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.

Aggregation susceptibility on phototransformation of hematoporphyrin derivatives

Photosensitizers used in PDT suffer degradation by light. In this work, photobleaching of Photogem((R)) (PG), Photofrin((R)) (PF), and Photosan((R)) (PS), hematoporphyrin derivatives, were induced by light in the presence or absence of 1% Triton X-100. The degradation efficiency in the absence of 1% Triton X-100 follows the sequence: Pf > PF > Ps, which means that PF presented a greater degradation than PF and PS. Forever, in the presence of the surfactant the degradation efficiency is different: PF congruent to PS > PF. Besides aggregation susceptibility, studies in cell culture (tumor and non tumor cells) and in animals (depth of necrosis) were performed, trying to correlate the stability of these photosensitizers with their photodynamic effect. The results suggest that PF presents higher light induced photo-cytotoxicity than PF and PS for both types of cells. For the depth of necrosis studies, more aggregated photosensitizer showed a longer time to accumulate in liver (30 min for PG, 120 h for PF and 720 h for PS). The, to establish an ideal dosimetry in PDT, one must consider the intrinsic physical chemistry characteristics of the photosensitizer as well as their ability to undergo photobleaching.

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.

Antioxidant and antimicrobial properties of 2-(4,5-dihydro-1H-pyrazol-1-yl)-pyrimidine and 1-carboxamidino-1H-pyrazole derivatives

Five previously synthesized 4-trifluoromethyl-2-(5-aryl-3-styryl-1H-pyrazol-1yl)-pyrimidines and six 5-aryl-3-styryl-1-carboxamidino-1H-pyrazole derivatives were screened for their antioxidant proprieties. The antioxidant activities were evaluated by using the DPPH and the HRP/luminol/H2O2 chemiluminescence assay systems and for their antimicrobial activity (MIC). The results were good for those series in some concentration in comparison with the standards.

Synthesis and total H-1- and C-13-NMR assignment of cephem derivatives for use in ADEPT approaches

We report the synthesis and total NMR characterization of 5-thia-1-azabicyclo[4.2.0]oct-2-ene-2-carboxylic acid-3-[[[(4''-nitrophenoxy)carbonyl]oxy]-methyl]-8-oxo-7[(2-thienyloxoacetyl)amino]-diphenylmethyl ester-5-dioxide (5), a new cephalosporin derivative. This compound can be used as the carrier of a wide range of drugs containing an amino group. The preparation of the intermediate product, 5-thia-1-azabicyclo[4.2.0]oct-2-ene-2-carboxylic acid-3-[methyl-4-(6-methoxyquinolin-8-ylamino) pentylcarbamate]-8-oxo-7-[(2-thienyloxoacetyl)amino]-diphenylmethyl ester-5-dioxide (6), as well as the synthesis of the antimalarial primaquine prodrug 5-thia-1-azabicyclo[4.2.0]oct-2-ene-2-carboxylic acid-3-[methyl-4-(6-methoxyquinolin-8-ylamino) pentylcarbamate]-8-oxo-7-[(2-thienyloxoacetyl)amino]-5-dioxide (7) are also described, together with their total H-1- and C-13-NMR assignments.

Antileishmanial Activity of the Hydroalcoholic Extract of Miconia langsdorffii, Isolated Compounds, and Semi-Synthetic Derivatives

The in vitro activity of the crude hydroalcoholic extract of the aerial parts of Miconia langsdorffii Cogn. was evaluated against the promastigote forms of L. amazonensis, the causative agent of cutaneous leishmaniasis in humans. The bioassay-guided fractionation of this extract led to identification of the triterpenes ursolic acid and oleanolic acid as the major compounds in the fraction that displayed the highest activity. Several ursolic acid semi-synthetic derivatives were prepared, to find out whether more active compounds could be obtained. Among these ursolic acid-derived substances, the C-28 methyl ester derivative exhibited the best antileishmanial activity.

Experimental and theoretical study of two-photon absorption in nitrofuran derivatives: Promising compounds for photochemotherapy

