Partindo dos conceitos estabelecidos pela Hipótese dos Mercados Eficientes (HME), a qual questiona a validade da Análise Gráfica, e considerando as críticas feitas à HME pelos defensores das assim chamadas Finanças Comportamentais, e outros, este estudo procurou detectar a existência de uma relação entre os sinais gráficos observados no dia-a-dia do mercado de ações brasileiro e as tendências que lhes sucedem, durante um período de 8 anos, para um número de papéis. Os resultados obtidos neste trabalho evidenciam a existência de tal relação, sugerindo a validade da utilização da Análise Gráfica como instrumento para a previsão de preços no mercado de ações brasileiro, no período considerado. / Based on the principles established by the Efficient Market Hypothesis (EMH), which argues that the Technical Analysis is of no value in order to predict future prices of securities, and considering the criticism to the EMH by the advocates of the so called Behavioral Finance, and others, this work tried to detect the existence of a relationship between the graphic signals observed day by day in the Brazilian stock market and the trends which happen after these signals, within a period of 8 years, for a number of securities. The results obtained from this study offer evidence of the existence of such relationship, suggesting the validity of the Technical Analysis as an instrument to predict security prices in the Brazilian stock market within that period.

Submitted by Fabio Sobreira Campos da Costa (fabio.sobreira@ufpe.br) on 2016-08-08T12:21:17Z No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) 2016-pbsf-msc.pdf: 596422 bytes, checksum: be9375166fe6e850180863e08b7997d8 (MD5) / Made available in DSpace on 2016-08-08T12:21:17Z (GMT). No. of bitstreams: 2 license_rdf: 1232 bytes, checksum: 66e71c371cc565284e70f40736c94386 (MD5) 2016-pbsf-msc.pdf: 596422 bytes, checksum: be9375166fe6e850180863e08b7997d8 (MD5) Previous issue date: 2016-03-04 / FACEPE / Implicit or indirect control flow allows a transfer of control to a procedure without having to call the procedure explicitly in the program. Implicit control flow is a staple design pattern that adds flexibility to system design. However, it is challenging for a static analysis to compute or verify properties about a system that uses implicit control flow. When a static analysis encounters a procedure call, the analysis usually approximates the call’s behavior by a summary, which conservatively generalizes the effects of any target of the call. In previous work, a static analysis that verifies security properties was developed for Android apps, but failed to achieve high precision in the presence of implicit control flow. This work presents static analyses for two types of implicit control flow that frequently appear in Android apps: Java reflection and Android intents. In our analyses, the summary of a method is the method’s signature. Our analyses help to resolve where control flows and what data is passed. This information improves the precision of downstream analyses, which no longer need to make conservative assumptions about implicit control flow, while maintaining the soundness. We have implemented our techniques for Java. We enhanced an existing security analysis with a more precise treatment of reflection and intents. In a case study involving ten real-world Android apps that use both intents and reflection, the precision of the security analysis was increased on average by two orders of magnitude. The precision of two other downstream analyses was also improved. / Fluxo de controle implícito, ou indireto, permite que haja uma transferência de controle para um procedimento sem que esse procedimento seja invocado de forma explícita pelo programa. Fluxo de controle implícito é um padrão de projeto comum e bastante utilizado na prática, que adiciona flexibilidade no design de um sistema. Porém, é um desafio para uma análise estática ter que computar e verificar propriedades sobre um sistema que usa fluxos de controle implícito. Quando uma análise estática encontra uma chamada a uma procedimento, geralmente a análise aproxima o comportamento da chamada de acordo com o sumário do método, generalizando de uma forma conservadora os efeitos da chamada ao procedimento. Em trabalho anterior, uma análise estática de segurança foi desenvolvida para aplicações Android, mas falhou em obter uma alta precisão na presença de fluxos de controle implícito. Este trabalho apresenta uma análise estática para dois tipos de fluxos de controle implícito que aparecem frequentemente em aplicações Android: Java reflection e Android intents. Nas nossas análises, o sumário de um método é a assinatura do método. Nossas análises ajudam a descobrir para onde o controle flui e que dados estão sendo passados. Essa informação melhora a precisão de outras análises estáticas, que não precisam mais tomar medidas conservadoras na presença de fluxo de controle implícito. Nós implementamos a nossa técnica em Java. Nós melhoramos uma análise de segurança existente através de um tratamento mais preciso em casos de reflection e intents. Em um estudo de caso envolvendo dez aplicações Android reais que usam reflection e intents, a precisão da análise de segurança aumentou em duas ordens de magnitude. A precisão de outras duas análises estáticas também foi melhorada.

