125 resultados para Stable distributions
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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
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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.
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Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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In this work, we study the stability of hypothetical satellites of extrasolar planets. Through numerical simulations of the restricted elliptic three-body problem we found the borders of the stable regions around the secondary body. From the empirical results, we derived analytical expressions of the critical semimajor axis beyond which the satellites would not remain stable. The expressions are given as a function of the eccentricities of the planet, e(P), and of the satellite, e(sat). In the case of prograde, satellites, the critical semimajor axis, in the units of Hill's radius, is given by a(E) approximate to 0.4895 (1.0000 - 1.0305e(P) - 0.2738e(sat)). In the case of retrograde satellites, it is given by a(E) approximate to 0.9309 (1.0000 - 1.0764e(P) - 0.9812e(sat)). We also computed the satellite stability region (a(E)) for a set of extrasolar planets. The results indicate that extrasolar planets in the habitable zone could harbour the Earth-like satellites.
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The number of citations of a scientific publication or of an individual scientist has become an important factor of quality assessment in science. We report a study of the statistical distribution of the citation index of both scientific publications and scientists. We give numerical evidence that Tsallis (power law) statistics explains the entire distribution over eight orders of magnitude (10-4 to 10(4)). Also, we draw Zipf plots in order to analyze the statistical distribution of the citation index of Brazilian and international physicists and chemists. The relatively small group of Brazilian scientists seems more adequate to explain the dynamics of the citation index. In this case, we find that the distribution of the citation index can also be explained by a gradually truncated power law with similar parameters. We finally discuss possible mechanisms behind the citation index of scientists and scientific publications.
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)
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The Bura do Itapira pua carbonatite is located in southern Brazil and belongs to the Cretaceous Ponta Grossa alkaline-carbonatitic province related to the opening of the South Atlantic. The carbonatite complex is emplaced in Proterozoic granites and is mainly composed of plutonic magnesio- to ferrocarbonatite, with smaller amounts of subvolcanic magnesiocarbonatite. Hydrothermal alteration of the carbonatite has led to the formation of quartz, apatite, fluorite, rue earth fluorocarbonates, barite and sulfides in variable proportions. Trace element data, delta(13)C and delta(18)O are presented here, with the aim of better understanding the geochemical nature of hydrothermal alteration related to rare earth elements (REE) mineralization. The non-overprinted plutonic carbonatite shows the lowest REE contents, and its primitive carbon and oxygen stable isotopic composition places it in the field of primary igneous carbonatites. Two types of hydrothermally overprinted plutonic carbonatites can be distinguished based on secondary minerals and geochemical composition. Type I contains mainly quartz, rare earth fluorocarbonates and apatite as hydrothermal secondary minerals, and has steep chondrite normalized REE patterns, with Sigma(REE+Y) of up to 3 wt.% (i.e., two orders of magnitude higher than in fresh plutonic samples). In contrast, the Type II overprint contains apatite, fluorite and barite as dominant hydrothermal minerals, and is characterized by heavy REE enrichment relative to the fresh samples, with flat chondrite normalized REE patterns. Carbon and oxygen stable isotope ratios of Types I and II are elevated (delta(18)O + 8 to + 12 parts per thousand; delta(13)C - 6 to - 2 parts per thousand) relative to the fresh samples. Hydrothermally overprinted carbonatites exposed to weathering show even higher delta(18)O values (delta(18)O 13 to 25 parts per thousand) but no additional REE enrichment. The subvolcanic carbonatite has anomalously high delta(13)C of up to + 1 parts per thousand, which suggests crustal contamination through interaction with carbonate-bearing metasediments. (C) 1999 Elsevier B.V. B.V. All rights reserved.
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Direct-sampling and remote-sensing measurements were made at the crater rim of Masaya volcano (Nicaragua) to sample the aerosol plume emanating from the active vent. We report the first measurements of the size distribution of fine silicate particles (d <10 mu m) in Masaya's plume, by automated scanning electron microscopy (QEMSCAN) analysis of a particle filter. The particle size distribution was approximately lognormal with modal d similar to 1.15 mu m. The majority of these particles were found to be spherical. These particles are interpreted to be droplets of quenched magma produced by a spattering process. Compositional analyses confirm earlier reports that the fine silicate particles show a range of compositions between that of the degassing magma and nearly pure silica and that the extent of compositional variability decreases with increasing particle size. These results indicate that fine silicate particles are altered owing to reactions with acidic droplets in the plume. The emission flux of fine silicate particles was estimated as similar to 10(11) s(-1), equivalent to similar to 55 kg d(-1). Sun photometry, aerosol spectrometry, and thermal precipitation were used to determine the overall particle size distribution of the plume (0.01 < d(mu m) < 10). Sun photometry and aerosol spectrometry measurements indicate the presence of a large number of particles (assumed to be aqueous) with d similar to 1 mu m. Aerosol spectrometry measurements further show an increase in particle size as the nighttime approached. The emission flux of particles from Masaya was estimated as similar to 10(17) s(-1), equivalent to similar to 5.5 Mg d(-1) where d < 4 mu m.
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Particle size distributions for soluble and insoluble species in Mt. Etna's summit plumes were measured across an extended size range (10 nm < d < 100 mu m) using a combination of techniques. Automated scanning electron microscopy (QEMSCAN) was used to chemically analyze many thousands of insoluble particles (collected on pumped filters) allowing the relationships between particle size, shape, and composition to be investigated. The size distribution of fine silicate particles (d < 10 mu m) was found to be lognormal, consistent with formation by bursting of gas bubbles at the surface of the magma. The compositions of fine silicate particles were found to vary between magmatic and nearly pure silica; this is consistent with depletion of metal ions by reactions in the acidic environment of the gas plume and vent. Measurements of the size, shape and composition of fine silicate particles may potentially offer insights into preemission, synemission, and postemission processes. The mass flux of fine silicate particles from Mt. Etna released during noneruptive volcanic degassing in 2004 and 2005 was estimated to be similar to 7000 kg d(-1). Analysis of particles in the range 0.1 < d/mu m < 100 by ion chromatography shows that there are persistent differences in the size distributions of sulfate aerosols between the two main summit plumes. Analysis of particles in the range 0.01 mu m < d < 0.1 mu m by scanning transmission electron microscopy (STEM) shows that there are significant levels of nanoparticles in the Mt. Etna plumes although their compositions remain uncertain.