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.

Marcos regulatórios estaduais em saneamento básico no Brasil

Este artigo analisa os marcos regulatórios estaduais para o setor de saneamento básico. A pesquisa documental identificou a presença de leis estaduais em apenas cinco estados (São Paulo, Minas Gerais, Rio Grande do Sul, Rio Grande do Norte e Goiás). Os marcos legais estaduais são descritos quanto a um conjunto de atributos ou funções selecionadas: universalização, instrumentos financeiros, regulação e controle social. A principal conclusão é que o desenvolvimento dessas políticas, assim como sua regulamentação, encontra-se em estágio incipiente e poderá receber impulso com aprovação de nova lei federal de dezembro de 2006.

Influence of Hero Apical instruments on cleaning ovoid-shaped root canals

The cleaning capacity of Hero 642 nickel-titanium files, complemented by the Hero Apical instruments in flattened roots, was determined by histological analysis, considering the area of action of the instruments on the coronal walls and the presence of remaining debris. Twenty-four single-canal, human mandibular incisors were divided into three groups and prepared as follows: GI, instrumented with Hero 642 NiTi files 30/.06, 25/.06, 20/.06, 25/.06, and 30/.06; GII, instrumented as GI followed by Hero Apical size 30/.06; GIII, instrumented as GI followed by Hero Apical sizes 30/.06 and 30/.08, then returning to 30/.06 with pendulum movements. The apical thirds were prepared for histological processing, analyzed at 40× magnification and the images were examined morphometrically. Statistical analysis showed that GIII presented the best results for removing debris (5.22% ± 4.13), with more contact between the instruments and the root canal walls (19.31% ± 0.15). This differed statistically from GI (14.04% ± 4.96 debris removal, with 42.96% ± 7.11 instrument contact) and GII (12.62% ± 5.76 debris removal, with 35.01% ± 0.15 instrument contact). Root canal preparation with Hero 642, complemented by Hero Apical instruments (30/.06 and 30/.08, then re-instrumented with Hero Apical 30/.06 using pendulum movements), was more efficient for debris removal and allowed more contact of the instruments with the root canal walls. GII presented the worst results.

Higher-derivative supersymmetric gauge theory

We study the one-loop low-energy effective action for the higher-derivative superfield gauge theory coupled to chiral matter.

Potent Cardioprotective Effect of the 4-Anilinoquinazoline Derivative PD153035: Involvement of Mitochondrial K(ATP) Channel Activation

Background: The aim of the present study was to evaluate the protective effects of the 4-anilinoquinazoline derivative PD153035 on cardiac ischemia/reperfusion and mitochondrial function. Methodology/Principal Findings: Perfused rat hearts and cardiac HL-1 cells were used to determine cardioprotective effects of PD153035. Isolated rat heart mitochondria were studied to uncover mechanisms of cardioprotection. Nanomolar doses of PD153035 strongly protect against heart and cardiomyocyte damage induced by ischemia/reperfusion and cyanide/aglycemia. PD153035 did not alter oxidative phosphorylation, nor directly prevent Ca(2+) induced mitochondrial membrane permeability transition. The protective effect of PD153035 on HL-1 cells was also independent of AKT phosphorylation state. Interestingly, PD153035 activated K(+) transport in isolated mitochondria, in a manner prevented by ATP and 5-hydroxydecanoate, inhibitors of mitochondrial ATP-sensitive K(+) channels (mitoK(ATP)). 5-Hydroxydecanoate also inhibited the cardioprotective effect of PD153035 in cardiac HL-1 cells, demonstrating that this protection is dependent on mitoK(ATP) activation. Conclusions/Significance: We conclude that PD153035 is a potent cardioprotective compound and acts in a mechanism involving mitoK(ATP) activation.

Financial distress, financial constraint and investment decision: Evidence from Brazil

This paper analyses the presence of financial constraint in the investment decisions of 367 Brazilian firms from 1997 to 2004, using a Bayesian econometric model with group-varying parameters. The motivation for this paper is the use of clustering techniques to group firms in a totally endogenous form. In order to classify the firms we used a hybrid clustering method, that is, hierarchical and non-hierarchical clustering techniques jointly. To estimate the parameters a Bayesian approach was considered. Prior distributions were assumed for the parameters, classifying the model in random or fixed effects. Ordinate predictive density criterion was used to select the model providing a better prediction. We tested thirty models and the better prediction considers the presence of 2 groups in the sample, assuming the fixed effect model with a Student t distribution with 20 degrees of freedom for the error. The results indicate robustness in the identification of financial constraint when the firms are classified by the clustering techniques. (C) 2010 Elsevier B.V. All rights reserved.

