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.

Population dynamics of Petrochirus diogenes (Crustacea, Anomura, Diogenidae) in the Ubatuba region, São Paulo, Brazil

This work examines the population dynamics of Petrochirus diogenes in the Ubatuba region (São Paulo, Brazil), focusing on size frequency distribution, sex ratio, and reproductive and recruitment period. Collections were made with two double-rig nets in the years 1993-1996. The 799 individuals obtained were separated into 14 size classes based on the length of the cephalothoracic shield. The shield size varied from 5.4 to 40.0 mm in males and from 5.7 to 32.1 mm in females. The size frequency distribution was unimodal for both sexes. Only small oscillations occurred in the sex ratio until the seventh size class, followed by preponderance of males. This suggests a standard pattern for the sex ratio in P. diogenes. As males were found in the largest size classes, they present a clear sexual dimorphism. This characteristic can be considered as a selective advantage, mainly during the mating processes and in the agonistic behavior. Ovigerous females were recorded in the spring and summer, indicating seasonal reproduction.

Mechanical and electrical driving field induced high-frequency dielectric anomalies in ferroelectric systems

Polycrystalline or single-crystal ferroelectric materials present dielectric dispersion in the frequency range 100 MHz-1 GHz that has been attributed to a dispersive ( relaxation-like) mechanism as well as a resonant mechanism. Particularly in 'normal' ferroelectric materials, a dielectric response that is indistinguishable from dispersion or a resonance has been reported. Nevertheless, the reported results are not conclusive enough to distinguish each mechanism clearly. A detailed study of the dielectric dispersion phenomenon has been carried out in PbTiO3-based ferroelectric ceramics, with the composition Pb1-xLaxTiO3 (x = 0.15), over a wide range of temperatures and frequencies, including microwave frequencies. The dielectric response of La-modified lead titanate ferroelectric ceramics, in 'virgin' and poled states, has been investigated in the temperature and frequency ranges 300-450 K and 1 kHz-2 GHz, respectively. The results revealed that the frequency dependence of the dielectric anomalies, depending on the measuring direction with respect to the orientation of the macroscopic polarization, may be described as a general mechanism related to an 'over-damped' resonant process. Applying either a uniaxial stress along the measurement field direction or a poling electric field parallel and/or perpendicular to the measuring direction, a resonant response of the real and imaginary components of the dielectric constant is observed, in contrast to the dispersion behavior obtained in the absence of the stress, for the 'virgin' samples. Both results, resonance and/or dispersion, can be explained by considering a common mechanism involving a resonant response (damped and/or over-damped) which is strongly affected by a ferroelastic-ferroelectric coupling, contributing to the low-field dielectric constant.

Raphe magnus nucleus is involved in ventilatory but not hypothermic response to CO2

There is evidence that serotonin [ 5- hydroxytryptamine ( 5- HT)] is involved in the physiological responses to hypercapnia. Serotonergic neurons represent the major cell type ( comprising 15 - 20% of the neurons) in raphe magnus nucleus ( RMg), which is a medullary raphe nucleus. In the present study, we tested the hypothesis 1) that RMg plays a role in the ventilatory and thermal responses to hypercapnia, and 2) that RMg serotonergic neurons are involved in these responses. To this end, we microinjected 1) ibotenic acid to promote nonspecific lesioning of neurons in the RMg, or 2) anti- SERT- SAP ( an immunotoxin that utilizes a monoclonal antibody to the third extracellular domain of the serotonin reuptake transporter) to specifically kill the serotonergic neurons in the RMg. Hypercapnia caused hyperventilation and hypothermia in all groups. RMg nonspecific lesions elicited a significant reduction of the ventilatory response to hypercapnia due to lower tidal volume ( V-T) and respiratory frequency. Rats submitted to specific killing of RMg serotonergic neurons showed no consistent difference in ventilation during air breathing but had a decreased ventilatory response to CO2 due to lower VT. The hypercapnia- induced hypothermia was not affected by specific or nonspecific lesions of RMg serotonergic neurons. These data suggest that RMg serotonergic neurons do not participate in the tonic maintenance of ventilation during air breathing but contribute to the ventilatory response to CO2. Ultimately, this nucleus may not be involved in the thermal responses CO2.

