Browsing by Issue Date, starting with "2003-12"
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- Crime and social normsPublication . Garoupa, NunoIn this paper, we develop a general equilibrium model of crime. It is shown that law and norms are substitutes in achieving a stable equilibrium. Here we offer a new interpretation of different theories of social norms in the context of crime and deterrence. The law and economics theory is presented as an ‘opportunism- limiting’ approach to norms whereas the evolutionary theory is presented as an ‘opportunity cost’ approach.
- Maturity and volatility effects on UK smiles or dying smiling?Publication . Duque, João L.C.; Lopes, Patrícia TeixeiraThe “smile effect” is a result of an empirical observation of the options’ implied volatility with the same expiration date, across different exercise prices. However, its shape has been under discussion seeming to be dependent on the option underlying security. In this paper, and filling up a scarce empirical research on the topic, we used liquid equity options on 9 stocks traded on the London International Financial Futures and Options Exchange (LIFFE) between August 1990 and December 1991. We tested two different hypothesis for testing two different phenomena: (1) the increase of the “smile” as maturity approaches; (2) and the association between the smile and the volatility of the underlying stock. In order to estimate implied volatilities for unavailable exercise prices, we modelled the smile using cubic B-spline curves. We found empirical support for the smile intensification (the U-shape is more pronounced) as maturity approaches as well as when volatility rises. However, we found two major sources of disagreement with the literature on stochastic volatility models. First, as maturity approaches, out-of-themoney options’ implied volatility tends to be higher than the implied volatility of in-the-money options. Second, as the volatility of the underlying asset increases, the implied volatility of in-the-money options tends to be higher than implied volatility of out-of-the-money options.
- Timely Actions in the Presence of Uncertain TimelinessPublication . Casimiro, António; Veríssimo, Paulo Jorge EstevesDistributed systems are widely used today, mostly supported by the Internet. In consequence, there is an increasing demand for networked applications and services traditionally available only in specific, controlled settings. This includes many real-time applications, mostly mission-critical, such as multimedia rendering or on-line transaction processing. But the Internet, as well as many other small-scale computing environments, is open in nature and hence unpredictable. Therefore, to construct such applications in a dependable way, system architects have to face, among others, the challenge of reconciling the need for timeliness with the unpredictable nature of the environment. This thesis contributes with a new paradigm to address the problem of doing timely actions in the presence of uncertain timeliness. It proposes the Timely Computing Base (TCB) distributed system model to handle partial synchrony in a generic way and describes a set of fundamental services to be provided by TCB local modules. It also proposes some protocols that may be used to construct these services. The ability to construct dependable applications requires a comprehensive treatment of the fundamental cause of misbehavior due to lack of synchronism: timing failures. The thesis introduces generic properties that dictate the correctness of applications and explains, for several classes of applications, the methodology that must be followed for the latter to secure these properties and achieve their dependability objectives with the help of the TCB. Finally, the feasibility of the proposed model is evaluated
- Takeover bids : evidence from the Portuguese marketPublication . Rodrigues, VascoThroughout the nineties, a number of tender offers occurred in the Por- tuguese market. This article employs event study methodology to investigate their effects on the involved firms’ shareholders. On average, these operations increased the market value of the involved firms by 2% to 3%. However, target sharehold- ers appropriated most of this gain, earning 18% over their firms’ previous value, whereas bidder shareholders seem to have gained nothing. These averages bent in bidders shareholders favour, however, when bidders held significant positions in the targets’ capital before the bid.
