic data sets, as benchmarks, and data for thermal modeling of real power transformers, under two load conditions: with and without an overload condition. The obtained results are compared with the performance of the original evolving Multivariable Gaussian and with other classical models suggested in the literature. Both proposed models obtained lower errors and presenting a competitive number of rules, suggesting that the models are flexible and efficient approaches in these scenarios.O conhecimento da distribuição de temperatura em transformadores de potência é essencial para o gerenciamento de sistemas de distribuição elétrica. O monitoramento da temperatura do ponto quente de um transformador de energia pode estender sua vida útil. Neste trabalho, apresentamos dois novos modelos baseados na filtragem Set-Membership: o Set-Membership evolutivo Gaussiano Multivariado e o Enhanced Set-Membership evolutivo Gaussiano Multivariado. Ambas as abordagens agem ajustando a taxa de aprendizagem no sistema de modelagem fuzzy evolutivo. Para avaliar seu desempenho foram aplicados conjuntos de dados sintéticos, como benchmarks, e dados para modelagem térmica de transformadores de potência reais, sob duas condições de carga: com e sem sobrecarga. Os resultados obtidos são comparados com o desempenho do modelo evolutivo Gaussiano Multivariado original e com outros modelos clássicos sugeridos na literatura. Ambos os modelos propostos obtiveram erros menores e apresentam número competitivo de regras, sugerindo que os modelos são abordagens flexíveis e eficientes nestes cenários.PROQUALI (UFJF
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