The characteristics of a nonlinear vibration neutralizer

This paper concerns an investigation into the use of cubic nonlinearity in a vibration neutralizer to improve its effectiveness. It is assumed that the frequency of the harmonic excitation is well above the resonance frequency of the machine to which the neutralizer is attached, and that the machine acts as a simple mass. It is also assumed that the response of the system is predominantly at the harmonic excitation frequency of the machine. The harmonic balance method is used to analyze the system. It is shown how the nonlinearity has the effect of shifting the resonant peak to a higher frequency away from the tuned frequency of the neutralizer so that the device is robust to mistune. In a linear neutralizer this can only be achieved by adding mass to the neutralizer, so the nonlinearity has a similar effect to that of adding mass. Some characteristic features are highlighted, and the effects of the system parameters on the performance are discussed. It is shown that, for a particular combination of the system parameters, the effect of the nonlinearity is also to increase the bandwidth of the device compared to the linear neutralizer with similar mass and damping. Some approximate expressions are derived, which facilitate insight into the parameters which influence the dynamics of the system. The results are validated by some experimental work. (c) 2012 Elsevier Ltd. All rights reserved.

New approach to four-phase transmission systems: analysis of the transient response and the possible voltage surges

This study describes a technical analysis of a four-phase line as a transmission system alternative. An analysis in the frequency and the time domains is performed to evaluate the electrical characteristics and the transient response of a generic four-phase system compared with those of a conventional three-phase transmission system. The technical features of this non-conventional system are discussed and reviewed based on the current literature. Thus, a new analysis of the four-phase system is presented that emphasises several technical characteristics that have not been discussed in previous studies.

Influence of HLA alleles in response to treatment with pegylated interferon-alpha and ribavirin in patients with chronic hepatitis C

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Oscillating holograms recorded in photorefractive crystals by a frequency detuned feedback loop

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

Energy transfer assisted frequency upconversion in Ho 3+ doped fluoroindate glass

Experimental results are reported which show a strong evidence of energy transfer between Ho 3+ ions in a fluoroindate glass excited by a pulsed laser operating at 640 nm. We identified the origin of the blue and green upconverted fluorescence observed as being due to a Ho 3+-Ho 3+ pair interaction process. The dynamics of the fluorescence revealed the pathways involved in the energy transfer assisted upconversion process. © 2002 American Institute of Physics.

On non-ideal and non-linear portal frame dynamics analysis using Bogoliubov averaging method

We apply the Bogoliubov Averaging Method to the study of the vibrations of an elastic foundation, forced by a Non-ideal energy source. The considered model consists of a portal plane frame with quadratic nonlinearities, with internal resonance 1:2, supporting a direct current motor with limited power. The non-ideal excitation is in primary resonance in the order of one-half with the second mode frequency. The results of the averaging method, plotted in time evolution curve and phase diagrams are compared to those obtained by numerically integrating of the original differential equations. The presence of the saturation phenomenon is verified by analytical procedures.

Frequency upconversion in rare-earth doped fluoroindate glasses

We present recent results on frequency upconversion (UPC) obtained in fluoroindate glasses (FIG) doped with Ho3+, Tm3+ and Nd3+ ions and codoped with Pr3+/Nd3+ and Yb3+/Tb3+ ions. The results for the Ho3+-doped samples show strong evidence of energy transfer (ET) between Ho3+ ions resonantly excited at 640 nm. The origin of the blue-green upconverted fluorescence observed was identified and the dynamics of the signals revealed the pathways involved in the UPC process. In the case of Tm3+-doped FIG, the samples were resonantly excited at 650 nm and the main mechanism that contributes for the red-to-blue upconversion is excited-state absorption (ESA). The FIG samples codoped with Pr3+/Nd3+ were excited at 588 nm in resonance with transitions starting from the ground state of the Nd 3+ and the Pr3+ ions. It was observed that the presence of Nd3+ ions enhanced the Pr3+ emission at 480 nm by two orders of magnitude. Multiphonon (MP)-assisted upconversion is also discussed for Nd3+-doped FIG pumped at 866 nm. Emission at 750 nm with a peculiar linear dependence with the laser intensity was observed and explained. A rate-equation model that includes MP absorption via thermally coupled electronic excited states of Nd3+ was developed and describes well the experimental results. The role played by effective phonon modes is clearly demonstrated. MP-assisted UPC process was also studied in Yb3+/ Tb3+-codoped FIG samples excited at 1064 nm, which is off-resonance with electronic transitions starting from the ground state. It was determined that the mechanism leading to Tb3+ emission in the blue is due to ET from a pair of excited Yb3+ ions followed by ESA in the Tb 3+ ions. © 2002 Académie des sciences/Éditions scientifiques et médicales Elsevier SAS.

