No description available.

No description available.

Stand conditions influence the partitioning of biomass to stem, foliage, branch, and root components. Using data from 4 to 6-year old loblolly pine (Pinus taeda L.) trees grown in a miniature-scale spacing trial, this study determined the effect of initial planting density on the biomass partitioning of loblolly pine. An analysis of covariance concluded that density did not have a significant effect on the relative amount of biomass in aboveground components.Some measures of partitioning tradeoffs (such as root: shoot ratio) showed a significant positive slope when regressed against trees per hectare. Systems of linear equations were developed based on tree measurements and age, and additivity was specified. By taking into account contemporaneous correlations among tree components, seemingly unrelated regression (SUR) methodologies led to efficient parameter estimates. When compared to studies with mature trees at operational scales, results from the miniature-scale trees showed similar trends. Stem and woody roots were 70 and 14% of total mass, respectively. Since these miniature-scale trees were physiologically young at time of harvest, allocation of mass to foliage continued to be a priority, occupying 10% of total mass. / Master of Science

Este trabalho trata do problema de sequenciamento e programação de atividades em máquinas diferentes em paralelo, considerando elegibilidade de máquina, e tempo de liberação das máquinas e das atividades com o objetivo de minimizar o custo de atraso total. Tal problema é descrito pela literatura como NP-hard. Foi proposto um método otimizante que envolve modelagem matemática, um algoritmo de geração de colunas e, além disso, uma heurística para tratar problemas com instancias maiores. O algoritmo de geração de colunas é baseado no método proposto por Akker, Hurkens e Savelsbergh (2000), que foi adaptado para o problema de múltiplas máquinas diferentes. Assim, o método foi aplicado em instâncias da literatura e em instâncias geradas para este trabalho de até 25 atividades e 4 máquinas. Os resultados foram analisados e observou-se que o modelo de programação inteira mista e eficiente para encontrar limitantes superiores de boa qualidade. Por outro lado, o algoritmo de geração de colunas é eficiente para encontrar limitantes inferiores para o problema. Desta forma, o método proposto utiliza o modelo MILP e o algoritmo de geração de colunas de maneira a se complementar. Assim, soluções ótimas foram encontradas para 84% das instancias geradas, sendo que o GAP médio para as instancias restantes foi de 2,1%. A heurística proposta e baseada na ideia de heurística construtiva probabilística, que foi apresentada por Arcus (1965). Ela foi executada na massa de dados gerada, resultando em um GAP médio de 10,6%. / This paper deals with the problem of scheduling activities in unrelated parallel parallel, considering machine eligibility, and machine and activity release time in order to minimize total weighted tardiness.Such a problem is described in the literature as NPhard. It has been proposed an optimizing method that involves mathematical modeling and a column generation algorithm, in addition, it is proposed a heuristic to treat problems with larger instances. The column generation algorithm was based on the method proposed by Akker, Hurkens e Savelsbergh (2000), which has been adapted to the problem of multiple diferent machines. Thus, the method was applied in instances of the literature and in instances generated for this paper up to 25 jobs and 4 machines. The results were analyzed and it was noted that the mixed integer programming model is eficient to find good quality upper bounds. On the other hand, the column generation algorithm is eficient to find lower bounds for the problem. Therefore, the proposed method uses the MILP model and the column generation algorithm to complement each other. Thus, optimal solutions were found for 84 % of the generated instances, with the mean GAP for the remaining instances being 2.1 %. The proposed heuristic is based on the idea of probabilistic constructive heuristics, which was presented by Arcus (1965). It was run on the mass of data generated, resulting in an average GAP of 10,6%.

