Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

Nuclear Magnetic Resonance Study of Hydrated Bentonite

Impedance spectroscopy and nuclear magnetic resonance (NMR) were used to investigate the mobility of water molecules located in the interlayer space of H(+) - exchanged bentonite clay. The conductivity obtained by ac measurements was 1.25 x 10(-4) S/cm at 298 K. Proton ((1)H) lineshapes and spin-lattice relaxation times were measured as a function of temperature over the temperature range 130-320 K. The NMR experiments exhibit the qualitative features associated with the proton motion, namely the presence of a (1)H NMR line narrowing and a well-defined spin-lattice relaxation rate maximum. The temperature dependence of the proton spin-lattice relaxation rates was analyzed with the spectral density function appropriate for proton dynamics in a two-dimensional system. The self-diffusion coefficient estimated from our NMR data, D similar to 2 x 10(-7) cm(2)/s at 300 K, is consistent with those reported for exchanged montmorillonite clay hydrates studied by NMR and quasi-elastic neutron scattering (QNS).

Random sums of exchangeable variables and actuarial applications

In this paper we study the accumulated claim in some fixed time period, skipping the classical assumption of mutual independence between the variables involved. Two basic models are considered: Model I assumes that any pair of claims are equally correlated which means that the corresponding square-integrable sequence is exchangeable one. Model 2 states that the correlations between the adjacent claims are the same. Recurrence and explicit expressions for the joint probability generating function are derived and the impact of the dependence parameter (correlation coefficient) in both models is examined. The Markov binomial distribution is obtained as a particular case under assumptions of Model 2. (C) 2007 Elsevier B.V. All rights reserved.

A New Approach to the Prediction of Partition Coefficients in Water/Organic Interfaces

In the present work, a new approach for the determination of the partition coefficient in different interfaces based on the density function theory is proposed. Our results for log P(ow) considering a n-octanol/water interface for a large super cell for acetone -0.30 (-0.24) and methane 0.95 (0.78) are comparable with the experimental data given in parenthesis. We believe that these differences are mainly related to the absence of van der Walls interactions and the limited number of molecules considered in the super cell. The numerical deviations are smaller than that observed for interpolation based tools. As the proposed model is parameter free, it is not limited to the n-octanol/water interface.

Brazil nut ingestion increased plasma selenium but had minimal effects on lipids, apolipoproteins, and high-density lipoprotein function in human subjects

The Brazil nut (Bertholletia excelsa) of the Amazon region is consumed worldwide. It is rich in both monounsaturated fatty acids and polyunsaturated fatty acids and is known for its high selenium content. This study tested the hypothesis whether the consumption of this nut could affect the plasma lipids and apolipoproteins and some functional properties of the antiatherogenic high-density lipoprotein (HDL). Fifteen normolipidemic subjects aged 27.3 +/- 3.9 years and with body mass index of 23.8 +/- 2.8 kg/m(2) consumed 45 g of Brazil nuts per day during a 15-day period. On days 0 and 15, blood was collected for biochemical analysis, determination of HDL particle size, paraoxonase 1 activity, and lipid transfer from a lipoprotein-like nanoparticle to the HDL fraction. Brazil nut ingestion did not alter HDL, low-density lipoprotein cholesterol, triacylglycerols, apolipoprotein A-1, or apolipoprotein B concentrations. HDL particle diameter and the activity of antioxidative paraoxonase 1, mostly found in the HDL fraction, Were also unaffected. Supplementation increased the reception of cholesteryl esters (P <.05) by the HDL yet did not alter the reception of phospholipids, free cholesterol, or triacylglycerols. As expected, plasma selenium was significantly increased. However, the consumption of Brazil nuts for short duration by normolipidemic subjects in comparable amounts to those tested for other nuts did not alter serum lipid profile. The only alteration in HDL function was the increase in cholesteryl ester transfer. This latter finding may be beneficial because it would improve the nonatherogenic reverse cholesterol transport pathway. (c) 2008 Elsevier Inc. All rights reserved.

Percolation in a network with long-range connections: Implications for cytoskeletal structure and function

Cell shape, signaling, and integrity depend on cytoskeletal organization. In this study we describe the cytoskeleton as a simple network of filamentary proteins (links) anchored by complex protein structures (nodes). The structure of this network is regulated by a distance-dependent probability of link formation as P = p/d(s), where p regulates the network density and s controls how fast the probability for link formation decays with node distance (d). It was previously shown that the regulation of the link lengths is crucial for the mechanical behavior of the cells. Here we examined the ability of the two-dimensional network to percolate (i.e. to have end-to-end connectivity), and found that the percolation threshold depends strongly on s. The system undergoes a transition around s = 2. The percolation threshold of networks with s < 2 decreases with increasing system size L, while the percolation threshold for networks with s > 2 converges to a finite value. We speculate that s < 2 may represent a condition in which cells can accommodate deformation while still preserving their mechanical integrity. Additionally, we measured the length distribution of F-actin filaments from publicly available images of a variety of cell types. In agreement with model predictions, cells originating from more deformable tissues show longer F-actin cytoskeletal filaments. (C) 2008 Elsevier B.V. All rights reserved.

Bayesian density estimation using Skew Student-t-Normal mixtures

We present a Bayesian approach for modeling heterogeneous data and estimate multimodal densities using mixtures of Skew Student-t-Normal distributions [Gomez, H.W., Venegas, O., Bolfarine, H., 2007. Skew-symmetric distributions generated by the distribution function of the normal distribution. Environmetrics 18, 395-407]. A stochastic representation that is useful for implementing a MCMC-type algorithm and results about existence of posterior moments are obtained. Marginal likelihood approximations are obtained, in order to compare mixture models with different number of component densities. Data sets concerning the Gross Domestic Product per capita (Human Development Report) and body mass index (National Health and Nutrition Examination Survey), previously studied in the related literature, are analyzed. (c) 2008 Elsevier B.V. All rights reserved.

Flow cytometry as a tool in the evaluation of blood leukocyte function in Chelonia mydas (Linnaeus, 1758) (Testudines, Cheloniidae)

Chelonia mydas is a sea turtle that feeds and nests on the Brazilian coast and a disease called fibropapillomatosis is a threat to this species. Because of this, it is extremely necessary to determine a methodology that would enable the analysis of blood leukocyte function in these sea turtles. In order to achieve this aim, blood samples were collected from C. mydas with or without fibropapillomas captured on the São Paulo north coast. Blood samples were placed in tubes containing sodium heparin and were transported under refrigeration to the laboratory in sterile RPMI 1640 cell culture medium. Leukocytes were separated by density gradient using Ficoll-PaqueTM Plus, Amershan Biociences®. The following stimuli were applied in the assessment of leukocyte function: Phorbol Miristate-Acetate (PMA) for oxidative burst activity evaluation and Zymosan A (Saccharomyces cerevisiae) Bio Particles®, Alexa Fluor® 594 conjugate for phagocytosis evaluation. Three cell populations were identified: heterophils, monocytes and lymphocytes. Monocytes were the cells responsible for phagocytosis and oxidative burst.

A NEW DIAGNOSTIC OF THE RADIAL DENSITY STRUCTURE OF Be DISKS

We analyze the intrinsic polarization of two classical Be stars in the process of losing their circumstellar disks via a Be to normal B star transition originally reported by Wisniewski et al. During each of five polarimetric outbursts which interrupt these disk-loss events, we find that the ratio of the polarization across the Balmer jump (BJ+/BJ-) versus the V-band polarization traces a distinct loop structure as a function of time. Since the polarization change across the Balmer jump is a tracer of the innermost disk density whereas the V-band polarization is a tracer of the total scattering mass of the disk, we suggest that such correlated loop structures in Balmer jump-V-band polarization diagrams (BJV diagrams) provide a unique diagnostic of the radial distribution of mass within Be disks. We use the three-dimensional Monte Carlo radiation transfer code HDUST to reproduce the observed clockwise loops simply by turning ""on/off"" the mass decretion from the disk. We speculate that counterclockwise loop structures we observe in BJV diagrams might be caused by the mass decretion rate changing between subsequent ""on/off"" sequences. Applying this new diagnostic to a larger sample of Be disk systems will provide insight into the time-dependent nature of each system's stellar decretion rate.

In situ delivery of bone marrow cells and mesenchymal stem cells improves cardiovascular function in hypertensive rats submitted to myocardial infarction

This work aimed to evaluate cardiac morphology/function and histological changes induced by bone marrow cells (BMCs) and cultured mesenchymal stem cells (MSCs) injected at the myocardium of spontaneously hypertensive rats (SHR) submitted to surgical coronary occlusion. Female syngeneic adult SHR, submitted (MI) or not (C) to coronary occlusion, were treated 24 h later with in situ injections of normal medium (NM), or with MSCs (MSC) or BMCs (BM) from male rats. The animals were evaluated after 1 and 30 days by echocardiography, histology of heart sections and PCR for the Y chromosome. Improved ejection fraction and reduced left ventricle infarcted area were observed in MSC rats as compared to the other experimental groups. Treated groups had significantly reduced lesion tissue score, increased capillary density and normal (not-atrophied) myocytes, as compared to NM and C groups. The survival rate was higher in C, NM and MSC groups as compared to MI and BM groups. In situ injection of both MSCs and BMCs resulted in improved cardiac morphology, in a more physiological model of myocardial infarction represented by surgical coronary occlusion of spontaneously hypertensive rats. Only treatment with MSCs, however, ameliorated left ventricle dysfunction, suggesting a positive role of these cells in heart remodeling in infarcted hypertensive subjects.