On Nonlinear Dynamics and Control of A Particular Portal Frame Foundation Model, Excited by a Non-Ideal Motor

The nonlinear dynamic response and a nonlinear control method of a particular portal frame foundation for an unbalanced rotating machine with limited power (non-ideal motor) are examined. Numerical simulations are performed for a set of control parameters (depending on the voltage of the motor) related to the static and dynamic characteristics of the motor. The interaction of the structure with the excitation source may lead to the occurrence of interesting phenomena during the forward passage through the several resonance states of the systems. A mathematical model having two degrees of freedom simplifies the non-ideal system. The study of controlling steady-state vibrations of the non-ideal system is based on the saturation phenomenon due to internal resonance.

Frequency-adjustable positive sequence detector for power conditioning applications

This paper proposes a novel and simple positive sequence detector (PSD), which is inherently self-adjustable to fundamental frequency deviations by means of a software-based PLL (Phase Locked Loop). Since the proposed positive sequence detector is not based on Fortescue's classical decomposition and no special input filtering is needed, its dynamic response may be as fast as one fundamental cycle. The digital PLL ensures that the positive sequence components can be calculated even under distorted waveform conditions and fundamental frequency deviations. For the purpose of validating the proposed models, the positive sequence detector has been implemented in a PC-based Power Quality Monitor and experimental results illustrate its good performance. The PSD algorithm has also been evaluated in the control loop of a Series Active Filter and simulation results demonstrate its effectiveness in a closed-loop system. Moreover, considering single-phase applications, this paper also proposes a general single-phase PLL and a Fundamental Wave Detector (FWD) immune to frequency variations and waveform distortions. © 2005 IEEE.

Ventilatory frequency of Nile tilapia subjected to different stressors

Ventilatory frequency (VF) was investigated in the fish Nile tilapia, Oreochromis niloticus, subjected to confinement, electroshock or social stressor. Fish were allowed to acclimatize to tank conditions for 10 days (1 fish/aquarium). VF baseline was determined 5 days after adjustment had been started. At the 10th day of isolation, stressor effects on VF were assessed. The stressors were imposed during 60 min: pairing with a larger resident animal (social stressor), or gentle electroshock (AC, 20 V, 15 mA, 100 Hz for 1 min every 4 min), or space restriction (confinement). VF was quantified immediately after the end of the stressor imposition. Baseline of VF was not statistically different among groups. Social stressor clearly induced VF to increase, while an increased or decreased VF can be observed for both confinement and electroshock. However, fish tend to increase their VF in response to confinement and decrease in the case of electroshock. These results suggest that VF is a sensitive behavioural indicator for distinguishing stress responses in the fish Nile tilapia among different stressors. © 2006 Elsevier GmbH. All rights reserved.

Evaluation of micronuclei frequency in Tradescantia pallida pollen mother cells treated with ethanolic extracts isolated from Cryptocarya mandioccana, Cryptocarya moschata and Pterogyne nitens

Although herbal extracts contain several classes of compounds with pharmacological activity, they also present toxic substances with mutagenic effects. The aim of the present study was to verify the mutagenicity of Cryptocarya moschata, Cryptocarya mandioccana and Pterogyne nitens using micronucleus assay in pollen mother cells (tetrads) in Tradescantia pallida (Trad-MCN). T. pallida inflorescences were treated with different concentrations of ethanolic extracts from the selected plant species. For C. mandioccana C. moschata and P. nitens, Trad-MCN assays were carried out simultaneoulsly, followed by positive control (formaldehyde 10000 ppm), negative control (Hoagland's solution), and vehicle control (Tween 20 20% or DMSO 3%). MCN present in tetrads were quantified in 300 tetrads/inflorescence and the mean (%) and standard error (SE) were established for at least 10 inflorescences per treatment. The extracts demonstrated dose response mutagenicity (clastogenic/aneugenic effects), respectively, C. mandioccana (0.5, 1.0 and 2.0 mg/mL) and P. nitens (1.0 and 2.0 mg/mL) However, no mutagenic effect was observed to C. moschata at the concentrations evaluated in the present study. We can conclude that the C. mandioccana and P. nitens extracts demonstrated clastogenic/aneugenic effects in highest concentrations whereas C. moschata extract did not demonstrate the same effect. © 2006 Sociedade Brasileira de Toxicologia.