We report experimental and theoretical studies of the two-photon absorption spectrum of two nitrofuran derivatives: nitrofurantoine, (1-(5-nitro-2-furfurilideneamine)-hidantoine) and quinifuryl, 2-(5`-nitro-2`-furanyl) ethenyl-4-{N-[4`-(N,N-diethylamino)-1`-methylbutyl]carbamoyl} quinoline. Both molecules are representative of a family of 5-nitrofuran-ethenyl-quinoline drugs that have been demonstrated to display high toxicity to various species of transformed cells in the dark. We determine the two-photon absorption cross-section for both compounds, from 560 to 880 nm, which present peak values of 64 GM for quinifuryl and 20 GM for nitrofurantoine (1 GM = 1 x 10(-50) cm(4).s.photon(-1)). Besides, theoretical calculations employing the linear and quadratic response functions were carried out at the density functional theory level to aid the interpretations of the experimental results. The theoretical results yielded oscillator strengths, two-photon transition probabilities, and transition energies, which are in good agreement with the experimental data. A higher number of allowed electronic transitions was identified for quinifuryl in comparison to nitrofurantoine by the theoretical calculations. Due to the planar structure of both compounds, the differences in the two-photon absorption cross-section values are a consequence of their distinct conjugation lengths. (c) 2011 American Institute of Physics. [doi:10.1063/1.3514911]

Sulfonyl-hydrazones of cyclic imides derivatives as potent inhibitors of the Mycobacterium tuberculosis protein tyrosine phosphatase B (PtpB)

Searching lead compounds for new antituberculosis drugs, the activity of synthetic sulfonamides and sulfonyl-hydrazones were assayed for their potential inhibitory activity towards a protein tyrosine phosphatase from Mycobacterium tuberculosis - PtpB. Four sulfonyl-hydrazones N-phenylmaleimide derivatives were active (compounds 14, 15, 19 and 21), and the inhibition of PtpB was found to be competitive with respect to the substrate p-nitrophenyl phosphate. Structure-based molecular docking simulations were performed and indicated that the new inhibitor candidates showed similar binding modes, filling the hydrophobic pocket of the protein by the establishment of van der Waals contacts, thereby contributing significantly to the complex stability.

Intraspecific variability of dihydrochalcone, chromenes and benzoic acid derivatives in leaves of Piper aduncum L. (Piperaceae)

Chemical analysis carried out in leaves of 18 specimens of Piper aduncum L. (Piperaceae) occurring at Ripasa Reserve, Araraquara, SP, Brazil indicated two distinct populations when investigated over a period of 14 months (January 2000 to February 2001) and then submitted to cluster analysis. The two groups were characterized by accumulation of prenylated benzoic acids, chromenes and dihydrochalcone, respectively. A total of seven compounds were identified by HPLC analysis and compared with standards including two prenylated benzoic acid [aduncumene (1) and 3-(3'-7'-dimethyl-2'-6'-octadienyl)-4-methoxy-benzoic acid (5)], four chromenes [methyl 2,2-dimethyl-8-(3'-methyl-2'-butenyl)-2H-1-chromene-6-carboxylate (4), methyl 2,2-dimethyl-2H-1-chromene-6-carboxylate (2b), methyl 8-hydroxy-2,2-dimethyl-2H-1-chromene-6-carboxylate (3) and 2,2-dimethyl-2H-1-chromene-6-carboxylic acid (2a)] and one dihydrochalcone [2',6'-dihydroxy-4'-methoxy-dihydrochalcone (6)].

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.

Investigation of a method for predicting AUV derivatives

The paper addresses the problem of autonomous underwater vehicle (AUV) modelling and parameter estimation as a means to predict the dynamic performance of underwater vehicles and thus provide solid guidelines during their design phase. The use of analytical and semi-empirical (ASE) methods to estimate the hydrodynamic derivatives of a popular class of AUVs is discussed. A comparison is done with the results obtained by using computational fluid dynamics to evaluate the bare hull lift force distribution around a fully submerged body. An application is made to the estimation of the hydrodynamic derivatives of the MAYA AUV, an autonomous underwater vehicle developed under a joint Indian-Portuguese project. The estimates obtained were used to predict the turning diameter of the vehicle during sea trials. (C) 2008 Elsevier Ltd. 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.

Chlorophyll Degradation and Formation of Colorless Chlorophyll Derivatives during Soybean (Glycine max L. Merill) Seed Maturation

The natural chlorophyll degradation results in noncolored chlorophyll catabolites (NCCs), but there are controversies if these are the final products. The formation and degradation of NCCs during soybean seed (Glycine max L. Merrill) maturation and two drying temperatures were investigated. Soybean was harvested at six maturation stages. The effect of postharvest drying at 40 and 60 degrees C on the NCC formation was analyzed by high-performance liquid chromatography (HPLC), and results were expressed as areas under the curve. All samples contained fractions with an absorption maximum at 320 nm, typical for NCC. The amounts of NCC increased until 114 days after planting and were significantly lower in advanced maturation stages. These results indicate that the NCC in soybeans might not be the final products of chlorophyll degradation. Their reduction in advanced maturation stages may be due to further metabolization. Heating soybeans at 40 and 60 degrees C promoted unnatural chlorophyll degradation and impaired the formation of NCC.