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.

Conservative force fields in non-Gaussian statistics

In this Letter, we determine the kappa-distribution function for a gas in the presence of an external field of force described by a potential U(r). In the case of a dilute gas, we show that the kappa-power law distribution including the potential energy factor term can rigorously be deduced in the framework of kinetic theory with basis on the Vlasov equation. Such a result is significant as a preliminary to the discussion on the role of long range interactions in the Kaniadakis thermostatistics and the underlying kinetic theory. (C) 2008 Elsevier B.V. All rights reserved.

Generation of self-similar Gaussian time series by means of the DWT and DWPT variance maps

Due to the several kinds of services that use the Internet and data networks infra-structures, the present networks are characterized by the diversity of types of traffic that have statistical properties as complex temporal correlation and non-gaussian distribution. The networks complex temporal correlation may be characterized by the Short Range Dependence (SRD) and the Long Range Dependence - (LRD). Models as the fGN (Fractional Gaussian Noise) may capture the LRD but not the SRD. This work presents two methods for traffic generation that synthesize approximate realizations of the self-similar fGN with SRD random process. The first one employs the IDWT (Inverse Discrete Wavelet Transform) and the second the IDWPT (Inverse Discrete Wavelet Packet Transform). It has been developed the variance map concept that allows to associate the LRD and SRD behaviors directly to the wavelet transform coefficients. The developed methods are extremely flexible and allow the generation of Gaussian time series with complex statistical behaviors.

Non-linear boundary element formulation applied to contact analysis using tangent operator

This work presents a non-linear boundary element formulation applied to analysis of contact problems. The boundary element method (BEM) is known as a robust and accurate numerical technique to handle this type of problem, because the contact among the solids occurs along their boundaries. The proposed non-linear formulation is based on the use of singular or hyper-singular integral equations by BEM, for multi-region contact. When the contact occurs between crack surfaces, the formulation adopted is the dual version of BEM, in which singular and hyper-singular integral equations are defined along the opposite sides of the contact boundaries. The structural non-linear behaviour on the contact is considered using Coulomb`s friction law. The non-linear formulation is based on the tangent operator in which one uses the derivate of the set of algebraic equations to construct the corrections for the non-linear process. This implicit formulation has shown accurate as the classical approach, however, it is faster to compute the solution. Examples of simple and multi-region contact problems are shown to illustrate the applicability of the proposed scheme. (C) 2011 Elsevier Ltd. All rights reserved.

The binding of synthetic triiodo L-thyronine analogs to human transthyretin: Molecular basis of cooperative and non-cooperative ligand recognition

Transthyretin (TTR) is a tetrameric beta-sheet-rich transporter protein directly involved in human amyloid diseases. Several classes of small molecules can bind to TTR delaying its amyloid fibril formation, thus being promising drug candidates to treat TTR amyloidoses. In the present study, we characterized the interactions of the synthetic triiodo L-thyronine analogs and thyroid hormone nuclear receptor TR beta-selecfive agonists GC-1 and GC-24 with the wild type and V30M variant of human transthyretin (TTR). To achieve this aim, we conducted in vitro TTR acid-mediated aggregation and isothermal titration calorimetry experiments and determined the TTR:GC-1 and TTR:GC-24 crystal structures. Our data indicate that both GC-1 and GC-24 bind to TTR in a non-cooperative manner and are good inhibitors of TTR aggregation, with dissociation constants for both hormone binding sites (HBS) in the low micromolar range. Analysis of the crystal structures of TTRwt:GC-1(24) complexes and their comparison with the TTRwt X-ray structure bound to its natural ligand thyroxine (T4) suggests, at the molecular level, the basis for the cooperative process displayed by T4 and the non-cooperative process provoked by both GC-1 and GC-24 during binding to TTR. (C) 2010 Elsevier Inc. All rights reserved.

Charged Kaon Interferometric Probes of Space-Time Evolution in Au plus Au Collisions at s(NN)=200 GeV

Bose-Einstein correlations of charged kaons are used to probe Au+Au collisions at s(NN)=200 GeV and are compared to charged pion probes, which have a larger hadronic scattering cross section. Three-dimensional Gaussian source radii are extracted, along with a one-dimensional kaon emission source function. The centrality dependences of the three Gaussian radii are well described by a single linear function of N(part)(1/3) with a zero intercept. Imaging analysis shows a deviation from a Gaussian tail at r greater than or similar to 10 fm, although the bulk emission at lower radius is well described by a Gaussian. The presence of a non-Gaussian tail in the kaon source reaffirms that the particle emission region in a heavy-ion collision is extended, and that similar measurements with pions are not solely due to the decay of long-lived resonances.

