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.

The stable archipelago in the region of the Pallas and Hansa dynamical families

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

Testing option pricing with the Edgeworth expansion

There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments. (C) 2004 Elsevier B.V. All rights reserved.

Constrained intervals and interval spaces

Constrained intervals, intervals as a mapping from [0, 1] to polynomials of degree one (linear functions) with non-negative slopes, and arithmetic on constrained intervals generate a space that turns out to be a cancellative abelian monoid albeit with a richer set of properties than the usual (standard) space of interval arithmetic. This means that not only do we have the classical embedding as developed by H. Radström, S. Markov, and the extension of E. Kaucher but the properties of these polynomials. We study the geometry of the embedding of intervals into a quasilinear space and some of the properties of the mapping of constrained intervals into a space of polynomials. It is assumed that the reader is familiar with the basic notions of interval arithmetic and interval analysis. © 2013 Springer-Verlag Berlin Heidelberg.

Soroprevalência da infecção chagásica em indivíduos jovens em hemocentro no Estado de São Paulo, Brasil

This study aimed at estimating the number of cases of non-negative serological reactions to Chagas disease in blood donors at the Blood Center of Botucatu, São Paulo, Brazil, from 2003 to 2010 and at relating them to their cities of origin. Five hundred and seventy-four non-negative results for Chagas disease were evaluated. Of these, 371 (64.8%) were reagent, and 203 (35.4%) were inconclusive. The prevalence of Chagas disease in blood donors was 0.05%. There were, on average, 72 cases/year, and a prevalence of males was observed (64.8%). Forty-three (7.49%) individuals were 18 to 30 years old; 92 (16.02%) were 31 to 40; 147 (25.61%) 41 to 50, and 292 (50.87%) were older than 50 years. It was observed that 29.3% of females with reagent serology were at their fertile age (18 and 45 years). The majority of donors were originally from cities in the southwestern and central regions of São Paulo, but individuals from other states contributed with 20%. The provenance of most donors was the city of Botucatu/SP, followed by the city of Taquarituba/SP. Therefore, the profile of donors at this blood center favors the occurrence of a larger number of non-negative serological reactions. Although there has been a significant reduction in the number of new cases/year for this disease, it is still a public-health problem, and results suggest the need for new epidemiological assessments in the studied region.

The effects of different styles of musical auditory stimulation on cardiac autonomic regulation in healthy women

The literature investigated the effects of chronic baroque music auditory stimulation on the cardiovascular system. However, it lacks in the literature the acute effects of different styles of music on cardiac autonomic regulation. To evaluate the acute effects of baroque and heavy metal music on heart rate variability (HRV) in women. The study was performed in 21 healthy women between 18 and 30 years old. We excluded persons with previous experience with music instrument and those who had affinity with the song styles. All procedures were performed in the same sound-proof room. We analyzed HRV in the time (standard deviation of normal-to-normal respiratory rate (RR) intervals, root-mean square of differences between adjacent normal RR intervals in a time interval, and the percentage of adjacent RR intervals with a difference of duration greater than 50 ms) and frequency (low frequency [LF], high frequency [HF], and LF/HF ratio) domains. HRV was recorded at rest for 10 min. Subsequently they were exposed to baroque or heavy metal music for 5 min through an earphone. After the first music exposure they remained at rest for more 5 min and them they were exposed again to baroque or heavy metal music. The sequence of songs was randomized for each individual. The power analysis provided a minimal number of 18 subjects. Shapiro-Wilk to verify normality of data and analysis of variance for repeated measures followed by the Bonferroni test for parametric variables and Friedman's followed by the Dunn's post-test for non-parametric distributions. During the analysis of the time-domain indices were not changed. In the frequency-domain analysis, the LF in absolute units was reduced during the heavy metal music stimulation compared to control. Acute exposure to heavy metal music affected the sympathetic activity in healthy women.