Modern power networks incorporate communications and information technology infrastructure into the electrical power system to create a smart grid in terms of control and operation. The smart grid enables real-time communication and control between consumers and utility companies allowing suppliers to optimize energy usage based on price preference and system technical issues. The smart grid design aims to provide overall power system monitoring, create protection and control strategies to maintain system performance, stability and security. This dissertation contributed to the development of a unique and novel smart grid test-bed laboratory with integrated monitoring, protection and control systems. This test-bed was used as a platform to test the smart grid operational ideas developed here. The implementation of this system in the real-time software creates an environment for studying, implementing and verifying novel control and protection schemes developed in this dissertation. Phasor measurement techniques were developed using the available Data Acquisition (DAQ) devices in order to monitor all points in the power system in real time. This provides a practical view of system parameter changes, system abnormal conditions and its stability and security information system. These developments provide valuable measurements for technical power system operators in the energy control centers. Phasor Measurement technology is an excellent solution for improving system planning, operation and energy trading in addition to enabling advanced applications in Wide Area Monitoring, Protection and Control (WAMPAC). Moreover, a virtual protection system was developed and implemented in the smart grid laboratory with integrated functionality for wide area applications. Experiments and procedures were developed in the system in order to detect the system abnormal conditions and apply proper remedies to heal the system. A design for DC microgrid was developed to integrate it to the AC system with appropriate control capability. This system represents realistic hybrid AC/DC microgrids connectivity to the AC side to study the use of such architecture in system operation to help remedy system abnormal conditions. In addition, this dissertation explored the challenges and feasibility of the implementation of real-time system analysis features in order to monitor the system security and stability measures. These indices are measured experimentally during the operation of the developed hybrid AC/DC microgrids. Furthermore, a real-time optimal power flow system was implemented to optimally manage the power sharing between AC generators and DC side resources. A study relating to real-time energy management algorithm in hybrid microgrids was performed to evaluate the effects of using energy storage resources and their use in mitigating heavy load impacts on system stability and operational security.

This paper examines the capital - asset pricing model (CAPM) which has been extended with a factor for geo-political risk. I use monthly stock return data for all stocks listed on a major US exchange from January 1990 to December 2016 and utilize a Fama-Macbeth Regression with Newey-West standard errors to test the geo-political augmented Sharpe-Lintner CAPM. The paper first determines if increased sensitivity to geopolitical risk lead s to lower average returns and second assesses if geo-political risk as an explanatory variable is a significant enough to expose a failure of the CAPM to capture expected returns fully through beta. The results of our regressions do not confirm the hypothesis that firms with high sensitivities to geo-political risk have expressly different returns in the long run. Furthermore, our Fama-Macbeth regression does not find expressly significant average slopes for geo-political risk as a variable.

This thesis describes general function of biometric access systems and summarizes problems of their practical use. It also shows security risks of these systems. It defines basic terms, which are used in this area, describes kinds of errors and their representation. One part of this thesis deals with biometric method of fingerprints recognition. It explains fingerprints’ atomic basics, basic principles and processing of digital fingerprint image. Next part describes concrete biometric access system V-Station by Bioscrypt Inc. Besides basic description it focuses on technology of biometric sensor and algorithm, essential parts of biometric system. The thesis continues with security analysis of this concrete system. In this part I target on weak points of the system and I design possible attack on the system. In the last part of my thesis I designed laboratory exercise, which is supposed to be realized by student. It is composed it by several tasks to let students understand working with the system and attached software. At the same time, they have opportunity to think about system by themselves a make their own opinion about possibilities of the system. There are many pictures in this thesis to make term clear and to better understanding of problems of biometric security systems.

Level crossing times and their applications in finance are of importance, given certain threshold levels that represent the "desirable" or "sell" values of a stock. In this thesis, we make use of Wald's lemmas and various deep results from renewal theory, in the context of finance, in modelling the growth of a portfolio of stocks. Several models are employed .

The Cost of Feeling Good attempts to quantify the optimum portfolio returns of Socially Responsible Investment Funds and Dual-Purpose Portfolios. In order to meet the demands of investors who want to create a social impact and generate financial returns, investors can choose two methods. For the purpose of this study, the social returns were quantified and the financial returns were quantified using net present value. In every scenario, the socially responsible investment decision generated higher financial returns. Because of the immediate loss to an investor after choosing the DPP strategy, financially, the SRI fund appears to be the better approach for a financially driver investor. In terms of social returns, the DPP has a more clear impact on society. Measured as the charitable contribution given on an $1,000 investment, the socially responsible fund contributes far less to society on a per investor basis. Therefore, if an investor is interested in generating higher social returns and wants to be selective in terms of their charitable donation, they should choose the DPP model. In terms of tax brackets, investors in higher tax brackets have to generate higher financial returns on socially responsible investments in order to match the returns of a DPP. This is also true with investors who invest less in charity. Therefore, the investors that are in the highest tax bracket and contribute little to charity will need to generate far higher SRI returns according to the constructed theory. This finding is important to the growing millennial trend in sustainable investing.

