Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics. (c) 2005 Elsevier B.V. All rights reserved.

NUMERICAL STUDY OF A PERTURBED EINSTEIN-DESITTER COSMOLOGICAL MODEL

Given the ever-increasing scale of structures discovered in the universe, we solve Einstein's equations numerically, under simplifying assumptions, to examine how this lack of uniformity affects the metric of Einstein-de Sitter cosmology. The results confirm the qualitative conclusion of Barrow, that a large density contrast is compatible with much smaller metric perturbations. The contribution of this peculiar gravity to the redshift might complicate studies of peculiar motions of galaxies, although it appears that the distortion is small for nearby clusters.

Fluctuations of doublet splittings using the annular billiard

We study the statistical distribution of quantum energy splittings due to a dynamical tunneling. The system. The annular billiard, has whispering quasimodes due to a discrete symmetry that exists even when chaos is present in the underlying classical dynamics. Symmetric and antisymmetric combinations of these quasimodes correspond to quantum doublet states whose degeneracies decrease as the circles become more eccentric. We construct numerical ensembles composed of splittings for two distinct regimes, one which we call semiclassical for high quantum numbers and high energies where the whispering regions are connected by chaos, and other which we call quantal for low quantum numbers, low energies, and near integrable where dynamical tunneling is not a dominant mechanism. In both cases we observe a variation on the fluctuation amplitudes, but their mean behaviors follow the formula of Leyvraz and Ullmo [J. Phys. A 29, 2529 (1996)]. A description of a three-level collision involving a doublet and a singlet is also provided through a numerical example.

Fluctuations in Richness and Abundance of Social Wasps During the Dry and Wet Seasons in Three Phyto-Physiognomies at the Tropical Dry Forest of Brazil

The social wasp nests were quantified in three different plant physiognomies (forested Caatinga, shrubby Caatinga, and agricultural systems) to analyze the effect of environmental seasonality and plant physiognomy on the richness, nest abundance, and species composition of social wasps in the region of tropical dry forest of Brazil. The forested Caatinga physiognomy had the greatest richness of species (S = 16), followed by shrubby Caatinga (S 13) and by agricultural system (S = 12). The first axis of detrended correspondence analysis (DCA) explained 67.8% of the variability and shows a gradient of the fauna from agricultural system and shrubby Caatinga to forested Caatinga. In the first axis, wet season scores were much higher than those for the dry season in forested Caatinga. The second axis explained 18.7% of the variability and shows a separation of samples collected during the wet or the dry periods in shrubby Caatinga. This separation was less evident in the agricultural system. Variations in nest abundance were more intense in arbustive caatinga (45% decrease in number of active nests in the dry period), moderate in forested Caatinga (24% decrease in number of active nests in the dry period), and low in agricultural systems (8% decrease in the dry period).

Superconducting vortex fluctuations in YBa2Cu3O7-δ

Measurements of magnetization in YBa2Cu3O7-δ single crystals were performed for applied fields H parallel and perpendicular to the ab planes. The data show a temperature T = T* at which the magnetization M(T*) is independent of the applied field. This result is interpreted as due to vortex fluctuations of an anisotropic 3-D superconductor.

Deformed Gaussian orthogonal ensemble and the statistical fluctuations in the spectra of the quartic oscillator

The nearest-neighbor spacing distributions proposed by four models, namely, the Berry-Robnik, Caurier-Grammaticos-Ramani, Lenz-Haake, and the deformed Gaussian orthogonal ensemble, as well as the ansatz by Brody, are applied to the transition between chaos and order that occurs in the isotropic quartic oscillator. The advantages and disadvantages of these five descriptions are discussed. In addition, the results of a simple extension of the expression for the Dyson-Mehta statistic Δ3 are compared with those of a more popular one, usually associated with the Berry-Robnik formalism. ©1999 The American Physical Society.

Optimized delta expansion for relativistic nuclear models: Renormalization of vacuum fluctuations

We use the optimized linear δ expansion and functional methods to study vacuum contributions in nuclear matter up to the lowest non-trivial order which includes exchange terms. We show that well known results (MFT, RHA and HF) can be easily reproduced when appropriate limits are taken. Neglecting vacuum contributions we explicitly show that the δ expansion goes beyond the traditional loop approximation previously used to study two loop vacuum contributions in nuclear matter. We then evaluate and renormalize vacuum exchange contributions showing that they are numerically very large, as predicted by the ordinary loop approximation.