Uma adaptação do método barreira penalidade quasi-Newton ao problema de fluxo de potência ótimo

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

O método da função lagrangiana aumentada barreira modificada para a resolução do fluxo de potência ótimo

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Adipocitocinas em portadores da forma indeterminada da doença de Chagas e dislipidemia

Pós-graduação em Doenças Tropicais - FMB

SPECTRUM OF STOCHASTIC ADDING MACHINES AND FIBERED JULIA SETS

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Auditory stimulation with music influences the geometric indices of heart rate variability in response to the postural change maneuver

It is poor in the literature the behavior of the geometric indices of heart rate variability (HRV) during the musical auditory stimulation. The objective is to investigate the acute effects of classic musical auditory stimulation on the geometric indexes of HRV in women in response to the postural change maneuver (PCM). We evaluated 11 healthy women between 18 and 25 years old. We analyzed the following indices: Triangular index, Triangular interpolation of RR intervals and Poincar plot (standard deviation of the instantaneous variability of the beat-to beat heart rate [SD1], standard deviation of long-term continuous RR interval variability and Ratio between the short - and long-term variations of RR intervals [SD1/SD2] ratio). HRV was recorded at seated rest for 10 min. The women quickly stood up from a seated position in up to 3 s and remained standing still for 15 min. HRV was recorded at the following periods: Rest, 0-5 min, 5-10 min and 10-15 min during standing. In the second protocol, the subject was exposed to auditory musical stimulation (Pachelbel-Canon in D) for 10 min at seated position before standing position. Shapiro-Wilk to verify normality of data and ANOVA for repeated measures followed by the Bonferroni test for parametric variables and Friedmans followed by the Dunns posttest for non-parametric distributions. In the first protocol, all indices were reduced at 10-15 min after the volunteers stood up. In the protocol musical auditory stimulation, the SD1 index was reduced at 5-10 min after the volunteers stood up compared with the music period. The SD1/SD2 ratio was decreased at control and music period compared with 5-10 min after the volunteers stood up. Musical auditory stimulation attenuates the cardiac autonomic responses to the PCM.

Acute auditory stimulation with different styles of music influences cardiac autonomic regulation in men

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

Acute auditory stimulation with different styles of music influences cardiac autonomic regulation in men

No clear evidence is available in the literature regarding the acute effect of different styles of music on cardiac autonomic control. The present study aimed to evaluate the acute effects of classical baroque and heavy metal musical auditory stimulation on Heart Rate Variability (HRV) in healthy men. In this study, HRV was analyzed regarding time (SDNN, RMSSD, NN50, and pNN50) and frequency domain (LF, HF, and LF / HF) in 12 healthy men. HRV was recorded at seated rest for 10 minutes. Subsequently, the participants were exposed to classical baroque or heavy metal music for five minutes through an earphone at seated rest. After exposure to the first song, they remained at rest for five minutes and they were again exposed to classical baroque or heavy metal music. The music sequence was random for each individual. Standard statistical methods were used for calculation of means and standard deviations. Besides, ANOVA and Friedman test were used for parametric and non-parametric distributions, respectively. While listening to heavy metal music, SDNN was reduced compared to the baseline (P = 0.023). In addition, the LF index (ms(2) and nu) was reduced during exposure to both heavy metal and classical baroque musical auditory stimulation compared to the control condition (P = 0.010 and P = 0.048, respectively). However, the HF index (ms(2)) was reduced only during auditory stimulation with music heavy metal (P = 0.01). The LF/HF ratio on the other hand decreased during auditory stimulation with classical baroque music (P = 0.019). Acute auditory stimulation with the selected heavy metal musical auditory stimulation decreased the sympathetic and parasympathetic modulation on the heart, while exposure to a selected classical baroque music reduced sympathetic regulation on the heart.

Potenciais corticais auditivos e modulação autonômica cardíaca em mulheres saudáveis

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Domínios de potências fracionárias de operadores matriciais segundo Lasiecka-Triggiani

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)