Volatilidade dos retornos e governança: um estudo de eventos da crise do subprime

The financial crisis that occurred between the years 2007 and 2008, known as the subprime crisis, has highlighted the governance of companies in Brazil and worldwide. To monitor the financial risk, quantitative tools of risk management were created in the 1990s, after several financial disasters. The market turmoil has also led companies to invest in the development and use of information, which are applied as tools to support process control and decision making. Numerous empirical studies on informational efficiency of the market have been made inside and outside Brazil, revealing whether the prices reflect the information available instantly. The creation of different levels of corporate governance on BOVESPA, in 2000, made the firms had greater impairment in relation to its shareholders with greater transparency in their information. The purpose of this study is to analyze how the subprime financial crisis has affected, between January 2007 and December 2009, the volatility of stock returns in the BM&BOVESPA of companies with greater liquidity at different levels of corporate governance. From studies of time series and through the studies of events, econometric tests were performed by the EVIEWS, and through the results obtained it became evident that the adoption of good practices of corporate governance affect the volatility of returns of companies

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

Volatilidade dos retornos e governança: um estudo de eventos da crise do subprime

The financial crisis that occurred between the years 2007 and 2008, known as the subprime crisis, has highlighted the governance of companies in Brazil and worldwide. To monitor the financial risk, quantitative tools of risk management were created in the 1990s, after several financial disasters. The market turmoil has also led companies to invest in the development and use of information, which are applied as tools to support process control and decision making. Numerous empirical studies on informational efficiency of the market have been made inside and outside Brazil, revealing whether the prices reflect the information available instantly. The creation of different levels of corporate governance on BOVESPA, in 2000, made the firms had greater impairment in relation to its shareholders with greater transparency in their information. The purpose of this study is to analyze how the subprime financial crisis has affected, between January 2007 and December 2009, the volatility of stock returns in the BM&BOVESPA of companies with greater liquidity at different levels of corporate governance. From studies of time series and through the studies of events, econometric tests were performed by the EVIEWS, and through the results obtained it became evident that the adoption of good practices of corporate governance affect the volatility of returns of companies

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 protocolo de comunicação multicast na camada de aplicação com Consciência de Localização

Internet applications such as media streaming, collaborative computing and massive multiplayer are on the rise,. This leads to the need for multicast communication, but unfortunately group communications support based on IP multicast has not been widely adopted due to a combination of technical and non-technical problems. Therefore, a number of different application-layer multicast schemes have been proposed in recent literature to overcome the drawbacks. In addition, these applications often behave as both providers and clients of services, being called peer-topeer applications, and where participants come and go very dynamically. Thus, servercentric architectures for membership management have well-known problems related to scalability and fault-tolerance, and even peer-to-peer traditional solutions need to have some mechanism that takes into account member's volatility. The idea of location awareness distributes the participants in the overlay network according to their proximity in the underlying network allowing a better performance. Given this context, this thesis proposes an application layer multicast protocol, called LAALM, which takes into account the actual network topology in the assembly process of the overlay network. The membership algorithm uses a new metric, IPXY, to provide location awareness through the processing of local information, and it was implemented using a distributed shared and bi-directional tree. The algorithm also has a sub-optimal heuristic to minimize the cost of membership process. The protocol has been evaluated in two ways. First, through an own simulator developed in this work, where we evaluated the quality of distribution tree by metrics such as outdegree and path length. Second, reallife scenarios were built in the ns-3 network simulator where we evaluated the network protocol performance by metrics such as stress, stretch, time to first packet and reconfiguration group time

Estudo do equilíbrio líquido-vapor do sistema água+etanol+líquido iônico visando a separação do álcool anidro

Anhydrous ethanol is used in chemical, pharmaceutical and fuel industries. However, current processes for obtaining it involve high cost, high energy demand and use of toxic and pollutant solvents. This problem occurs due to the formation of an azeotropic mixture of ethanol + water, which does not allow the complete separation by conventional methods such as simple distillation. As an alternative to currently used processes, this study proposes the use of ionic liquids as solvents in extractive distillation. These are organic salts which are liquids at low temperatures (under 373,15 K). They exhibit characteristics such as low volatility (almost zero/ low vapor ), thermal stability and low corrosiveness, which make them interesting for applications such as catalysts and as entrainers. In this work, experimental data for the vapor pressure of pure ethanol and water in the pressure range of 20 to 101 kPa were obtained as well as for vapor-liquid equilibrium (VLE) of the system ethanol + water at atmospheric pressure; and equilibrium data of ethanol + water + 2-HDEAA (2- hydroxydiethanolamine acetate) at strategic points in the diagram. The device used for these experiments was the Fischer ebulliometer, together with density measurements to determine phase compositions. The experimental data were consistent with literature data and presented thermodynamic consistency, thus the methodology was properly validated. The results were favorable, with the increase of ethanol concentration in the vapor phase, but the increase was not shown to be pronounced. The predictive model COSMO-SAC (COnductor-like Screening MOdels Segment Activity Coefficient) proposed by Lin & Sandler (2002) was studied for calculations to predict vapor-liquid equilibrium of systems ethanol + water + ionic liquids at atmospheric pressure. This is an alternative for predicting phase equilibrium, especially for substances of recent interest, such as ionic liquids. This is so because no experimental data nor any parameters of functional groups (as in the UNIFAC method) are needed

Model-Driven requirements engineering process aided by ontologies and natural controlled languages

Researches in Requirements Engineering have been growing in the latest few years. Researchers are concerned with a set of open issues such as: communication between several user profiles involved in software engineering; scope definition; volatility and traceability issues. To cope with these issues a set of works are concentrated in (i) defining processes to collect client s specifications in order to solve scope issues; (ii) defining models to represent requirements to address communication and traceability issues; and (iii) working on mechanisms and processes to be applied to requirements modeling in order to facilitate requirements evolution and maintenance, addressing volatility and traceability issues. We propose an iterative Model-Driven process to solve these issues, based on a double layered CIM to communicate requirements related knowledge to a wider amount of stakeholders. We also present a tool to help requirements engineer through the RE process. Finally we present a case study to illustrate the process and tool s benefits and usage