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.

Diffusion coefficient of K+ in ion exchanged glasses calculated from the refractive index and the Vickers hardness profiles

The top faces of float glass samples were exposed to vapors resulting from the decomposition of KNO3 at 565 degrees C for up to 32 h. X-ray dispersive spectra (EDS) show that K+ ions migrate into the glass. The K+ concentration profile was obtained and its diffusion coefficient was calculated by the Boltzmann-Matano technique. The mean diffusion coefficient was approximately 10 X 10(-11) cm(2) s(-1). It was observed that the refractive index and the Vickers hardness decrease with the depth (after the removal of successive layers), and their profiles were thus obtained. These profiles enabled the calculation of the diffusion coefficient of K+ through the Boltzmann-Matano technique, with mean results ranging between 6 x 10(-11) and 30 x 10(-11) cm(2) s(-1). (c) 2006 Elsevier B.V. All rights reserved.