Empresas transnacionais na economia brasileira: uma análise do comércio intracorporação

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Aplicação da moderna teoria do Portfólio em ativos não financeiros

The Markowitz's objective functions, Value-at-Risk and Conditional Value-at-Risk, are largely used tools in the financial Market for portfolio optimization. This paper tries to analyze these functions having as a target to adapt them for application in non-financial assets portfolios. The paper uses as an example the Electricity Market to analyze and optimize a fictitious investment portfolio of a possible electric power utility. Showing that, besides being possible, which considerations must be taken and which analysis must be made to apply the Modern Portfolio Theory in the non-financial universe

Extrinsic compression of popliteal artery in asymptomatic athlete and non-athlete individuals - A comparative study using duplex scan (color duplex sonography)

Aim. Extrinsic compression of the popliteal artery and absence of surrounding anatomical abnormalities characterize the functional popliteal artery entrapment syndrome (PAES). The diagnosis is confirmed to individuals who have typical symptoms of popliteal entrapment and occlusion or important stenosis of the popliteal artery with color duplex sonography (CDS), magnetic resonance imaging (MRI) or arteriography during active plantar flexion-extension maneuvers. However, variable result findings in normal asymptomatic subjects have raised doubts as to the validity of these tests. The purpose of this study was to compare the frequency of popliteal artery compression in 2 groups of asymptomatic subjects, athletes and non-athletes.Methods. Forty-two individuals were studied. Twenty-one subjects were indoor soccer players, and 21 were sedentary individuals. Physical activity was evaluated through questionnaires, anthropometric measurements, and cardiopulmonary exercise test. Evaluation of popliteal artery compression was performed in lower limbs with CDS, ankle-brachial index (ABI) measurements and continuous wave Doppler of the posterior tibial artery.Results. The athletes studied fulfilled the criteria of high level of physical activity whereas sedentary subjects met the criteria of low level of activity. Popliteal artery compression was observed with CDS in 6 (14.2%) studied subjects; 2 of whom (4.7%) were athletes and 4 (9.5%) were non-athletes. This difference was not statistically significant (p=0.21). Doppler of the tibial arteries and ABI measurements gave good specificity and sensibility in the identification of popliteal artery compression.Conclusion. The frequency of popliteal artery compression during maneuvers in normal subjects was 14.2% irrespective of whether or not they performed regular physical activities. Both Doppler and ABI showed good agreement with CDS and should be considered in screening popliteal arteries in individuals suspected of PAES.

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.

Comparison between the complete Bayesian method and empirical Bayesian method for ARCH models using Brazilian financial time series

In this work we compared the estimates of the parameters of ARCH models using a complete Bayesian method and an empirical Bayesian method in which we adopted a non-informative prior distribution and informative prior distribution, respectively. We also considered a reparameterization of those models in order to map the space of the parameters into real space. This procedure permits choosing prior normal distributions for the transformed parameters. The posterior summaries were obtained using Monte Carlo Markov chain methods (MCMC). The methodology was evaluated by considering the Telebras series from the Brazilian financial market. The results show that the two methods are able to adjust ARCH models with different numbers of parameters. The empirical Bayesian method provided a more parsimonious model to the data and better adjustment than the complete Bayesian method.