Some implications of the cosmological constant to fundamental physics

In the presence of a cosmological constant, ordinary Poincaré special relativity is no longer valid and must be replaced by a de Sitter special relativity, in which Minkowski space is replaced by a de Sitter spacetime. In consequence, the ordinary notions of energy and momentum change, and will satisfy a different kinematic relation. Such a theory is a different kind of a doubly special relativity. Since the only difference between the Poincaré and the de Sitter groups is the replacement of translations by certain linear combinations of translations and proper conformal transformations, the net result of this change is ultimately the breakdown of ordinary translational invariance. From the experimental point of view, therefore, a de Sitter special relativity might be probed by looking for possible violations of translational invariance. If we assume the existence of a connection between the energy scale of an experiment and the local value of the cosmological constant, there would be changes in the kinematics of massive particles which could hopefully be detected in high-energy experiments. Furthermore, due to the presence of a horizon, the usual causal structure of spacetime would be significantly modified at the Planck scale. © 2007 American Institute of Physics.

Microdon tigrinus (Diptera, Syrphidae): Populational fluctuations and specificity to the nest of Acromyrmex coronatus (Hymenoptera: Formicidae)

This study was performed in the southern and southeastern regions of Brazil, visiting numerous municipalities, over a period of 25 years, excavating nests of 12 species of leaf-cutting ants of the Acromyrmex genus. Larvae and pupae of Microdon tigrinus were found only in nests of the leaf-cutting ant Acromyrmex coronatus, indicating high specificity. Observation showed that larvae and pupae were well accepted in the nests and the adults, immediately after puparia eclosion and prior to wing distension, were not attacked by the workers, suggesting that they produce semiochemicals for a short time period until they arrive outside the Acromyrmex coronatus nest. It was postulated that these larvae feed on the organic detritus of the nest, as shown for Microdon larvae of other species.

Snake assemblage in a disturbed grassland environment in Rio Grande do Sul State, southern Brazil: Population fluctuations of Liophis poecilogyrus and Pseudablabes agassizii

A mark-recapture study of a snake assemblage using pitfall traps with drift fences was carried out in a disturbed grassland environment (e.g. cattle breeding and cultivations), located in the Pampa Biome, in the central region of the Rio Grande do Sul State, southern Brazil. From February 2001 to January 2004 we caught 272 snakes belonging to 20 species from the following families: Elapidae (5%), Viperidae (10%), and Colubridae (85%). The assemblage had a unimodal seasonal pattern of activity, and the highest number of captures occurred between September and May. There was a positive and significant correlation between the number of captures and monthly minimum and maximum average temperatures. Recruitment was observed from January to April. During the study, the area was affected by human activities, which altered the community structure: Pseudablabes agassizii was negatively affected by habitat devastation while Liophis poecilogyrus took advantage of this. Our results reinforced the impression that Pseudablabes agassizii is a habitat specialist species. We extend the understanding of the susceptibility of this species to environmental destruction in open natural environments of South America, and propose its use as a potential bio-indicator of the Pampa biome. We also discuss the importance of conservation strategies for snakes in grasslands of southern Brazil. © Finnish Zoological and Botanical Publishing Board 2007.

Light-cone fluctuations and the renormalized stress tensor of a massless scalar field

We investigate the effects of light-cone fluctuations over the renormalized vacuum expectation value of the stress-energy tensor of a real massless minimally coupled scalar field defined in a (d+1)-dimensional flat space-time with topology R×Td. For modeling the influence of light-cone fluctuations over the quantum field, we consider a random Klein-Gordon equation. We study the case of centered Gaussian processes. After taking into account all the realizations of the random processes, we present the correction caused by random fluctuations. The averaged renormalized vacuum expectation value of the stress-energy associated with the scalar field is presented. © 2013 World Scientific Publishing Company.

An analog model for quantum lightcone fluctuations in nonlinear optics

We propose an analog model for quantum gravity effects using nonlinear dielectrics. Fluctuations of the spacetime lightcone are expected in quantum gravity, leading to variations in the flight times of pulses. This effect can also arise in a nonlinear material. We propose a model in which fluctuations of a background electric field, such as that produced by a squeezed photon state, can cause fluctuations in the effective lightcone for probe pulses. This leads to a variation in flight times analogous to that in quantum gravity. We make some numerical estimates which suggest that the effect might be large enough to be observable. © 2012 Elsevier Inc.

Cosmological dynamics of tachyonic teleparallel dark energy

A detailed dynamical analysis of the tachyonic teleparallel dark energy model, in which a noncanonical scalar field (tachyon field) is nonminimally coupled to gravitation, is performed. It is found that, when the nonminimal coupling is ruled by a dynamically changing coefficient α≡f ,φ/√f, with f(φ) an arbitrary function of the scalar field φ, the Universe may experience a field-matter-dominated era φMDE, in which it has some portions of the energy density of φ in the matter dominated era. This is the most significant difference in relation to the so-called teleparallel dark energy scenario, in which a canonical scalar field (quintessence) is nonminimally coupled to gravitation. © 2013 American Physical Society.

Modelos não-lineares de dois campos e aplicações em cenários de mundos-brana

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