1,938 research outputs found
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 ĂŤndices de CrĂ©dito. Para efeitos deste estudo foi escolhido o seguinte ĂŤndice: iTraxx Financials Senior, com maturidade a 5 anos (Ăndice europeu, criado pela Markit).
A um primeiro nĂvel foi investigado se os Spreads do Ăndice refletem a perceção de risco. Estudos passados apontam para a conclusĂŁo de que os Ăndices de crĂ©dito sĂŁo uma ferramente bastante viável para entender a qualidade de crĂ©dito de uma entidade. Esta questĂŁo Ă© testada atravĂ©s da seguinte maneira: verificar se a volatilidade dos retornos apresenta as seguintes caracterĂsticas – Volatility Clustering, MemĂłria Longa e Excesso de Kurtosis – estas encontram-se tipicamente nas sĂ©ries financeiras. De facto, conclui-se que um aumento do Spread Ă© interpretado pelo mercado como uma deterioração da qualidade de crĂ©dito (da entidade de referĂŞncia).
Numa segunda fase e apĂłs realizada uma análise preliminar Ă© ainda testado se essa volatilidade apresenta outras caracterĂsticas, tais como: AversĂŁo ao Risco e Leverage Effects (estas caracterĂsticas estĂŁo presentes no mercado acionista, por exemplo). Esta análise Ă© realizada com recurso a um modelo T-GARCH.
ApĂłs esta análise conclui-se que os investidores presentes neste mercado (dos Ăndices de crĂ©dito) nĂŁo sĂŁo avessos ao risco e nĂŁo tĂŞm o tradicional repĂşdio por “más notĂcias” sobre o sistema financeiro. De facto a ausĂŞncia de Leverage Effects Ă© coerente com a participação de agentes que tĂŞm a ganhar com essas “más notĂcias”.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 Ăşltima dĂ©cada e que conduziu recentemente Ă
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 gestĂŁo distribuĂda 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
SNMP management of MASIF platforms
In this paper we describe the architecture, the development and the assessment
results of an SNMP agent that allows MASIF compliant platforms to be managed
through SNMP. The major outcome of this work is a simple integration of mobile
agent technology with any well-established commercial network management
system
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