- A Protecção IntegradaPublication . Amaro, Pedro
- Investimento português no Brasil : o caso da Portugal TelecomPublication . Fonseca, Manoel Justiniano Melo da; Silva, Joaquim RamosO objetivo desta dissertação é analisar os investimentos da Portugal Telecom no Brasil, bem como avaliar seu desempenho, no período compreendido entre 1998 e 2002. Para atingir este objetivo procurou-se entender o processo de intensificação do movimento internacional de capitais aliado à abertura dos mercados e ao processo de privatização brasileiro, nos anos 90, contexto no qual situa-se a recente entrada de investimento direto português no Brasil. Diante disto, procurou-se investigar o setor das telecomunicações, particularizando a sua estrutura de mercado, posto que este foi o setor onde foram realizados os investimentos da empresa Portugal Telecom. Para tanto, buscou-se entender qual o relacionamento que se estabelece entre esta empresa e o setor de telecomunicações no Brasil. Para isto, trilhou-se o seguinte caminho: contextualizouse o processo de mundialização do capital e seus rebatimentos sobre a economia brasileira, que resultaram na abertura econômica e nas privatizações, ressaltando a do setor das telecomunicações; apresentou-se uma caracterização do setor de telecomunicações em nível mundial, a estrutura de mercado do setor das telecomunicações no Brasil, bem como as modificações ocorridas em função das privatizações; e, por fim, analisou-se o caso do capital português neste setor, particularizando a empresa Portugal Telecom através de uma contextualização da Portugal Telecom e da Telesp Celular Participações, enquanto componente do investimento direto português no Brasil. Por último, tem-se as considerações finais, onde foram salientados os principais argumentos conclusivos elaborados ao longo do trabalho.
- A exclusão social e o emprego: Perspectivas, realidades e políticas na União EuropeiaPublication . Mourão, Marta Loureiro de Moura Geraldes; Pereirinha, José A.Os estados membros e a união europeia estipularam a luta contra a exclusão social e a pobreza como um dos elementos centrais da "modernização do modelo social europeu" que se caracteriza pelo "nexo indissociável" entre desempenho económico e progresso social Contudo, se, por um lado, pobreza e exclusão social não podem ser considerados como conceitos consolidados e não estão isentos de discussão e controvérsia, por outro, a relação estabelecida entre estes conceitos e uma nova "sociedade da informação" de pleno emprego, e qualidade generalizada de em,pregos e saláios, é na verdade uma "nova sociedade" já que até agora desconhecida. O propósito deste trabalho é o de discutir de que forma a pobreza e a exclusão social podem ser combatidas nos termos propostos pela união da expectativa de pleno emprego e de qualidade no contexto de mudanças económicas e sociais, que requerem importantes alterações aos sistemas sócio-económicos.
- O habitat da hiperficção: hipertopia(s)Publication . Mourão, José Augusto; Casquilho, José PintoIn this paper we follow a succession of references that illustrate how the conjunction of literary fiction and hypertext – referred to as hyperfiction – emerges as an object whose experimentation subverts the the perception of real space-time through the multiplicity of possible paths, traced on the space of the labyrinthical web of the narrative; this subversion intervenes substantially in the order of time changing its sequential perception. Thus we have a habitat of hyperfiction text where the real dimension of time persists but, simultaneously, another dimension of time becomes dominant – the imaginary dimension of time -, using the terminology of the complex numbers system. In this framework, a moment involves a two-dimensional nature and a path is drawn as a path in the complex plane of Argand-Wessel. The habitat of the hypertext fiction is thus inserted into a complex space-time in which we designate as hipertopies the niches occupied by hyperfictional texts. The Aristotelian ordination becomes a minor, strictly local, element of intelligibility of this world. --------------------------------------------- Neste trabalho percorre-se uma sucessão de referências que ilustram como a conjunção da ficção literária e do hipertexto – denominada hiperficção – emerge num objecto cuja experimentação subverte a experimentação do espaço-tempo real através da multiplicidade de percursos possíveis, traçados na rede labiríntica do espaço de narração; essa subversão intervém na ordem do tempo alterando substancialmente a sua percepção sequencial. Constitui-se assim, a nosso ver, um habitat da obra de hiperficção onde persiste a dimensão real do tempo mas se afirma como dominante outra dimensão - a dimensão imaginária do tempo – utilizando a terminologia que remonta à criação dos números complexos. Neste quadro, um instante comporta uma natureza bidimensional e um percurso desenha-se como uma trajectória no plano complexo de Wessel-Argand. O habitat da obra de hiperficção insere-se então num espaço-tempo complexo em que designamos por hipertopias os nichos preenchidos por obras de hiperficção. A ordenação aristotélica torna-se um elemento menor, exclusivamente local, da inteligibilidade deste mundo.