Sampled Control for Mean-Variance Hedging in a Jump Diffusion Financial Market

In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.

Using economic instruments to address emissions from air transport in the European Union

Air transport has become a vital component of the global economy. However, greenhouse-gas emissions from this sector have a significant impact on global climate, being responsible for over 3.5% of all anthropogenic radiative forcing. Also, the accrued visibility of aircraft emissions greatly affects the public image of the industry. In this context, incentive-based regulations, in the form of price or quantity controls, can be envisaged as alternatives to mitigate these emissions. The use of environmental charges in air transport, and the inclusion of the sector in the European Union Emissions Trading Scheme (EU ETS), are considered under a range of scenarios. The impacts of these measures on demand are estimated, and results suggest that they are likely to be minimal-mainly due to the high willingness to pay for air transport. In particular, in the EU ETS scenario currently favoured by the EU, demand reductions are less than 2%. This may not be true in the longer run, for short trips, or if future caps become more stringent. Furthermore, given current estimates of the social Cost Of CO2 as well as typical EU ETS prices, supply-side abatement would be too costly to be encouraged by these policies in the short term. The magnitude of aviation CO2 emissions in the EU is estimated, both in physical and monetary terms; the results are consistent with Eurocontrol estimates and, for the EU-25, the total social cost of these emissions represents only 0.03% of the region`s GDP. It is concluded that the use of multisector policies, such as the EU ETS, is unsuitable for curbing emissions from air transport, and that stringent emission charges or an isolated ETS would be better instruments. However, the inclusion of aviation in the EU ETS has advantages under target-oriented post-2012 scenarios, such as policy-costs dilution, certainty in reductions, and flexibility in abatement allocation. This solution is also attractive to airlines, as it would improve their public image but require virtually no reduction of their own emissions, as they would be fully capable of passing on policy costs to their customers.

In Vitro Sun Protection Factor Evaluation of Sunscreens Containing Rutin and its Derivative

This research aimed at determining spectrophotometrically (290 to 320nm) the in vitro Sun Protection Factor (SPF) of sunscreens developed with rutin (R) or succinate rutin (SR), in association or not with UVB filter. Formulations were developed based on phosphate-base O/W emulsions, with (B) or not (A) the presence of polyacrylamide/C13-14 isoparaffin/laureth-7 (PIL), in accordance with the following associations: (a) control; (b) 1.0 % SR; (c) 0.1 % R; (d) 7.5 % ethylhexyl methoxycinnamate (EHMC); (e) 7.5 % EHMC + 0.1 % RS; (0 7.5 % EHMC + 0.1 % R. It was verified a statistical significative elevation of the SPF from 13.93 +/- 0.02 (Af) to 16.63 +/- 0.27 (Bf) and also in relation to 15.53 +/- 0.14 (Bd). According to the results, the EHMC had distinct behavior depending on the presence of bioactive substance and viscosity agent, thus, rutin obtained better profile as a SPF booster in these experimental conditions with the presence of PIL.

New Rapid Derivative Spectrophotometric and Chromatographic Methods for Assay of Loratadine in Tablets and Syrups

New rapid first-derivative spectrophotometric (UVDS) and a stability-indicating high performance liquid chromatographic (HPLC) methods were developed, validated and successfully applied in the analysis of loratadine (LT) in tablets and syrups. In the UVDS method, 0.1 M HCl was used as solvent. The measurements were made at 312.4 nm in the first order derivative spectra. The HPLC method was carried out on a RP-18 column with a mobile phase composed of methanol-water-tetrahydrofuran (50:30:20, v/v/v). UV detection was made at 247 nm. For HPLC methods the total analysis time was <3min, adequate for routine quality control of tablets and syrups containing loratadine.

UV-Derivative Spectrophotometric and Stability-Indicating High-Performance Liquid Chromatographic Methods for Determination of Simvastatin in Tablets

A stability-indicating high-performance liquid chromatographic (HPLC) and a second-order derivative spectrophotometric (UVDS) analytical methods were validated and compared for determination of simvastatin in tablets. The HPLC method was performed with isocratic elution using a C18 column and a mobile phase composed of methanol:acetonitrile:water (60:20:20, v/v/v) at a flow rate of 1.0 ml/min. The detection was made at 239 nm. In UVDS method, methanol and water were used in first dilution and distilled water was used in consecutive dilutions and as background. The second-order derivative signal measurement was taken at 255 nm. Analytical curves showed correlation coefficients > 0.999 for both methods. The quantitation limits (QL) were 2.41 mu g/ml for HPLC and 0.45 mu g/ml for UVDS, respectively. Intra and inter-day relative standard deviations were < 2.0 %. Statistical analysis with t- and F-tests are not exceeding their critical values demonstrating that there is no significant difference between the two methods at 95 % confidence level.

