Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

Análise de volatilidade, integração de preços e previsibilidade para o mercado brasileiro de camarão

The present paper has the purpose of investigate the dynamics of the volatility structure in the shrimp prices in the Brazilian fish market. Therefore, a description of the initial aspects of the shrimp price series was made. From this information, statistics tests were made and selected univariate models to be price predictors. Then, it was verified the existence of relationship of long-term equilibrium between the Brazilian and American imported shrimp and if, confirmed the relationship, whether or not there is a causal link between these assets, considering that the two countries had presented trade relations over the years. It is presented as an exploratory research of applied nature with quantitative approach. The database was collected through direct contact with the Companhia de Entrepostos e Armazéns Gerais de São Paulo (CEAGESP) and on the official website of American import, National Marine Fisheries Service - National Oceanic and Atmospheric Administration (NMFS- NOAA). The results showed that the great variability in the active price is directly related with the gain and loss of the market agents. The price series presents a strong seasonal and biannual effect. The average structure of price of shrimp in the last 12 years was R$ 11.58 and external factors besides the production and marketing (U.S. antidumping, floods and pathologies) strongly affected the prices. Among the tested models for predicting prices of shrimp, four were selected, which through the prediction methodologies of one step forward of horizon 12, proved to be statistically more robust. It was found that there is weak evidence of long-term equilibrium between the Brazilian and American shrimp, where equivalently, was not found a causal link between them. We concluded that the dynamic pricing of commodity shrimp is strongly influenced by external productive factors and that these phenomena cause seasonal effects in the prices. There is no relationship of long-term stability between the Brazilian and American shrimp prices, but it is known that Brazil imports USA production inputs, which somehow shows some dependence productive. To the market agents, the risk of interferences of the external prices cointegrated to Brazilian is practically inexistent. Through statistical modeling is possible to minimize the risk and uncertainty embedded in the fish market, thus, the sales and marketing strategies for the Brazilian shrimp can be consolidated and widespread

Um Modelo híbrido para previsão de curvas de produção de petróleo

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior

A alteração do tipo penal de adulteração de combustíveis: reflexo da constitucionalização do direito penal no mercado de combustíveis

The neoconstitutionalism led to a process of ethical revaluation of the normative systems and the process of constitutionalization of the many fields of law. This study examines the consequences of this process in criminal law, so important a Law field for the protection of the most valuable assets by the society, including the fundamental guarantees, thus emphasizing the necessity of protection of the collective and individual rights, which are guided by the observance of the defendants individual rights in the course of criminal proceedings and the search for the best efficiency of penal protection, according to the corollaries of defense against the state (prohibition of the excess or Übermassverbot) and the provision of rights by the state (prohibition of insufficient protection or Untermassverbot). The offense of fuel adulteration is taken as an object of study, since it is a vital market to a nation dependent of people and good s movement for their living, driven by fossil and biofuels. Such a crime affects essential legal interests to the development of society, interests such as the environment, consumer relations and economic order, particularly the principle of free competition. This paper seeks to analyze the need of a greater efficiency of this particular criminal protection, once concluded the conduct harm and social fear as a consequence by it as growing, and therefore having its former crime type, engraved in Article 1 of Law No. 8.176/1991, rewritten in compliance with the criminal law s principle of legality. Thus, the reformation proposals and legislative creation involving this crime were observed, with emphasis on the bill No. 2498/2003, which keeps it as blank heterogeneous criminal norm, kind of penal normative whose constitutionality is raised, including the forethought of criminal responsibility in the perpetrating of the offense as culpable and subsequently increasing the applicable minimum penalty, as well as the inclusion of new activities in the typical nucleus

Neurofisiologia hipocampal durante sessões de sono intercaladas por exploração espacial: Reverberação do passado ou predição do futuro?

