An opinion dynamics model for the diffusion of innovations

We study the dynamics of the adoption of new products by agents with continuous opinions and discrete actions (CODA). The model is such that the refusal in adopting a new idea or product is increasingly weighted by neighbor agents as evidence against the product. Under these rules, we study the distribution of adoption times and the final proportion of adopters in the population. We compare the cases where initial adopters are clustered to the case where they are randomly scattered around the social network and investigate small world effects on the final proportion of adopters. The model predicts a fat tailed distribution for late adopters which is verified by empirical data. (C) 2009 Elsevier B.V. All rights reserved.

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.

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.

Diagnosis of Organizational Soft Problems in a Peruvian Financial Institution by Systemic Thinking

Managing financial institutions in an underdeveloped economic context has become a real challenge nowadays. In order to reach the organization`s planned goals, they have to deal with structural, behavioral and informational problems. From the systemic point of view, this situation gets even worse when the company does not present organizational boundaries and a cohesive identification for their stakeholders. Thus, European countries have some special financial lines in order to help the development of micro credit in Latin communities in an attempt to help the local economy. However, institutions like Caixa dos Andes in Peru present management problems when dealing with this complexity. Based on this, how can the systemic eye help in the diagnosis of soft problems of a Peruvian financial company? This study aims to diagnose soft problems of a Peruvian financial company based on soft variables like identity, communication and autonomy and also intends to identify possible ways to redesign its basic framework. The (VSM--Viable System Model) method from Beer (1967), applied in this diagnostic study, was used in a practical way as a management tool for organizations` analysis and planning. By describing the VSM`s five systems, the creation of a systemic vision or a total vision is possible, showing the organization`s complexity from the inside. Some company`s soft problems like double control, inefficient use of physical and human resources, low information flows, slowness, etc. The VSM presented an organizational diagnosis indicating effective solutions that do integrate its five systems.

Financial leverage and tangibility of assets of Brazilian companies of agribusiness in the post-real plan period

This paper aims to study the relationship between the debt level and the asset structure of Brazilian companies of the agribusiness sector, since it is considered a current and relevant discussion: to evaluate the mechanisms for fund-raising and guarantees. The methodology of Granger`s Causality test and Autoregressive Vectors was used to conduct a comparative analysis, applied to a financial database of companies with open capital of Brazilian agribusiness, in particular the agricultural sector and Fisheries and Food and Beverages in a period of 10 years (1997-2007) from quarterly series available in the database of Economatica(R). The results demonstrated that changes in leverage generate variations in the tangibility of the companies, a fact that can be explained by the large search of funding secured by fiduciary transfer of fixed assets, which facilitates access to credit by business of the Agribusiness sector, increasing the payment time and lowering interest rates.

The Relationship between Intraocular Pressure Reduction and Rates of Progressive Visual Field Loss in Eyes with Optic Disc Hemorrhage

Purpose: To evaluate rates of visual field progression in eyes with optic disc hemorrhages and the effect of intraocular pressure (IOP) reduction on these rates. Design: Observational cohort study. Participants: The study included 510 eyes of 348 patients with glaucoma who were recruited from the Diagnostic Innovations in Glaucoma Study (DIGS) and followed for an average of 8.2 years. Methods: Eyes were followed annually with clinical examination, standard automated perimetry visual fields, and optic disc stereophotographs. The presence of optic disc hemorrhages was determined on the basis of masked evaluation of optic disc stereophotographs. Evaluation of rates of visual field change during follow-up was performed using the visual field index (VFI). Main Outcome Measures: The evaluation of the effect of optic disc hemorrhages on rates of visual field progression was performed using random coefficient models. Estimates of rates of change for individual eyes were obtained by best linear unbiased prediction (BLUP). Results: During follow-up, 97 (19%) of the eyes had at least 1 episode of disc hemorrhage. The overall rate of VFI change in eyes with hemorrhages was significantly faster than in eyes without hemorrhages (-0.88%/year vs. -0.38%/year, respectively, P < 0.001). The difference in rates of visual field loss pre- and post-hemorrhage was significantly related to the reduction of IOP in the post-hemorrhage period compared with the pre-hemorrhage period (r = -0.61; P < 0.001). Each 1 mmHg of IOP reduction was associated with a difference of 0.31%/year in the rate of VFI change. Conclusions: There was a beneficial effect of treatment in slowing rates of progressive visual field loss in eyes with optic disc hemorrhage. Further research should elucidate the reasons why some patients with hemorrhages respond well to IOP reduction and others seem to continue to progress despite a significant reduction in IOP levels. Financial Disclosure(s): Proprietary or commercial disclosure may be found after the references. Ophthalmology 2010; 117: 2061-2066 (C) 2010 by the American Academy of Ophthalmology.

Agreement for Detecting Glaucoma Progression with the GDx Guided Progression Analysis, Automated Perimetry, and Optic Disc Photography

Purpose: To evaluate the ability of the GDx Variable Corneal Compensation (VCC) Guided Progression Analysis (GPA) software for detecting glaucomatous progression. Design: Observational cohort study. Participants: The study included 453 eyes from 252 individuals followed for an average of 46 +/- 14 months as part of the Diagnostic Innovations in Glaucoma Study. At baseline, 29% of the eyes were classified as glaucomatous, 67% of the eyes were classified as suspects, and 5% of the eyes were classified as healthy. Methods: Images were obtained annually with the GDx VCC and analyzed for progression using the Fast Mode of the GDx GPA software. Progression using conventional methods was determined by the GPA software for standard automated achromatic perimetry (SAP) and by masked assessment of optic disc stereophotographs by expert graders. Main Outcome Measures: Sensitivity, specificity, and likelihood ratios (LRs) for detection of glaucoma progression using the GDx GPA were calculated with SAP and optic disc stereophotographs used as reference standards. Agreement among the different methods was reported using the AC(1) coefficient. Results: Thirty-four of the 431 glaucoma and glaucoma suspect eyes (8%) showed progression by SAP or optic disc stereophotographs. The GDx GPA detected 17 of these eyes for a sensitivity of 50%. Fourteen eyes showed progression only by the GDx GPA with a specificity of 96%. Positive and negative LRs were 12.5 and 0.5, respectively. None of the healthy eyes showed progression by the GDx GPA, with a specificity of 100% in this group. Inter-method agreement (AC1 coefficient and 95% confidence intervals) for non-progressing and progressing eyes was 0.96 (0.94-0.97) and 0.44 (0.28-0.61), respectively. Conclusions: The GDx GPA detected glaucoma progression in a significant number of cases showing progression by conventional methods, with high specificity and high positive LRs. Estimates of the accuracy for detecting progression suggest that the GDx GPA could be used to complement clinical evaluation in the detection of longitudinal change in glaucoma. Financial Disclosure(s): Proprietary or commercial disclosure may be found after the references. Ophthalmology 2010; 117: 462-470 (C) 2010 by the American Academy of Ophthalmology.

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.