Este trabalho trata do problema de sequenciamento e programação de atividades em máquinas diferentes em paralelo, considerando elegibilidade de máquina, e tempo de liberação das máquinas e das atividades com o objetivo de minimizar o custo de atraso total. Tal problema é descrito pela literatura como NP-hard. Foi proposto um método otimizante que envolve modelagem matemática, um algoritmo de geração de colunas e, além disso, uma heurística para tratar problemas com instancias maiores. O algoritmo de geração de colunas é baseado no método proposto por Akker, Hurkens e Savelsbergh (2000), que foi adaptado para o problema de múltiplas máquinas diferentes. Assim, o método foi aplicado em instâncias da literatura e em instâncias geradas para este trabalho de até 25 atividades e 4 máquinas. Os resultados foram analisados e observou-se que o modelo de programação inteira mista e eficiente para encontrar limitantes superiores de boa qualidade. Por outro lado, o algoritmo de geração de colunas é eficiente para encontrar limitantes inferiores para o problema. Desta forma, o método proposto utiliza o modelo MILP e o algoritmo de geração de colunas de maneira a se complementar. Assim, soluções ótimas foram encontradas para 84% das instancias geradas, sendo que o GAP médio para as instancias restantes foi de 2,1%. A heurística proposta e baseada na ideia de heurística construtiva probabilística, que foi apresentada por Arcus (1965). Ela foi executada na massa de dados gerada, resultando em um GAP médio de 10,6%. / This paper deals with the problem of scheduling activities in unrelated parallel parallel, considering machine eligibility, and machine and activity release time in order to minimize total weighted tardiness.Such a problem is described in the literature as NPhard. It has been proposed an optimizing method that involves mathematical modeling and a column generation algorithm, in addition, it is proposed a heuristic to treat problems with larger instances. The column generation algorithm was based on the method proposed by Akker, Hurkens e Savelsbergh (2000), which has been adapted to the problem of multiple diferent machines. Thus, the method was applied in instances of the literature and in instances generated for this paper up to 25 jobs and 4 machines. The results were analyzed and it was noted that the mixed integer programming model is eficient to find good quality upper bounds. On the other hand, the column generation algorithm is eficient to find lower bounds for the problem. Therefore, the proposed method uses the MILP model and the column generation algorithm to complement each other. Thus, optimal solutions were found for 84 % of the generated instances, with the mean GAP for the remaining instances being 2.1 %. The proposed heuristic is based on the idea of probabilistic constructive heuristics, which was presented by Arcus (1965). It was run on the mass of data generated, resulting in an average GAP of 10,6%.

Este estudo têm como objetivo identificar qual o comportamento de empresas brasileiras de capital aberto com relação à aplicação dos recursos financeiros de seus fluxos de caixa (recursos internos) em investimentos e não investimentos (em fins que não se configuram como um projeto real de investimento) no curto e longo prazo e mostrar como essa questão está relacionado com o grau de restrições financeiras enfrentado pelas empresas. Para alcançar esse objetivo foram estimadas quatro regressões pelo método OLS (Ordinary Least Square / Mínimos Quadrados Ordinários), cada uma delas com uma das variáveis resposta correspondentes aos principais usos de caixa, ou seja, retenção de caixa, investimentos, dividendos e redução do financiamento externo e com as variáveis explicativas dadas pelo fluxo de caixa nos períodos t, t-1 e t-2 e algumas variáveis de controle específicas da firma. Os resultados sugerem que empresas brasileiras restritas e irrestritas se comportam de forma diferente ao receberem um choque positivo em seus fluxos de caixa e que o comportamento das mesmas também difere no curto e no longo prazo. Empresas restritas e irrestritas ao receberem um choque positivo em seus fluxos de caixa, retêm caixa no período contemporâneo e alocam tais recursos intertemporalmente. Empresas restritas investem mais no curto prazo enquanto as irrestritas investem mais no longo prazo. No curto prazo, empresas irrestritas distribuem mais dividendos do que empresas irrestritas e no longo prazo, os coeficientes dos fluxos de caixa não são significativos para nenhum dos grupos. No curto prazo empresas irrestritas reduzem o financiamento externo, enquanto empresas restritas levantam mais financiamentos externos e no longo prazo, esse comportamento se inverte. Dessa forma, fica clara a importância de se considerar o longo prazo bem como as restrições financeiras enfrentadas pelas empresas. / This study aim to identify what is the behaviour of Brazilian public companies regarding the use of financial resources of cash flows (internal resources) in investments and not investments (for purposes that are not configured as a real investment project) in the short and long term and show how this is related to the degree of financial constraints faced by firms. To achieve this aim, four regressions were estimated by OLS ( Ordinary Least Square), each with one of the response variables corresponding to the main uses of cash, ie , cash holding, investments, dividends and external finance reduction and the explanatory variables given by the cash flow in periods t , t - 1 and t - 2 and some control variables specific of the firm. The results suggest that restricted and unrestricted Brazilian companies behave differently when they receive a positive shock on cash flows and their behavior also differs in the short and long term. When constrained and unconstrained firms receive a positive impact on cash flows, they retain cash in the contemporary period and intertemporally allocate such resources. Constrained firms invest more in the short term while the unrestricted invest more in the long run. In the short term, unconstrained firms distribute more dividends than unconstrained firms and in the long run, the coefficients of cash flows are not significant for either groups. In the short term unconstrained firms reduce external finance, while constrained firms raise more external finance and in the long term, this behavior is reversed. Thus, it is clear that it matters to consider the long term as well as financial constraints faced by firms.