The ability to predict future rewards or threats is crucial for survival. Recent studies have addressed future event prediction by the hippocampus. Hippocampal neurons exhibit robust selectivity for spatial location. Thus, the activity of hippocampal neurons represents a cognitive map of space during navigation as well as during planning and recall. Spatial selectivity allows the hippocampus to be involved in the formation of spatial and episodic memories, including the sequential ordering of events. On the other hand, the discovery of reverberatory activity in multiple forebrain areas during slow wave and REM sleep underscored the role of sleep on the consolidation of recently acquired memory traces. To this date, there are no studies addressing whether neuronal activity in the hippocampus during sleep can predict regular environmental shifts. The aim of the present study was to investigate the activity of neuronal populations in the hippocampus during sleep sessions intercalated by spatial exploration periods, in which the location of reward changed in a predictable way. To this end, we performed the chronic implantation of 32-channel multielectrode arrays in the CA1 regions of the hippocampus in three male rats of the Wistar strain. In order to activate different neuronal subgroups at each cycle of the task, we exposed the animals to four spatial exploration sessions in a 4-arm elevated maze in which reward was delivered in a single arm per session. Reward location changed regularly at every session in a clockwise manner, traversing all the arms at the end of the daily recordings. Animals were recorded from 2-12 consecutive days. During spatial exploration of the 4-arm elevated maze, 67,5% of the recorded neurons showed firing rate differences across the maze arms. Furthermore, an average of 42% of the neurons showed increased correlation (R>0.3) between neuronal pairs in each arm. This allowed us to sort representative neuronal subgroups for each maze arm, and to analyze the activity of these subgroups across sleep sessions. We found that neuronal subgroups sorted by firing rate differences during spatial exploration sustained these differences across sleep sessions. This was not the case with neuronal subgroups sorted according to synchrony (correlation). In addition, the correlation levels between sleep sessions and waking patterns sampled in each arm were larger for the entire population of neurons than for the rate or synchrony subgroups. Neuronal activity during sleep of the entire neuronal population or subgroups did not show different correlations among the four arm mazes. On the other hand, we verified that neuronal activity during pre-exploration sleep sessions was significantly more similar to the activity patterns of the target arm than neuronal activity during pre-exploration sleep sessions. In other words, neuronal activity during sleep that precedes the task reflects more strongly the location of reward than neuronal activity during sleep that follows the task. Our results suggest that neuronal activity during sleep can predict regular environmental changes

Ausência do pai ao longo do desenvolvimento ontogenético e indicadores de desconto de futuro: uma contribuição da psicologia evolucionista

The new Evolutionary Psychology (E. P.) paradigm has been trying to understand how the human beings make their decisions over time regarding the most diverse variables, always bearing in mind that such a cognitive process is due to a complex natural selection process that occurred millions of years ago. One of the main topics discussed by this new paradigm is the issue of parental investment, i.e., the care the parents provide to an offspring at the expense of the investment into a new one. The present work sought to integrate these two topics, trying to understand how some variables modulate the process of decision making in a sample of the city of Natal, Rio Grande do Norte state. It was investigated the hypothesis that the presence of both parents, along the individual development, could signal a more favorable environment, providing clues to the individual that he could assume a competitive position at the socio-biological market. His decisions, therefore, could be guided by long-term investments with aims to obtain more robust rewards. On the contrary, those who has suffered for some moment the absence of one the parents could develop theirselves in a not so competitive way, starting to choose immediate benefits - but lesser ones -, since the future would be less predictable due to their worse development conditions. This study involved 152 individuals from three higher education institutions, one of them being public and the others being private ones. In the results found, there was no difference between children of coupled parents and children of deceased or divorced parents concerning discount rates. The levels of hopelessness did not affect the discount rates of children of single parents when compared to children of coupled parents. Not having one of the parents because of divorce made the child to tend to present lower scores in the domain of social relations of WHOQOL - Bref, whilst the absence of the father by death made the scores lower in the domain of environment. The results indicate that loosing one of the parents along the development influences the individual's quality of life perception, but the measurement method of future discounting rates by means of financial choices is not sensitive to this variation

Ensino superior em Turismo: uma análise da relação dos cursos acadêmicos de Turismo da cidade do Natal-RN e o mercado de trabalho na percepção dos egressos dos anos de 2009 e 2010