Development and validation of high performance liquid chromatographic and UV-derivative spectrophotometric methods for the determination of sotalol hydrochloride in tablets

High performance liquid chromatographic (HPLC) and UV derivative spectrophotometric (UVDS) methods were developed and validated for the quantitative determination of sotalol hydrochloride in tablets. The HPLC method was performed on a C18 column with fluorescence detection. The excitation and emission wavelengths were 235 and 310nm, respectively. The mobile phase was composed of acetonitrile-water containing 0.1% trietylamine (7:93v/v) and pH adjusted to 4.6 with formic acid. The UVDS method was performed taking a signal at 239.1nm in the first derivative. The correlation coefficients (r) obtained were 0.9998 and 0.9997 for HPLC and UVDS methods, respectively. The proposed methods are simple and adaptable to routine analysis.

A stabilized demethoxyviridin derivative inhibits PI3 kinase

The viridins like demethoxyviridin (Dmv) and wortmannin (Wm) are nanomolar inhibitors of the PI3 kinases, a family of enzymes that play key roles in a host of regulatory processes. Central to the use of these compounds to investigate the role of PI3 kinase in biological systems, or as scaffolds for drug development, are the interrelated issues of stability, chemical reactivity, and bioactivity as inhibitors of PI3 kinase. We found that Dmv was an even more potent inhibitor of PI3 kinase than Wm. However, Dmv was notably less stable than Wm in PBS, with a half-life of 26 min versus Wm`s half-life of 3470 min. Dmv, like Wm, disappeared in culture media with a half-life of less than 1 min. To overcome Dmv`s instability, it was esterified at the C1 position, and then reacted with glycine at the C20 position. The resulting Dmv derivative, termed SA-DmvC20-Gly had a half-life of 218 min in PBS and 64 min in culture media. SA-DmvC20-Gly underwent an exchange reaction at the C20 position with N-acetyl lysine in a manner similar to a WmC20 derivative, WmC20-Proline. SA-DmvC20-Gly inhibited PI3 kinase with an IC(50) of 44 nM, compared to Wm`s IC(50) of 12 nM. These results indicate that the stability of Dmv can be manipulated by reactions at the C1 and C20 positions, while substantially maintaining its ability to inhibit PI3 kinase. Our results indicate it may be possible to obtain stabilized Dmv derivatives for use as PI3 kinase inhibitors in biological systems. (C) 2009 Elsevier Ltd. All rights reserved.

Multicollinearity and financial constraint in investment decisions: a Bayesian generalized ridge regression

This paper addresses the investment decisions considering the presence of financial constraints of 373 large Brazilian firms from 1997 to 2004, using panel data. A Bayesian econometric model was used considering ridge regression for multicollinearity problems among the variables in the model. Prior distributions are assumed for the parameters, classifying the model into random or fixed effects. We used a Bayesian approach to estimate the parameters, considering normal and Student t distributions for the error and assumed that the initial values for the lagged dependent variable are not fixed, but generated by a random process. The recursive predictive density criterion was used for model comparisons. Twenty models were tested and the results indicated that multicollinearity does influence the value of the estimated parameters. Controlling for capital intensity, financial constraints are found to be more important for capital-intensive firms, probably due to their lower profitability indexes, higher fixed costs and higher degree of property diversification.

The Controllership Relevance or Risk Management in non-Financial Companies: a study of risk managers` and controllers` perceptions

The purpose of this study is to analyze the Controllership relevance as support risk management in non-financial companies. Risk management is a widely discussed and disseminated subject amongst financial institutions. It is obvious that economic uncertainties and, consequently, prevention and. control must also exist in non-financial companies. To enable managers to take safe-decisions, it is essential for them to be able to count on instrumental support that provides timely and adequate information, to ensure lower levels of mistakes and risk exposure. However, discussion concerning risk management in non-financial companies is still in its early stages in Brazil. Considering this gap, this study aims at assessing how Controllership has been acting in? companies under the insight of risk and how it can contribute to risk management in non-financial companies. To achieve the proposed goal, a field research was. carried-out with non-financial companies that are located in the city Sao Paulo and listed in the Sao Paulo Stock Exchange (Bovespa). The research was carried out using questionnaires, which were sent do Risk Officers and Controllers of those companies with the purpose of evaluating their perception on the subject. The results,of the research allow us to conclude that Controllership offers support to risk management, through information that contributes to the mitigation of the risks in non-financial companies.