- Real exchange rates and target interest rates in a simple VAR modelPublication . Mollick, André VarellaThis paper proposes a simple vector autoregressions (VAR) model with (real) output and exchange rate shocks on interest rates. Rather than assuming non- recursive identification schemes, we test the identifying assumption of the error term decompositions. Applying the model to quarterly data on major currencies against the U.S. dollar (USD) from 1974 to 1997, interest rate shocks explain – after 3 years – 16% of Canadian dollar/USD (CAD) real exchange rate variations and less than 2% for the mark/USD and yen/USD. Positive innovations of interest rates bring about (transitory) CAD real appreciations in differences and (permanent) appreciations in levels. Canadian real output is more explained by domestic interest rate shocks (19%) than Germany’s (5%) or Japan’s (0.2%). Canada is smaller than the other economies and CAD has been shown to suffer from “fear of floating”. Our findings support the proposition that domestic shocks dominate output variance under fixed exchange rates. They are also consistent with structural interpretations of the VAR.
- Intrusion Tolerance based on Architectural HybridizationPublication . Correia, Miguel; Veríssimo, Paulo Jorge EstevesSecurity in distributed computing systems is usually based on the idea of prevention. The usual approach consists in trying to design perfect systems, with no vulnerabilities to be exploited by potential attackers. Reality shows that this is impossible and that systems live in a permanent cycle: vulnerability discovered systems attacked patch published some systems patched new vulnerability discovered etc. Fault-tolerance or, more generically, dependability, takes a different approach. This discipline also tries to build systems as reliable as possible. However, components are assumed to fail, and systems that do not fail have to be built using fallible components. Although the two approaches seem almost opposite, attacks and intrusions can be considered to be faults. The problem of tolerance of these kinds of faults has been receiving much attention in recent years, and gained a new momentum under the designation of intrusion tolerance. This thesis appears in the context of research on intrusion tolerance in distributed systems. One of the problems with this approach, studied in the thesis, is the design of systems that are simultaneously efficient and secure, given the difficulty of making assumptions about the failure modes caused by the attacker. The thesis is based on an architectural-hybrid fault model. This model assumes that most of the system can fail arbitrarily, even maliciously, with the exception of a few components that are by construction secure and real-time. The component studied in depth in the thesis is called Trusted Timely Computing Base (TTCB). The TTCB is a component with novel characteristics. In the first place, it is a distributed subsystem with its own secure network. Secondly, it is real-time, i.e., a synchronous subsystem capable of timely behavior. Thirdly, it can be implemented using only COTS components. The first part of the thesis presents the TTCB model, its implementation based on COTS components and its services functionality. Once the TTCB introduced, the thesis describes the design of several intrusiontolerant middleware components with the objective of validating the proposed ap- proach. Note that the TTCB is used architecturally as a runtime support component, not as a layer of the usual stack of protocols. This makes the architecture very versatile since the TTCB can be used indiscriminately by all or just some of the system layers. Then, the thesis presents a first protocol based on the hybrid fault model, a reliable multicast protocol. This protocol is efficient and tolerates any number of malicious processes, contrary to similar protocols in the literature that tolerate less than one third. A classical problem in distributed systems consensus is used to show another way of using the TTCB to support intrusion-tolerant protocols. The protocol is efficient in terms of message and time complexities. It also shows how the FLP impossibility result relates to systems based on the TTCB. Group communication is an important paradigm for the implementation of faulttolerant distributed systems. The final part of the thesis presents an intrusion-tolerant group communication system. The system includes a membership service and an atomic multicast primitive. This system has an arguably superior performance in relation to similar systems in the literature.