Microscopic origin of non-Gaussian distributions of financial returns

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.

Generalized squeezing operators, bipartite Wigner functions and entanglement via Wehrl's entropy functionals

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Quark sea structure functions of the nucleon in a statistical model

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Quasiprobability distribution functions for finite-dimensional discrete phase spaces: Spin-tunneling effects in a toy model

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Scalar quantum field theory in disordered media

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Evaluating and classifying contaminated areas based on loss functions using annealing simulations

This paper presents a methodology based on geostatistical theory for quantifying the risks associated with heavy-metal contamination in the harbor area of Santana, Amapa State, Northern Brazil. In this area there were activities related to the commercialization of manganese ore from Serra do Navio. Manganese and arsenic concentrations at unsampled sites were estimated by postprocessing results from stochastic annealing simulations; the simulations were used to test different criteria for optimization, including average, median, and quantiles. For classifying areas as contaminated or uncontaminated, estimated quantiles based on functions of asymmetric loss showed better results than did estimates based on symmetric loss, such as the average or the median. The use of specific loss functions in the decision-making process can reduce the costs of remediation and health maintenance. The highest global health costs were observed for manganese. (c) 2008 Elsevier B.V. All rights reserved

Rational approximations of the Arrhenius integral using Jacobi fractions and gaussian quadrature

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Uncertainties in the prediction of spatial variability of soil CO2 emissions and related properties

A emissão de CO2 do solo apresenta alta variabilidade espacial, devido à grande dependência espacial observada nas propriedades do solo que a influenciam. Neste estudo, objetivou-se: caracterizar e relacionar a variabilidade espacial da respiração do solo e propriedades relacionadas; avaliar a acurácia dos resultados fornecidos pelo método da krigagem ordinária e simulação sequencial gaussiana; e avaliar a incerteza na predição da variabilidade espacial da emissão de CO2 do solo e demais propriedades utilizando a simulação sequencial gaussiana. O estudo foi conduzido em uma malha amostral irregular com 141 pontos, instalada sobre a cultura de cana-de-açúcar. Nesses pontos foram avaliados a emissão de CO2 do solo, a temperatura do solo, a porosidade livre de água, o teor de matéria orgânica e a densidade do solo. Todas as variáveis apresentaram estrutura de dependência espacial. A emissão de CO2 do solo mostrou correlações positivas com a matéria orgânica (r = 0,25, p < 0,05) e a porosidade livre de água (r = 0,27, p <0,01) e negativa com a densidade do solo (r = -0,41, p < 0,01). No entanto, quando os valores estimados espacialmente (N=8833) são considerados, a porosidade livre de água passa a ser a principal variável responsável pelas características espaciais da respiração do solo, apresentando correlação de 0,26 (p < 0,01). As simulações individuais propiciaram, para todas as variáveis analisadas, melhor reprodução das funções de distribuição acumuladas e dos variogramas, em comparação à krigagem e estimativa E-type. As maiores incertezas na predição da emissão de CO2 estiveram associadas às regiões da área estudada com maiores valores observados e estimados, produzindo estimativas, ao longo do período estudado, de 0,18 a 1,85 t CO2 ha-1, dependendo dos diferentes cenários simulados. O conhecimento das incertezas gerado por meio dos diferentes cenários de estimativa pode ser incluído em inventários de gases do efeito estufa, resultando em estimativas mais conservadoras do potencial de emissão desses gases.

Determination of a point sufficiently close to the asymptote in nonlinear growth functions

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Time-dependent effects of lead on rat reproductive functions

The effects of exposure to lead on endocrine function and the reproductive parameters were studied in pubertal rats treated with 1.0 g l(-1) lead acetate in drinking water for 20 days (subacute group) or 9 months (chronic group) in addition to i.v. injections of lead acetate (0.1 mg 100 g(-1) body wt.) every 10 (subacute group) or 15 days (chronic group). Although basal levels of testosterone were higher both in plasma and in testes of acutely intoxicated animals, the circulating levels of luteinizing hormone (LH) were not affected in either group, nor was the LH-releasing hormone content of the median eminence. The density of [I-125]LH/human chorionic gonadotrophin (hCG) binding sites in testicular homogenates was reduced by saturnism in both groups, concomitant with a significantly increased apparent affinity constant of the hormone-receptor complex. These data can be viewed as the result of a mixture of specific lead toxicity (e.g. at the enzyme level) with other more general actions (e.g. at the level of the hypothalamus-pituitary-testicular axis).

GCHF basis sets and their application in the electronic structure study of PrMnO3

The approach called generator coordinate Hartree-Fock (GCHF) method is used in the selection of Gaussian basis set [25s18p for O ((3)p), 31s21p14d for Mn (S-6), and 33s22p16d9f for Pr ((4)J)] for atoms. The role of the weight functions in the assessment of the numerical integration range of the GCHF equations is shown. These basis sets are contracted to (25s18p/9s5p), (31s21p14d/9s6p4d), and (33s22pl6d9f118sl2p5d3f) by segmented contraction scheme of Dunning and they are utilized in calculations of Restricted-Open-HF (ROHF) Total and Orbital energies of the (MnO+1)-Mn-3 and (PrO+1)-Pr-1 fragments, to evaluate their quality in molecular studies. The addition of one d polarization function in the contracted (9s5p) basis set for O(P-3) atom and their application with the contracted (9s6p4d), (18s21p5d3f) basis sets for Mn (S-6) and Pr-Pr ((4)j) atoms lead to the electronic structure study of PrMnO3. The dipole moment, the total energy, and total atomic charges properties were calculated and were carried out at ROHF level with the [PrMnO3](2) fragment. The calculated values show that PrMnO3 does not present piezoelectric properties. (C) 2004 Elsevier B.V. All rights reserved.

Ab initio study of high tridymite by the formalism generator coordinate Hartree-Fock

The Generator Coordinate Hartree-Fock (GCHF) Method is applied to generate extended 14s 8p and 17s 11p Gaussian basis sets for the atoms O and Si, respectively. The role of the weight functions in the assessment of the numerical integration range of the GCHF is shown. The Gaussian basis sets are contracted to [6s4p] O atom and [8s5p] Si atom by the Dunning's segmented contraction scheme. To evaluate the quality of our contracted [6s4p] and [8s5p] bases in molecular calculations we accomplish calculations of total and orbital energies in the Hartree-Fock-Roothaan method for O-2 and SiO molecules. We compare the results obtained with the our (14s 8p) and (17s 11p) bases sets with the of 6-311G basis and with values from the literature. The addition of one d polarization function in the silicon basis and its utilization with the basis for oxygen leads to the calculation of electronic properties and IR Spectrum of high tridymite in space group D-3d. (C) 1999 Elsevier B.V. B.V. All rights reserved.

CLASSICAL DISTRIBUTION-FUNCTIONS DERIVED FROM WIGNER DISTRIBUTION-FUNCTIONS

A mapping which relates the Wigner phase-space distribution function associated with a given stationary quantum-mechanical wavefunction to a specific solution of the time-independent Liouville transport equation is obtained. Two examples are studied.

Feedforward neural networks based on PPS-wavelet activation functions

Function approximation is a very important task in environments where computation has to be based on extracting information from data samples in real world processes. Neural networks and wavenets have been recently seen as attractive tools for developing efficient solutions for many real world problems in function approximation. In this paper, it is shown how feedforward neural networks can be built using a different type of activation function referred to as the PPS-wavelet. An algorithm is presented to generate a family of PPS-wavelets that can be used to efficiently construct feedforward networks for function approximation.