Real time optimization (RTO) with model predictive control (MPC)

This paper studies a simplified methodology to integrate the real time optimization (RTO) of a continuous system into the model predictive controller in the one layer strategy. The gradient of the economic objective function is included in the cost function of the controller. Optimal conditions of the process at steady state are searched through the use of a rigorous non-linear process model, while the trajectory to be followed is predicted with the use of a linear dynamic model, obtained through a plant step test. The main advantage of the proposed strategy is that the resulting control/optimization problem can still be solved with a quadratic programming routine at each sampling step. Simulation results show that the approach proposed may be comparable to the strategy that solves the full economic optimization problem inside the MPC controller where the resulting control problem becomes a non-linear programming problem with a much higher computer load. (C) 2010 Elsevier Ltd. All rights reserved.

Soil CO(2) emission estimated by different interpolation techniques

Soil CO(2) emissions are highly variable, both spatially and across time, with significant changes even during a one-day period. The objective of this study was to compare predictions of the diurnal soil CO(2) emissions in an agricultural field when estimated by ordinary kriging and sequential Gaussian simulation. The dataset consisted of 64 measurements taken in the morning and in the afternoon on bare soil in southern Brazil. The mean soil CO(2) emissions were significantly different between the morning (4.54 mu mol m(-2) s(-1)) and afternoon (6.24 mu mol m(-2) s(-1)) measurements. However, the spatial variability structures were similar, as the models were spherical and had close range values of 40.1 and 40.0 m for the morning and afternoon semivariograms. In both periods, the sequential Gaussian simulation maps were more efficient for the estimations of emission than ordinary kriging. We believe that sequential Gaussian simulation can improve estimations of soil CO(2) emissions in the field, as this property is usually highly non-Gaussian distributed.

CONSTRAINING THE NONEXTENSIVE MASS FUNCTION OF HALOS FROM BAO, CMB AND X-RAY DATA

Clusters of galaxies are the most impressive gravitationally-bound systems in the universe, and their abundance (the cluster mass function) is an important statistic to probe the matter density parameter (Omega(m)) and the amplitude of density fluctuations (sigma(8)). The cluster mass function is usually described in terms of the Press-Schecther (PS) formalism where the primordial density fluctuations are assumed to be a Gaussian random field. In previous works we have proposed a non-Gaussian analytical extension of the PS approach with basis on the q-power law distribution (PL) of the nonextensive kinetic theory. In this paper, by applying the PL distribution to fit the observational mass function data from X-ray highest flux-limited sample (HIFLUGCS), we find a strong degeneracy among the cosmic parameters, sigma(8), Omega(m) and the q parameter from the PL distribution. A joint analysis involving recent observations from baryon acoustic oscillation (BAO) peak and Cosmic Microwave Background (CMB) shift parameter is carried out in order to break these degeneracy and better constrain the physically relevant parameters. The present results suggest that the next generation of cluster surveys will be able to probe the quantities of cosmological interest (sigma(8), Omega(m)) and the underlying cluster physics quantified by the q-parameter.

An information-theoretic approach to statistical dependence: Copula information

We discuss the connection between information and copula theories by showing that a copula can be employed to decompose the information content of a multivariate distribution into marginal and dependence components, with the latter quantified by the mutual information. We define the information excess as a measure of deviation from a maximum-entropy distribution. The idea of marginal invariant dependence measures is also discussed and used to show that empirical linear correlation underestimates the amplitude of the actual correlation in the case of non-Gaussian marginals. The mutual information is shown to provide an upper bound for the asymptotic empirical log-likelihood of a copula. An analytical expression for the information excess of T-copulas is provided, allowing for simple model identification within this family. We illustrate the framework in a financial data set. Copyright (C) EPLA, 2009

Thermal behavior and decomposition kinetics of rifampicin polymorphs under isothermal and non-isothermal conditions

The thermal behavior of two polymorphic forms of rifampicin was studied by DSC and TG/DTG. The thermoanalytical results clearly showed the differences between the two crystalline forms. Polymorph I was the most thermally stable form, the DSC curve showed no fusion for this species and the thermal decomposition process occurred around 245 ºC. The DSC curve of polymorph II showed two consecutive events, an endothermic event (Tpeak = 193.9 ºC) and one exothermic event (Tpeak = 209.4 ºC), due to a melting process followed by recrystallization, which was attributed to the conversion of form II to form I. Isothermal and non-isothermal thermogravimetric methods were used to determine the kinetic parameters of the thermal decomposition process. For non-isothermal experiments, the activation energy (Ea) was derived from the plot of Log β vs 1/T, yielding values for polymorph form I and II of 154 and 123 kJ mol-1, respectively. In the isothermal experiments, the Ea was obtained from the plot of lnt vs 1/T at a constant conversion level. The mean values found for form I and form II were 137 and 144 kJ mol-1, respectively.