自從Cross在1973年提出股票市場具有星期效應(Day-of-the-week-effect)之後，開啟了學者在這個研究領域一連串的研究及探討，過程中金融市場經歷了國際化、法規制度的鬆綁與解禁、交易技術複雜化、交易電子化及衍生性商品的推出等事件，使得整個市場結構產生了極大的變化。正因如此，星期效應也有了轉變，根據Kamara(1997)及Hiraki,Maberly, and Taube(1998)的研究發現，股價指數期貨於市場交易後，原先存在的星期效應開始產生轉變，這樣有趣的發現激發出本研究的研究動機。基於研究動機，本研究主要目的為探討，在股價指數期貨推出後，股票市場的報酬型態是否產生變化。本研究以歐洲五國(英、德、法、瑞士、荷蘭)及台灣市場為研究對象。 本研究以敘述統計、虛擬變數所建立的星期效應模型及SUR(Seemingly Unrelated Regressions)來驗證股價指數期貨對市場星期效應的影響。研究期間在歐洲市場部分乃自1980年1月1日至2000年12月21日止；在台灣市場部分則是從1993年1月1日到2000年12月31日，選取每天收盤時的指數作為樣本資料，資料來源為教育部aremos資料庫及台灣經濟新報。 本研究驗證結果發現： 1. 歐洲五國有相對應股價指數期貨於市場上交易的指數，在期貨交易後原先存在於市場上的週一效應消失。至於無相對應股價指數期貨於市場上交易的指數，在期貨交易後除了英國之外，其餘四國的週一、週二效應皆於市場上消失。由此可知，期貨交易促使市場的報酬型態產生變化。 2. 使用SUR來考量歐洲各國股市相互影響下的星期效應發現，結果除了係數略為不同外，星期各日所呈現的型態基本上與沒有考量相互關係前的結果大同小異。 3. 台灣市場在摩根台股指數期貨交易前存在的週二效應，於交易後的期間轉變為週一、週二效應同時存在；而在台灣期交所推出台股指數期貨之後，台灣市場的週二效應正式消失，取而代之的是週一效應。期貨交易對市場星期效應的影響再度獲得證明。

