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.

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.

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.

Barriers faced by MSEs: evidence from Mozambique

Purpose - The purpose of this research is to shed light on the main barriers faced by Mozambican micro and small enterprises (MSEs) and their implications in respect to the support policies available for these enterprises. Design/methodology/approach - A literature review was made on those barriers faced by the MSEs and on the policies and governmental instruments of assistance available for MSEs. Then, a two-step research was conducted. The first phase consisted of collecting data from 21 MSEs in Mozambique, mainly by means of interviews where the main barriers faced by those interviewed were identified and hence, this led to the second phase, which was interviewing governmental/support entities in order to know what they had done to minimize those barriers which had been identified by the entrepreneurs. Findings - The results show that financial and competitive barriers are the main barriers faced by the analyzed MSEs. These barriers vary according to the field of activity of the enterprises. Originality/value - This study serves to enrich the state of the art on the subject of smaller enterprises in Africa and will specially. help to fill the lack of academic research available about Mozambique.

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.

Screening for Alzheimer`s Disease Among Illiterate Elderly: Accuracy Analysis for Multiple Instruments

One of the challenges in screening for dementia in developing countries is related to performance differences due to educational and cultural factors. This study evaluated the accuracy of single screening tests as well as combined protocols including the Mini-Mental State Examination (MMSE), Verbal Fluency animal category (VF), Clock Drawing test (CDT), and Pfeffer Functional Activities Questionnaire (PFAQ) to discriminate illiterate elderly with and without Alzheimer`s disease (AD) in a clinical sample. Cross-sectional study with 66 illiterate outpatients diagnosed with mild and moderate AD and 40 illiterate normal controls. Diagnosis of AD was based on NINCDS-ADRDA. All patients were submitted to a diagnostic protocol including a clinical interview based on the CAMDEX sections. ROC curves area analyses were carried out to compare sensitivity and specificity for the cognitive tests to differentiate the two groups (each test separately and in two by two combinations). Scores for all cognitive (MMSE, CDT, VF) and functional assessments (PFAQ) were significantly different between the two groups (p < 0.001). The best screening instruments for this sample of illiterate elderly were the MMSE and the PFAQ. The cut-off scores for the MMSE, VF, CDT, and PFAQ were 17.5, 7.5, 2.5, and 11.5, respectively. The most sensitive combination came from the MMSE and PFAQ (94.1%), and the best specificity was observed with the combination of the MMSE and CDT (89%). Illiterate patients can be successfully screened for AD using well-known screening instruments, especially in combined protocols.

Cyclic Fatigue Resistance of Rotary Nickel-Titanium Instruments Submitted to Nitrogen Ion Implantation

Introduction: The aim of this study was to assess cyclic fatigue resistance in rotary nickel-titanium instruments submitted to nitrogen ion implantation by using a custom-made cyclic fatigue testing apparatus. Methods: Thirty K3 files, size #25, taper 0.04, were divided into 3 experimental groups as follows: group A, 12 files exposed to nitrogen ion implantation at a dose of 2.5 x 10(17) ions/cm(2), accelerating voltage of 200 kV, currents of 1 mu A/cm(2), 130 degrees C temperature, and vacuum conditions of 10 x 10(-6) torr for 6 hours; group B, 12 nonimplanted files; and group C, 6 files submitted to thermal annealing for 6 hours at 130 degrees C. One extra file was used for process control. All files were submitted to a cyclic fatigue test that was performed with an apparatus that allowed the instruments to rotate freely, simulating rotary instrumentation of a curved canal (40-degree, 5-mm radius curve). An electric motor handpiece was used with a contra-angle of 16:1 at an operating speed of 300 rpm and a torque of 2 N-cm. Time to failure was recorded with a stopwatch in seconds and subsequently converted to number of cycles to fracture. Data were analyzed with the Student t test (P < .05). Results: Ion-implanted instruments reached significantly higher cycle numbers before fracture (mean, 510 cycles) when compared with annealed (mean, 428 cycles) and nonimplanted files (mean, 381 cycles). Conclusions: Our results showed that nitrogen ion implantation improves cyclic fatigue resistance in rotary nickel-titanium instruments. Industrial implementation. of this surface modification technique would produce rotary nickel-titanium instruments with a longer working life. (J Endod 2010;36:1183-1186)

Analysis of Apical Root Transportation Associated with Protaper Universal F3 and F4 Instruments by Using Digital Subtraction Radiography

Introduction: The aim of this study was to assess the occurrence of apical root transportation after the use of Pro Taper Universal rotary files sizes 3 (F3) and 4 (F4). Methods: Instruments were worked to the apex of the original canal, always by the same operator. Digital subtraction radiography images were produced in buccolingual and mesiodistal projections. A total of 25 radiographs were taken from root canals of human maxillary first molars with curvatures varying from 23-31 degrees. Quantitative data were analyzed by intraclass correlation coefficient and Wilcoxon nonparametric test (P = .05). Results: Buccolingual images revealed a significantly higher degree of apical transportation associated with F4 instruments when compared with F3 instruments in relation to the original canal (Wilcoxon test, P = .007). No significant difference was observed in mesiodistal images (P = .492). Conclusions: F3 instruments should be used with care in curved canals, and F4 instruments should be avoided in apical third preparation of curved canals. (J Endod 2010;36:1052-1055)

Bacterial Adhesion on Smooth and Rough Titanium Surfaces After Treatment With Different Instruments

Background: Newly formed biofilm after implant debridement may challenge the long-term stability of peri-implant therapy. This in vitro study aimed to assess the roughness and adherence of Streptococcus sanguinis after treatment of smooth and rough titanium surfaces with an erbium-doped: yttrium, aluminum, and garnet (Er:YAG) laser, metal and plastic curets, and an air-powder abrasive system. Methods: Forty titanium disks with smooth-machined surfaces and 40 with sand-blasted and acid-etched surfaces were divided into the following treatment groups: Er:YAG laser; plastic curet; metal curet, and air-powder abrasive system. The surface roughness (roughness average [Raj) before and after treatments was determined using a profilometer. S. sanguinis (American Type Culture Collection 10556) was grown on treated and untreated specimens, and the amounts of retained bacteria on the surfaces were measured by the culture method. Rough and smooth surfaces with and without a suspension of S. sanguinis were also analyzed using scanning electron microscopy (SEM). Results: For smooth surfaces, the roughest surfaces were produced by metal curets (repeated - measures analysis of variance [ANOVA] and Tukey test; P<0.05). The rough-surface profile was not altered by any of the treatments (repeated-measures ANOVA; P>0.05). Rough surfaces treated with metal curets and air-powder abrasion showed the lowest level of bacteria] adhesion (two-way ANOVA and Tukey test; P<0.05). SEM analysis revealed distinct surface profiles produced by all devices. Conclusions: Metal curets are not recommended for smooth titanium surface debridement due to severe texture alteration. Rough surfaces treated with a metal curet and the air-powder abrasive system were less susceptible to bacterial adhesion, probably due to texture modification and the presence of abrasive deposits. J Periodontol 2009;80: 1824-1832.