The non-equilibrium nature of culinary evolution

Food is an essential part of civilization, with a scope that ranges from the biological to the economic and cultural levels. Here, we study the statistics of ingredients and recipes taken from Brazilian, British, French and Medieval cookery books. We find universal distributions with scale invariant behaviour. We propose a copy-mutate process to model culinary evolution that fits our empirical data very well. We find a cultural 'founder effect' produced by the non-equilibrium dynamics of the model. Both the invariant and idiosyncratic aspects of culture are accounted for by our model, which may have applications in other kinds of evolutionary processes.

Evaluation of Laser Phototherapy in the Inflammatory Process of the Rat's TMJ Induced by Carrageenan

Aim: The aim of this study was to evaluate, by light microscopy, the effects of laser phototherapy (LPT) at 780nm or a combination of 660 and 790 nm, on the inflammatory process of the rat temporomandibular joint (TMJ) induced by carrageen. Background: Temporomandibular disorders (TMDs) are frequent in the population and generally present an inflammatory component. Previous studies have evidenced positive effects of laser phototherapy on TMDs. However, its mechanism of action on the inflammation of the TMJ is not known yet. Materials and Methods: Eighty-five Wistar rats were divided into 9 groups: G1, Saline; G2, Saline + LPT IR; G3, Saline + LPT IR + R; G4, Carrageenan; G5, Carrageenan + LPT IR; G6, Carrageenan + LPT IR + R; G7, previous LPT + Carrageenan; G8, previous LPT + carrageenan + LPT IR; and G9, previous LPT + carrageenan + LPT IR + R, and then subdivided in subgroups of 3 and 7 days. After animal death, specimens were taken, routinely cut and stained with HE, Sirius Red, and Toluidine Blue. Descriptive analysis of components of the TMJ was done. The synovial cell layers were counted. Results: Injection of saline did not produced inflammatory reaction and the irradiated groups did not present differences compared to non-irradiated ones. After carrageenan injection, intense inflammatory infiltration and synovial cell layers proliferation were observed. The infrared irradiated group presented less inflammation and less synovial cell layers number compared to other groups. Previous laser irradiation did not improve the results. Conclusion: It was concluded that the LPT presented positive effects on inflammatory infiltration reduction and accelerated the inflammation process, mainly with IR laser irradiation. The number of synovial cell layers was reduced on irradiated group.

Supramolecular polymorphism of DNA in non-cationic L(alpha) lipid phases

The structure of a complex between hydrated DNA and a non-cationic lipid is studied, including its phase diagram. The complex is spontaneously formed by adding DNA fragments (ca. 150 base pairs in length) to non-cationic lipids and water. The self-assembly process often leads to highly ordered structures. The structures were studied by combining X-ray scattering, fluorescence and polarized microscopy, as well as freeze-fracture experiments with transmission electron microscopy. We observe a significant increase of the smectic order as DNA is incorporated into the water layers of the lamellar host phase, and stabilization of single phase domains for large amounts of DNA. The effect of confinement on DNA ordering is investigated by varying the water content, following three dilution lines. A rich polymorphism is found, ranging from weakly correlated DNA-DNA in-plane organizations to highly ordered structures, where transmembrane correlations lead to the formation of columnar rectangular and columnar hexagonal superlattices of nucleotides embedded between lipid lamellae. From these observations, we suggest that addition of DNA to the lamellar phase significantly restricts membrane fluctuations above a certain concentration and helps the formation of the lipoplex. The alteration of membrane steric interactions, together with the appearance of interfacial interactions between membranes and DNA molecules may be a relevant mechanism for the emergence of highly ordered structures in the concentrated regime.

Evaluation of Eucalyptus grandis Hill ex Maiden biopulping with Ceriporiopsis subvermispora under non-aseptic conditions

In biopulping, efficient wood colonization by a selected white-rot fungus depends on previous wood chip decontamination to avoid the growth of primary molds. Although simple to perform in the laboratory, in large-scale biopulping trials, complete wood decontamination is difficult to achieve. Furthermore, the use of fungal growth promoters such as corn steep liquor enhances the risk of culture contamination. This paper evaluates the ability of the biopulping fungus Ceriporiopsis subvermispora to compete with indigenous fungi in cultures of fresh or poorly decontaminated Eucalyptus grandis wood chips. While cultures containing autoclaved wood chips were completely free of contaminants, primary molds grew rapidly when non-autoclaved wood chips were used, resulting in heavily contaminated cultures, regardless of the C. subvermispora inoculum/wood ratio evaluated (5, 50 and 3000 mg mycelium kg(-1) wood). Studies on benomyl-amended medium suggested that the fungi involved competed by consumption of the easily available nutrient sources, with C. subvermispora less successful than the contaminant fungi. The use of acid-washed wood chips decreased the level of such contaminant fungi, but production of manganese peroxidase and xylanases was also decreased under these conditions. Nevertheless, chemithermomechanical pulping of acid-washed samples biotreated under non-aseptic conditions gave similar fibrillation improvements compared to samples subjected to the standard biodegradation process using autoclaved wood chips.