Cold Nuclear Matter Effects on J/psi Yields as a Function of Rapidity and Nuclear Geometry in d plus A Collisions at root S(NN)=200 GeV

We present measurements of J/psi yields in d + Au collisions at root S(NN) = 200 GeV recorded by the PHENIX experiment and compare them with yields in p + p collisions at the same energy per nucleon-nucleon collision. The measurements cover a large kinematic range in J/psi rapidity (-2.2 < y < 2.4) with high statistical precision and are compared with two theoretical models: one with nuclear shadowing combined with final state breakup and one with coherent gluon saturation effects. In order to remove model dependent systematic uncertainties we also compare the data to a simple geometric model. The forward rapidity data are inconsistent with nuclear modifications that are linear or exponential in the density weighted longitudinal thickness, such as those from the final state breakup of the bound state.

Alternative fidelity measure between quantum states

We propose an alternative fidelity measure (namely, a measure of the degree of similarity) between quantum states and benchmark it against a number of properties of the standard Uhlmann-Jozsa fidelity. This measure is a simple function of the linear entropy and the Hilbert-Schmidt inner product between the given states and is thus, in comparison, not as computationally demanding. It also features several remarkable properties such as being jointly concave and satisfying all of Jozsa's axioms. The trade-off, however, is that it is supermultiplicative and does not behave monotonically under quantum operations. In addition, metrics for the space of density matrices are identified and the joint concavity of the Uhlmann-Jozsa fidelity for qubit states is established.

Density functional theory investigation of 3d, 4d, and 5d 13-atom metal clusters

The knowledge of the atomic structure of clusters composed by few atoms is a basic prerequisite to obtain insights into the mechanisms that determine their chemical and physical properties as a function of diameter, shape, surface termination, as well as to understand the mechanism of bulk formation. Due to the wide use of metal systems in our modern life, the accurate determination of the properties of 3d, 4d, and 5d metal clusters poses a huge problem for nanoscience. In this work, we report a density functional theory study of the atomic structure, binding energies, effective coordination numbers, average bond lengths, and magnetic properties of the 3d, 4d, and 5d metal (30 elements) clusters containing 13 atoms, M(13). First, a set of lowest-energy local minimum structures (as supported by vibrational analysis) were obtained by combining high-temperature first- principles molecular-dynamics simulation, structure crossover, and the selection of five well-known M(13) structures. Several new lower energy configurations were identified, e. g., Pd(13), W(13), Pt(13), etc., and previous known structures were confirmed by our calculations. Furthermore, the following trends were identified: (i) compact icosahedral-like forms at the beginning of each metal series, more opened structures such as hexagonal bilayerlike and double simple-cubic layers at the middle of each metal series, and structures with an increasing effective coordination number occur for large d states occupation. (ii) For Au(13), we found that spin-orbit coupling favors the three-dimensional (3D) structures, i.e., a 3D structure is about 0.10 eV lower in energy than the lowest energy known two-dimensional configuration. (iii) The magnetic exchange interactions play an important role for particular systems such as Fe, Cr, and Mn. (iv) The analysis of the binding energy and average bond lengths show a paraboliclike shape as a function of the occupation of the d states and hence, most of the properties can be explained by the chemistry picture of occupation of the bonding and antibonding states.

A generalized modified Weibull distribution for lifetime modeling

A four parameter generalization of the Weibull distribution capable of modeling a bathtub-shaped hazard rate function is defined and studied. The beauty and importance of this distribution lies in its ability to model monotone as well as non-monotone failure rates, which are quite common in lifetime problems and reliability. The new distribution has a number of well-known lifetime special sub-models, such as the Weibull, extreme value, exponentiated Weibull, generalized Rayleigh and modified Weibull distributions, among others. We derive two infinite sum representations for its moments. The density of the order statistics is obtained. The method of maximum likelihood is used for estimating the model parameters. Also, the observed information matrix is obtained. Two applications are presented to illustrate the proposed distribution. (C) 2008 Elsevier B.V. All rights reserved.

The exponentiated generalized gamma distribution with application to lifetime data

A four-parameter extension of the generalized gamma distribution capable of modelling a bathtub-shaped hazard rate function is defined and studied. The beauty and importance of this distribution lies in its ability to model monotone and non-monotone failure rate functions, which are quite common in lifetime data analysis and reliability. The new distribution has a number of well-known lifetime special sub-models, such as the exponentiated Weibull, exponentiated generalized half-normal, exponentiated gamma and generalized Rayleigh, among others. We derive two infinite sum representations for its moments. We calculate the density of the order statistics and two expansions for their moments. The method of maximum likelihood is used for estimating the model parameters and the observed information matrix is obtained. Finally, a real data set from the medical area is analysed.