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.

Spontaneous Interblink Time Distributions in Patients with Graves' Orbitopathy and Normal Subjects

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Restriction fragment length polymorphism (RFLP) in Exon 2 of the BoLA-DRB3 gene in South American cattle

The Bola-DRB3 gene participates in the development of the immune response and is highly polymorphic. For these reasons, it has been a candidate gene in studies of the genetic basis of disease resistance and in population genetic analysis. South American native cattle breeds have been widely replaced by improved exotic breeds leading to a loss of genetic resources. In particular South American native breeds have high levels of fertility and disease resistance. This work describes genetic variability in the BoLA-DRB3 gene in native (Caracu, Pantaneiro, Argentinean Creole) and exotic (Holstein, Jersey, Nelore, Gir) cattle breeds in Brazil and Argentina. PCR-RFLP alleles were identified by combining the restriction patterns for the BoLA-DRB3.2 locus obtained with RsaI, BstY, and HaeIII restriction enzymes. Allelic frequencies and deviations from the Hardy-Weinberg equilibrium were also calculated. Analysis of the 24 BoLA-DRB3 PCR-RFLP alleles identified showed differences in the allele distributions among breeds.

Spatial variations at different observational scales and the seasonal distributions of stream macroalgae in a Brazilian subtropical region

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)