The process of development of any area is closely linked to teaching and research, and in Tourism it is not different. Thus, in this area in which service is one of the factors intrinsically related to its success , it is observed the need for people with deep and critical training in the various aspects of this activity acting in this sector. However, we can see the existence of some differences between what is offered by the academy from what is required by the market. Therefore, the objective of this research is to verify the relationship between higher education in Tourism and labor market through the perception of the bachelor in this area, graduated in Natal-RN, since it is the tourismologist who makes the link between this two fields. To know the perception of these tourismologists, it was necessary to apply a questionnaire to those ones graduated in the years 2009 and 2010. In accordance with the aim of this study, this research was exploratory-descriptive. Related to the technical procedures, it was a documentary, literature and field research. To have it analyzed, some qualitative and quantitative techniques were applied according to our specific objectives and the types of data collected, such as: content analysis, factorial analysis to synthesize the information and identify the basic dimensions that represent the different variables studied, the standard deviation to verify the variation of the responses in some items and the correlation technique that allows the analysis of the relationship between two variables. In response to the objectives proposed here, we could finally conclude that: the syllabuses of these courses are too general and the graduates themselves consider them so. It was diagnosed that the graduates 1) are mostly female, 2) a very small part of them is working in the area that they are graduated in, and 3) not all of them receive satisfactory wages which contributes to having a negative view of their degree course. Moreover, the educational institution where they studied was not a decisive factor to get a job. It was still diagnosed that most part of them do not have positive perceptions when thinking about the future of their careers as bachelors in Tourism. Many of them, including, if it was possible to change something in their careers so far, they could have chosen another college degree. It was found that, although there is a negative perception about their professional future, almost half of them believe that the course met the needs of the market. However, those ones that are not working have a more positive point of view related to the applicability of higher education. On the other hand, the other ones who already worked in this area have a more negative perception about it and do not believe that the course meets the market's needs. In summary, this study allowed the understanding of the existence of some gaps that exist between higher education in Tourism and the market needs, professionally speaking, thus contributing to the spreading of ideas on that subject for teachers, researchers and the current and future students of the area.

Desempenho de analistas sell-side no mercado de ações brasileiro

The purpose of this study was to analyze the behavior of Sell-Side analysts and analysts propose a classification, considering the performance of the price forecasts and recom- mendations (sell-hold-buy) in the Brazilian stock market. For this, the first step was to analyze the consensus of analysts to understand the importance of this collective interven- tion in the market; the second was to analyze the analysts individually to understand how improve their analysis in time. Third was to understand how are the main methods of ranking used in markets. Finally, propose a form of classification that reflects the previous aspects discussed. To investigate the hypotheses proposed in the study were used linear models for panel to capture elements in time. The data of price forecasts and analyst recommendations individually and consensus, in the period 2005-2013 were obtained from Bloomberg R ○ . The main results were: (i) superior performance of consensus recommen- dations, compared with the individual analyzes; (ii) associating the number of analysts issuing recommendations with improved accuracy allows supposing that this number may be associated with increased consensus strength and hence accuracy; (iii) the anchoring effect of the analysts consensus revisions makes his predictions are biased, overvaluating the assets; (iv) analysts need to have greater caution in times of economic turbulence, noting also foreign markets such as the USA. For these may result changes in bias between optimism and pessimism; (v) effects due to changes in bias, as increased pessimism can cause excessive increase in purchase recommendations number. In this case, analysts can should be more cautious in analysis, mainly for consistency between recommendation and the expected price; (vi) the experience of the analyst with the asset economic sector and the asset contributes to the improvement of forecasts, however, the overall experience showed opposite evidence; (vii) the optimism associated with the overall experience, over time, shows a similar behavior to an excess of confidence, which could cause reduction of accuracy; (viii) the conflicting effect of general experience between the accuracy and the observed return shows evidence that, over time, the analyst has effects similar to the endowment bias on assets, which would result in a conflict analysis of recommendations and forecasts ; (ix) despite the focus on fewer sectors contribute to the quality of accuracy, the same does not occur with the focus on assets. So it is possible that analysts may have economies of scale when cover more assets within the same industry; and finally, (x) was possible to develop a proposal for classification analysts to consider both returns and the consistency of these predictions, called Analysis coefficient. This ranking resulted better results, considering the return / standard deviation.

