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.

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.

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

HFD groups in the Solovay model

Hajnal and Juhasz proved that under CH there is a hereditarily separable, hereditarily normal topological group without non-trivial convergent sequences that is countably compact and not Lindelof. The example constructed is a topological subgroup H subset of 2(omega 1) that is an HFD with the following property (P) the projection of H onto every partial product 2(I) for I is an element of vertical bar omega(1)vertical bar(omega) is onto. Any such group has the necessary properties. We prove that if kappa is a cardinal of uncountable cofinality, then in the model obtained by forcing over a model of CH with the measure algebra on 2(kappa), there is an HFD topological group in 2(omega 1) which has property (P). Crown Copyright (C) 2009 Published by Elsevier B.V. All rights reserved.

Abelian torsion groups with a countably compact group topology

Comfort and Remus [W.W. Comfort, D. Remus, Abelian torsion groups with a pseudo-compact group topology, Forum Math. 6 (3) (1994) 323-337] characterized algebraically the Abelian torsion groups that admit a pseudocompact group topology using the Ulm-Kaplansky invariants. We show, under a condition weaker than the Generalized Continuum Hypothesis, that an Abelian torsion group (of any cardinality) admits a pseudocompact group topology if and only if it admits a countably compact group topology. Dikranjan and Tkachenko [D. Dikranjan. M. Tkachenko, Algebraic structure of small countably compact Abelian groups, Forum Math. 15 (6) (2003) 811-837], and Dikranjan and Shakhmatov [D. Dikranjan. D. Shakhmatov, Forcing hereditarily separable compact-like group topologies on Abelian groups, Topology Appl. 151 (1-3) (2005) 2-54] showed this equivalence for groups of cardinality not greater than 2(c). We also show, from the existence of a selective ultrafilter, that there are countably compact groups without non-trivial convergent sequences of cardinality kappa(omega), for any infinite cardinal kappa. In particular, it is consistent that for every cardinal kappa there are countably compact groups without non-trivial convergent sequences whose weight lambda has countable cofinality and lambda > kappa. (C) 2009 Elsevier B.V. All rights reserved.

The bacterial diversity in a Brazilian non-disturbed mangrove sediment

The bacterial diversity present in sediments of a well-preserved mangrove in Ilha do Cardoso, located in the extreme south of So Paulo State coastline, Brazil, was assessed using culture-independent molecular approaches (denaturing gradient gel electrophoresis (DGGE) and analysis of 166 sequences from a clone library). The data revealed a bacterial community dominated by Alphaproteobacteria (40.36% of clones), Gammaproteobacteria (19.28% of clones) and Acidobacteria (27.71% of clones), while minor components of the assemblage were affiliated to Betaproteobacteria, Deltaproteobacteria, Firmicutes, Actinobacteria and Bacteroidetes. The clustering and redundancy analysis (RDA) based on DGGE were used to determine factors that modulate the diversity of bacterial communities in mangroves, such as depth, seasonal fluctuations, and locations over a transect area from the sea to the land. Profiles of specific DGGE gels showed that both dominant (`universal` Bacteria and Alphaproteobacteria) and low-density bacterial communities (Betaproteobacteria and Actinobacteria) are responsive to shifts in environmental factors. The location within the mangrove was determinant for all fractions of the community studied, whereas season was significant for Bacteria, Alphaproteobacteria, and Betaproteobacteria and sample depth determined the diversity of Alphaproteobacteria and Actinobacteria.

Breastfeeding and non-nutritive sucking patterns related to the prevalence of anterior open bite in primary dentition

OBJECTIVE: Nutritional, immunological and psychological benefts of exclusive breastfeeding for the frst 6 months of life are unequivocally recognized. However, mothers should also be aware of the importance of breastfeeding for promoting adequate oral development. This study evaluated the association between breastfeeding and non-nutritive sucking patterns and the prevalence of anterior open bite in primary dentition. MATERIAL AND METHODS: Infant feeding and non-nutritive sucking were investigated in a 3-6 year-old sample of 1,377 children, from São Paulo city, Brazil. Children were grouped according to breastfeeding duration: G1 - non-breastfed, G2 - shorter than 6 months, G3 - interruption between 6 and 12 months, and G4 - longer than 12 months. Three calibrated dentists performed clinical examinations and classifed overbite into 3 categories: normal, anterior open bite and deep bite. Chi-square tests (p<0.05) with odds ratio (OR) calculation were used for intergroup comparisons. The impact of breastfeeding and non-nutritive sucking on the prevalence of anterior open bite was analyzed using binary logistic regression. RESULTS: The prevalence estimates of anterior open bite were: 31.9% (G1), 26.1% (G2), 22.1% (G3), and 6.2% (G4). G1 would have signifcantly more chances of having anterior open bite compared with G4; in the total sample (OR=7.1) and in the subgroup without history of non-nutritive sucking (OR=9.3). Prolonging breastfeeding for 12 months was associated with a 3.7 times lower chance of having anterior open bite. In each year of persistence with non-nutritive sucking habits, the chance of developing this malocclusion increased in 2.38 times. CONCLUSIONS: Breastfeeding and non-nutritive sucking durations demonstrated opposite effects on the prediction of anterior open bite. Non-breastfed children presented signifcantly greater chances of having anterior open bite compared with those who were breastfed for periods longer than 12 months, demonstrating the benefcial infuence of breastfeeding on dental occlusion.

Dental caries and related factors in Brazilian children from fluoridated and non-fluoridated areas

PURPOSE: To compare the caries prevalence, saliva buffering capacity (SBC), oral hygiene (OH), dietary habits, family income (FI) and frequency of visits to a dental office (Do) between Brazilian children living in areas with and without fluoridated public water supply. METHODS: Forty-six 5-7-year-old preschoolers were selected in Itatiba, SP, Brazil; 19 were from a fluoridated area, and 27 were from a non-fluoridated area. The caries index was determined according to the World Health Organization criteria, and the SBC was assessed by titration with hydrochloric acid. The FI, frequency of OH and visits to Do were estimated by questionnaire. The dietary habits were assessed with a diet chart. The differences between the groups were analyzed with Mann-Whitney-U tests (α=0.05). RESULTS: Children from the non-fluoridated area showed significantly higher dmft/DMFT than those from the fluoridated area, but they showed significantly lower SBC, OH frequency and FI. No significant differences were observed between the areas for dietary habits and visits to Do. CONCLUSION: Children from fluoridated areas showed higher salivary buffering capacity, family income and oral hygiene frequency as well as lower caries prevalence, supporting the beneficial effect of fluoride in the tap water for caries prevention.

Relationship between periodontitis and rheumatoid arthritis and the effect of non-surgical periodontal treatment

This study analyzed the association of periodontal disease (PD) and rheumatoid arthritis (RA). Seventy-five 35-60-year-old patients were assigned to 5 groups according to the presence (+) or not (-) of PD and RA and the treatment received (TR+) or not (TR-) for PD. Group 3 uses total prosthesis (TP). Clinical and laboratory evaluations were performed at baseline, 3 and 6 months of follow-up by probing pocket depth, bleeding on probing and plaque index for PD, HAQ, DAS28, SF-36 and laboratory: AAG, ESR, CRP for RA. Statistically significant differences for PD after 3 (p=0.0055) and after 6 months (p=0.0066) were obtained in Group 1 (RA+PD+TR+) and 2(RA+PD+TR-); significant reduction in the % of BOP after 6 months (p=0.0128) and significant reduction in the % of Pl after 3 (p=0.0128) and 6 months (p=0.0002) in Group 1. Statistically significant differences between Groups 1 and 3 (RA+TP) for DAS28 at baseline and after 3 months were observed, but not after 6 months. No other parameters for RA were significantly affected. The relationship between RA and PD disease activities is not clear, but the importance of periodontal treatment in the control of inflammation to avoid tooth extraction is evident.

Synthesis and biocompatibility of an experimental glass ionomer cement prepared by a non-hydrolytic sol-gel method

The aims of this study were to demonstrate the synthesis of an experimental glass ionomer cement (GIC) by the non-hydrolytic sol-gel method and to evaluate its biocompatibility in comparison to a conventional glass ionomer cement (Vidrion R). Four polyethylene tubes containing the tested cements were implanted in the dorsal region of 15 rats, as follows: GI - experimental GIC and GII - conventional GIC. The external tube walls was considered the control group (CG). The rats were sacrificed 7, 21 and 42 days after implant placement for histopathological analysis. A four-point (I-IV) scoring system was used to graduate the inflammatory reaction. Regarding the experimental GIC sintherization, thermogravimetric and x-ray diffraction analysis demonstrated vitreous material formation at 110oC by the sol-gel method. For biocompatibility test, results showed a moderate chronic inflammatory reaction for GI (III), severe for GII (IV) and mild for CG (II) at 7 days. After 21 days, GI presented a mild reaction (II); GII, moderate (III) and CG, mild (II). At 42 days, GI showed a mild/absent inflammatory reaction (II to I), similar to GII (II to I). CG presented absence of chronic inflammatory reaction (I). It was concluded that the experimental GIC presented mild/absent tissue reaction after 42 days, being biocompatible when tested in the connective tissue of rats.

Occurrence of non-O157 Shiga toxin-producing Escherichia coli in dogs with diarrhea

Shiga toxigenic Escherichia coli (STEC) and Attaching and effacing E. coli (AEEC) have been associated with diarrhea illness in dogs. From January to December 2006, 92 E. coli isolates from 25 diarrheic dogs were analyzed, by screening for the presence of Shiga toxin-producing (stx 1 and stx 2) and intimin (eae) genes. Twelve isolates were detected by PCR to harbor the Shiga toxin genes (7 the stx 1 (7.6%); 5 the stx 2 (5.4%); and none both of them). Nine (9.8%) of the E. coli isolates studied were eae positive non Shiga toxin-producing. Thirteen (62.0%) isolates, carrying stx or eae gene, also showed a hemolysin production. The strains with virulence genes were also examined for resistance to 12 antimicrobial agents. Resistances to cephalothin (85.7%), streptomycin (81.0%), amoxicillin (71.4%) and gentamicin (71.4%) were predominantly observed.