This study examines the relationship between company management guidance, and ex-ante crash risk over the duration of 2008(Jan 2006-Dec 2009) financial crisis using the implied volatility skew, which is based upon ex-ante volatility implied by the pricing model developed by Black-Scholes (1973). The study finds that over the duration of this crisis period, management guidance decreases with a rise in ex-ante crash risk. Further, the study provides evidence on the relationship of management guidance and earnings volatility, and how that is affected by a firm's industry product concentration based on the Herfindahl-Hirschman Index (HHI) score.

The demands on maritime operations today are increasingly higher in terms of control, efficiency and cost. The margins for accidents and security incidents are therefore decreasing. In the area of ship safety the regulations, guidelines and methods have a history and culture of systematic research, development and implementation. In contrast, international security is highly politicized and therefore not as transparent. The result is that a tradition of ship security is not as well established. The overall aim of this thesis is to propose a method for ship security analysis that increases the overall safety of the crew and the ship. The objective is to develop a method that is systematic in order to ensure that assessment and response are complete and effective, and that the process is documented to provide evidence of decision-making. The method used is probabilistic risk assessment where quantitative analysis is central. The proposed approach is consistent with the requirements of maritime safety work. However, in the work here, the proposed methods are specifically tested for security cases. This is because hazards (without intent) and threats (with intent) evolve in different ways into risk. Therefore, they must be analysed differently in order to capture the causal relationship. The proposed approach consists of three steps: the first step consists of a threat description that documents qualitative and quantitative aspects that together describe how the threat most likely will act in relation to the ship’s vulnerability; the second step uses the threat description to define the system studied as well as the scenarios that collectively describe the harmful consequences; the third step evaluates the risk with tools from probabilistic risk assessment. The overall conclusion is that the proposed method brings the procedure and results of ship security analysis into the open and therefore allows for criticism, improvements and shared risk knowledge, not possible with less structured methods. The results also show that the calculated probabilities agree with available statistics, which indicates that the analysis succeeds in describing the central causal relationships of the scenarios modelled.

Submitted by Silvana Teresinha Dornelles Studzinski (sstudzinski) on 2016-03-17T15:55:04Z No. of bitstreams: 1 Iverson Farias Costa_.pdf: 1955231 bytes, checksum: 026a292f3b36f9d497620ffb02e502b4 (MD5) / Made available in DSpace on 2016-03-17T15:55:04Z (GMT). No. of bitstreams: 1 Iverson Farias Costa_.pdf: 1955231 bytes, checksum: 026a292f3b36f9d497620ffb02e502b4 (MD5) Previous issue date: 2012-03-29 / Nenhuma / A importância de um suprimento confiável de energia elétrica, para a sociedade industrial atual, é inquestionável. Em um centro de controle de uma rede elétrica, uma importante tarefa computacional é a Análise de Segurança. Nesta tarefa, uma contingência é saída de operação de um ou mais equipamentos, enquanto que a seleção de contingências é a determinação das contingências mais severas existentes no sistema. A despeito dos avanços tecnológicos atuais, uma análise de todas as contingências possíveis é impraticável. Neste trabalho, um método é apresentado para realizar, de forma eficiente, a seleção de contingências múltiplas. O problema é modelado como um problema de otimização combinatória, e é resolvido através de dois algoritmos genéticos. Um método robusto, que considera aspectos de fluxo de potência e tensão, é apresentado e testado em uma rede IEEE e em um sistema real de grande porte, considerando saídas duplas de linha. Os resultados apresentados, obtidos através da varredura de porções reduzidas do espaço de busca, demonstram uma acurácia próxima a 100%, quando comparados a um método exato. / The importance of a reliable supply of electricity to the industrial society is unquestionable. In a control center of an electrical utility, an important computational task is the Security Analysis. In this task, contingency is the out of operation of one or more devices, and contingencies selection is the determination of the most severe contingencies for the system. Despite the current technological advances, an analysis of all possible contingencies, for a real grid, is impracticable. In this work, a method to efficiently perform the selection of multiple contingencies is presented. The problem is modeled as a combinatorial optimization problem, and solved by two genetic algorithms. A robust method, which considers aspects of power flow and voltage, is presented and tested over an IEEE test system and a large real network, considering double outages of branches. The results presented, obtained with scans of reduced portions of search space, shows accuracy close to 100%, when compared with an exact method.