Estudo do balanço de umidade por meio de modelos regionais para o clima do passado e do futuro sobre a América do Sul

In the context of climate change over South America (SA) has been observed that the combination of high temperatures and rain more temperatures less rainfall, cause different impacts such as extreme precipitation events, favorable conditions for fires and droughts. As a result, these regions face growing threat of water shortage, local or generalized. Thus, the water availability in Brazil depends largely on the weather and its variations in different time scales. In this sense, the main objective of this research is to study the moisture budget through regional climate models (RCM) from Project Regional Climate Change Assessments for La Plata Basin (CLARIS-LPB) and combine these RCM through two statistical techniques in an attempt to improve prediction on three areas of AS: Amazon (AMZ), Northeast Brazil (NEB) and the Plata Basin (LPB) in past climates (1961-1990) and future (2071-2100). The moisture transport on AS was investigated through the moisture fluxes vertically integrated. The main results showed that the average fluxes of water vapor in the tropics (AMZ and NEB) are higher across the eastern and northern edges, thus indicating that the contributions of the trade winds of the North Atlantic and South are equally important for the entry moisture during the months of JJA and DJF. This configuration was observed in all the models and climates. In comparison climates, it was found that the convergence of the flow of moisture in the past weather was smaller in the future in various regions and seasons. Similarly, the majority of the SPC simulates the future climate, reduced precipitation in tropical regions (AMZ and NEB), and an increase in the LPB region. The second phase of this research was to carry out combination of RCM in more accurately predict precipitation, through the multiple regression techniques for components Main (C.RPC) and convex combination (C.EQM), and then analyze and compare combinations of RCM (ensemble). The results indicated that the combination was better in RPC represent precipitation observed in both climates. Since, in addition to showing values be close to those observed, the technique obtained coefficient of correlation of moderate to strong magnitude in almost every month in different climates and regions, also lower dispersion of data (RMSE). A significant advantage of the combination of methods was the ability to capture extreme events (outliers) for the study regions. In general, it was observed that the wet C.EQM captures more extreme, while C.RPC can capture more extreme dry climates and in the three regions studied.

Análise de volatilidade, integração de preços e previsibilidade para o mercado brasileiro de camarão

The present paper has the purpose of investigate the dynamics of the volatility structure in the shrimp prices in the Brazilian fish market. Therefore, a description of the initial aspects of the shrimp price series was made. From this information, statistics tests were made and selected univariate models to be price predictors. Then, it was verified the existence of relationship of long-term equilibrium between the Brazilian and American imported shrimp and if, confirmed the relationship, whether or not there is a causal link between these assets, considering that the two countries had presented trade relations over the years. It is presented as an exploratory research of applied nature with quantitative approach. The database was collected through direct contact with the Companhia de Entrepostos e Armazéns Gerais de São Paulo (CEAGESP) and on the official website of American import, National Marine Fisheries Service - National Oceanic and Atmospheric Administration (NMFS- NOAA). The results showed that the great variability in the active price is directly related with the gain and loss of the market agents. The price series presents a strong seasonal and biannual effect. The average structure of price of shrimp in the last 12 years was R$ 11.58 and external factors besides the production and marketing (U.S. antidumping, floods and pathologies) strongly affected the prices. Among the tested models for predicting prices of shrimp, four were selected, which through the prediction methodologies of one step forward of horizon 12, proved to be statistically more robust. It was found that there is weak evidence of long-term equilibrium between the Brazilian and American shrimp, where equivalently, was not found a causal link between them. We concluded that the dynamic pricing of commodity shrimp is strongly influenced by external productive factors and that these phenomena cause seasonal effects in the prices. There is no relationship of long-term stability between the Brazilian and American shrimp prices, but it is known that Brazil imports USA production inputs, which somehow shows some dependence productive. To the market agents, the risk of interferences of the external prices cointegrated to Brazilian is practically inexistent. Through statistical modeling is possible to minimize the risk and uncertainty embedded in the fish market, thus, the sales and marketing strategies for the Brazilian shrimp can be consolidated and widespread

Um Modelo híbrido para previsão de curvas de produção de petróleo

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior