Trading of credit indices : behaviour analysis

Este documento foi realizado com o âmbito de analisar o comportamento do mercado dos Credit Default Swaps, com especial atenção para o trading de Índices de Crédito. Para efeitos deste estudo foi escolhido o seguinte Índice: iTraxx Financials Senior, com maturidade a 5 anos (índice europeu, criado pela Markit). A um primeiro nível foi investigado se os Spreads do índice refletem a perceção de risco. Estudos passados apontam para a conclusão de que os índices de crédito são uma ferramente bastante viável para entender a qualidade de crédito de uma entidade. Esta questão é testada através da seguinte maneira: verificar se a volatilidade dos retornos apresenta as seguintes características – Volatility Clustering, Memória Longa e Excesso de Kurtosis – estas encontram-se tipicamente nas séries financeiras. De facto, conclui-se que um aumento do Spread é interpretado pelo mercado como uma deterioração da qualidade de crédito (da entidade de referência). Numa segunda fase e após realizada uma análise preliminar é ainda testado se essa volatilidade apresenta outras características, tais como: Aversão ao Risco e Leverage Effects (estas características estão presentes no mercado acionista, por exemplo). Esta análise é realizada com recurso a um modelo T-GARCH. Após esta análise conclui-se que os investidores presentes neste mercado (dos índices de crédito) não são avessos ao risco e não têm o tradicional repúdio por “más notícias” sobre o sistema financeiro. De facto a ausência de Leverage Effects é coerente com a participação de agentes que têm a ganhar com essas “más notícias”.This document was written with the aim of analysing the behaviour of the Credit Default Swaps market, particularly the trading of Credit Indices. To do so it was chosen the following index: iTraxx Financials Senior, with 5-year maturity (European index, originally created by Markit). The econometric analysis is conducted with the help of a T-GARCH model. On a first level it is investigated if the index spreads reflect the perceived credit risk of market participants. Past studies point out that the spreads of Credit Indices are in fact a good measure to understand the credit quality of an entity. This question is address by testing if the volatility of the index returns has the following properties: Volatility Clustering, Long Memory and Excess Kurtosis (these are typically present on financials time series). In fact, an increase of the Spread is perceived as a deterioration of the reference entity credit quality. On a second level and after a preliminary analysis it is tested if these returns have the following characteristics: Risk Aversion and Leverage Effects (these are present on the stock market, for example). In order to do so it is estimated a T-GARCH model. It is concluded that investors who trade in Credit Indices market are not risk averse and they do not fear “bad news” about the financial markets. In fact, these findings are in line with the theory that states that investors tend to win with the presence of these “bad news”

Patient data discovery platforms as enablers of biomedical and translational research: a systematic review

Background: The global shift from paper health records to electronic ones has led to an impressive growth of biomedical digital data along the past two decades. Exploring and extracting knowledge from these data has the potential to enhance translational research and lead to positive outcomes for the population’s health and healthcare. Obective: The aim of this study was to conduct a systematic review to identify software platforms that enable discovery, secondary use and interoperability of biomedical data. Additionally, we aim evaluating the identified solutions in terms of clinical interest and main healthcare-related outcomes. Methods: A systematic search of the scientific literature published and indexed in Pubmed between January 2014 and September 2018 was performed. Inclusion criteria were as follows: relevance for the topic of bio- medical data discovery, English language, and free full text. To increase the recall, we developed a semi-auto- matic and incremental methodology to retrieve articles that cite one or more of the previous set. Results: A total number of 500 candidate papers were retrieved through this methodology. Of these, 85 were eligible for abstract assessment. Finally, 37 studies qualified for a full-text review, and 20 provided enough information for the study objectives. Conclusions: This study revealed that biomedical discovery platforms are both a current necessity and a sig- nificantly innovative agent in the area of healthcare. The outcomes that were identified, in terms of scientific publications, clinical studies and research collaborations stand as evidence.publishe

On the use of mobility in distributed network management

Information Technology has been under unprecedented transformations and it is dramatically changing the way of work inside organizations. Information management systems must be adequate to cope with the profound effects of this evolution, which expectations includes the introduction into the networks of enormous quantities of different elements. Mobile agent paradigm seems to be, for many researchers, the right solution to deal with the pressures of these new demands. This paper discuss the issues around mobility of code on network management environments and presents ongoing work that provides mobility capability to distributed managers upon recent work of IETF’s Disman working group

Implementação e avaliação de gestão remota sobre DISMAN

Apesar da evolução do SNMP durante a última década e que conduziu recentemente à versão Draft Standard do SNMPv3, várias são as lacunas que continuam a ser apontadas a este modelo. No seio do IETF o Disman WG tem procurar vingar a ideia da utilização de uma arquitectura de gestão distribuída colmatando, assim, uma dos mais graves limitações do SNMP – a escalonabilidade. Neste artigo apresentar-se-á um trabalho exploratório que pretende conduzir a um ambiente de gestão SNMP onde a distribuição de operações de gestão é efectuada através de agentes disman móveis

Distributed management: implementation issues

Management processes have to react on time to the new challenges put by a crescent movement of the computing world to the Internet paradigm. The enormous base of legacy knowledge and legacy systems leads the SNMP management framework to a necessary choice in nowadays management scenarios. However, even with the recent SNMPv3, its services correspond roughly to low-level operations for setting or retrieving network equipment parameters. The IETF Distributed Management working group have been producing normalization documents that intent to apply to the enrichment of SNMP semantics, especially in what concerns the processing of management information. This paper will present the recent outcome of this WG and will discuss an implementation project that aims to apply mobile agent technology in these scenarios

Managing mobile agents with SNMP

This paper describe a project that integrates SNMP into a mobile agent environment in order to achieve a simple but powerful goal: mobile agents have to manage and being managed through SNMP

A uniform resource identifier scheme for SNMP

One of the World Wide Web characteristics, besides its omnipresence in computer systems, is the adoption of a universal user interface that is used to access several different services that were previously accessed individually by independent applications. The Internet resources started to be identified by URI schemes, a text string with specific syntax and grammar. Although existing for several services such as http, ftp, gopher and news, these identifiers are not used to identify SNMP resources. This paper proposes an URI scheme for identifying SNMP resources and presents some practical scenarios where the existence of such compact and complete identifying mechanism increases flexibility and functionality of network management applications

A mobile agent manager

Friendliness on user interfaces has been mostly forgot in mobile agent research. In fact the multitude of problems that have to be solved have left this more "simple" piece of the package out of target. However, the success of technology comes also from this important layer in the product development. This paper describes an application that integrates monitoring data from the mobile agents environment, process and presents information in different ways according to different user requirements and allows the user to remotely control mobile agents entities