By Paulo P. Freitas, Hugo A. Ferreira, Filipe Cardoso, Susana Cardoso, Ricardo Ferreira (auth.), Manuel Seabra Pereira (eds.)
The Technical collage of Lisbon (UTL) is celebrating this 12 months its seventy fifth anniversary. Being a jubilee social gathering, an entire application of occasions came about, together with a two-day Symposium at the study at UTL. This Symposium addressed the state-of-art in significant components of excellence at UTL. technology, expertise and innovation and how universities and society as a rule, create, use and disseminate wisdom have won a growing to be signi?cance over the past a long time. UTL without doubt embeds a appropriate strength of excellence in several parts of analysis in simple and technologies, which bears its improvement at the foundation of a “research collage” version. This e-book comprises the edited model of the invited lectures that have been brought by way of well known researchers at UTL. This e-book brings jointly in a evaluation demeanour a finished precis of top quality examine contri- tions throughout easy and technologies. The contributing papers are equipped round the following significant parts: – Emergent parts (Nanosciences, Quantic Computations and Infor- tion, chance and Volatility in monetary Markets); – uncomplicated Sciences (Mathematics, Physics, Chemistry and Materials); – Social Sciences, Economics and administration Sciences; – lifestyles Sciences and Biotechnology; – Engineering and applied sciences – Nature, setting and Sustainability; – Public overall healthiness, foodstuff caliber and defense; – future health and activity Sciences; – Urbanism, Transports, structure, Arts and layout. The transdisciplinary nature of so much components goals to emphasize a compelling feel of function within the paintings developed.
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Additional resources for A Portrait of State-of-the-Art Research at the Technical University of Lisbon
We give the motivation behind the models, and the more technical details will be referred to the original papers. The structure of this chapter is as follows. 2 we refer some general properties of returns and prices. In section 2 we mention a model that aims to capture the volatility created by “chartists”. This is done in a discrete-time setting in the context of ARCH models; also a continuoustime version is provided. In section 3 we present three diffusion processes, with different purposes. The first one intends to model bounded random walks; the idea is to model stationarity processes with random walk 23 M.
The process can reach extreme peaks in a very short time but quickly returns to the neighbourhood of zero. It can be proved, in fact, that X is a stationary process. Thus, X is a stationary local martingale but not a martingale since E X t X 0 converges to the stationary mean as t o f and is not equal to X 0 as would be required if X was a martingale. 2 @ A definition of volatility-induced stationarity To our knowledge, CHLS were the first to discuss volatility-induced stationarity (VIS) ideas.
05 dWt dX t (25) ( X is also represented in figure 4). All paths are composed of 1000 observations defined in the interval t >0 ,10 @. 01 ): absence of mean reversion, shocks are persistent, mean and variance depend on time, etc. On the other hand, the unconditional distribution of X (return) is asymmetric and leptokurtic. 2 time time Figure 4 Simulation of two independent paths from a second order SDE Estimation of second order stochastic differential equations raises new challenges for two main reasons.
A Portrait of State-of-the-Art Research at the Technical University of Lisbon by Paulo P. Freitas, Hugo A. Ferreira, Filipe Cardoso, Susana Cardoso, Ricardo Ferreira (auth.), Manuel Seabra Pereira (eds.)