<!-- /* Style Definitions */ p.MsoNormal, li.MsoNormal, div.MsoNormal {mso-style-parent:""; margin:0cm; margin-bottom:.0001pt; mso-pagination:widow-orphan; font-size:12.0pt; font-family:"Times New Roman"; mso-fareast-font-family:"Times New Roman"; mso-ansi-language:SV;} @page Section1 {size:612.0pt 792.0pt; margin:72.0pt 90.0pt 72.0pt 90.0pt; mso-header-margin:35.4pt; mso-footer-margin:35.4pt; mso-paper-source:0;} div.Section1 {page:Section1;} --> This thesis is designed to offer an approach to modeling volatility in the Swedish limit order market. Realized quadratic variation is used as an estimator of the integrated variance, which is a measure of the variability of a stochastic process in continuous time. Moreover, a functional time series model for the realized quadratic variation is introduced. A two-step estimation procedure for such a model is then proposed. Some properties of the proposed two-step estimator are discussed and illustrated through an application to high-frequency financial data and simulated experiments. In Paper I, the concept of realized quadratic variation, obtained from the bid and ask curves, is presented. In particular, an application to the Swedish limit order book data is performed using signature plots to determine an optimal sampling frequency for the computations. The paper is the first study that introduces realized quadratic variation in a functional context. Paper II introduces functional time series models and apply them to the modeling of volatility in the Swedish limit order book. More precisely, a functional approach to the estimation of volatility dynamics of the spreads (differences between the bid and ask prices) is presented through a case study. For that purpose, a two-step procedure for the estimation of functional linear models is adapted to the estimation of a functional dynamic time series model. Paper III studies a two-step estimation procedure for the functional models introduced in Paper II. For that purpose, data is simulated using the Heston stochastic volatility model, thereby obtaining time series of realized quadratic variations as functions of relative quantities of shares. In the first step, a dynamic time series model is fitted to each time series. This results in a set of inefficient raw estimates of the coefficient functions. In the second step, the raw estimates are smoothed. The second step improves on the first step since it yields both smooth and more efficient estimates. In this simulation, the smooth estimates are shown to perform better in terms of mean squared error. Paper IV introduces an alternative to the two-step estimation procedure mentioned above. This is achieved by taking into account the correlation structure of the error terms obtained in the first step. The proposed estimator is based on seemingly unrelated regression representation. Then, a multivariate generalized least squares estimator is used in a first step and its smooth version in a second step. Some of the asymptotic properties of the resulting two-step procedure are discussed. The new procedure is illustrated with functional high-frequency financial data.

This study considers bicriteria approaches to the minimum cost network flow problem and a rescheduling problem where those approaches find their applications. For the bicriteria integer minimum cost network flow problem, we generate all efficient solutions in two phases. The first phase generates the extreme supported efficient points that are the extreme points of the objective space of the continuous bicriteria network flow problem. In the second phase, we generate the nonextreme supported and unsupported efficient points by Integer Programming Based approaches. Our rescheduling problem considers parallel unrelated machine environments. The criteria are the total flow time as an efficiency measure and the total reassignment cost as a stability measure. We show that the problems that address linear functions of the two criteria can be represented by bicriteria network flow models. To generate all efficient solutions, we use a Classical Approach that is based on the optimal solutions of the singly constrained network flow problem and provide a Branch and Bound approach that starts with extreme supported efficient set and uses powerful bounds. To find an optimal solution to any nonlinear function of the two criteria, we provide a Branch and Bound approach and an Integer Programming Based approach that eliminates some portions of the efficient set that cannot provide improved solutions. We contribute both to the network flow and scheduling literature by proposing algorithms to the bicriteria network flow models and applying them to a rescheduling problem that is bicriteria in nature. The results of our extensive computations with up to 100 jobs and 12 machines have revealed that, the Branch and Bound algorithm finds the efficient set in less computational effort compared to the classical approach. In minimizing a nonlinear function of the two criteria both IP Based approach and Branch and Bound algorithm perform quite satisfactory.

International Fisher Effect (IFE) is a theory in international finance which asserts that the spot exchange rate between countries should move in opposite direction with the interest rate differential between these countries. The aim of this thesis is to analyze whether differences in nominal interest rates between countries and the movement of spot exchange rates between their currencies tend to move together over the long run. The presence of IFE is tested among the G-5 countries and Turkey for the period from 1985:1 to 2007:12. The long run relationship is estimated with the Johansen co-integration method and supportive evidence is found for all country pairs. Individually modeled equations are further tested with the Dynamic SUR method. Those DSUR equations that include the Turkish currency provide supportive evidence for IFE that higher interest rates in favor of Turkey would cause depreciation of the Turkish Lira. The magnitude of the effect is found to be lower than expected which indicates that there might be other factors in economy, such as inflation rates, that affect the exchange rate movements.