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.

Efeito do bloqueio da aldosterona na remodelação cardíaca de ratos espontaneamente hipertensos

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Markovian versus non-Markovian stochastic quantization of a complex-action model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

The population structure of two sympatric hermit-crab species on a subtidal rocky shore of an island in southeastern Brazil

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Balancing guava nutrition with liming and fertilization

A resposta da goiabeira à calagem e à adubação pode ser monitorada por análises de tecido vegetal. O perfil nutricional é definido em relação a padrões de teores de nutrientes. No entanto, os teores de nutrientes-padrão são constantemente criticados por não considerarem as interações que ocorrem entre nutrientes e por gerarem tendências numéricas, decorrentes da redundância dos dados, da dependência de escala e da distribuição não normal. As técnicas de análise composicional de dados podem controlar esses dados tendenciosos, equilibrando os grupos de nutrientes, tais como os envolvidos na calagem e na adubação. A utilização das relações log isométricas (ilr) ortonormais, sequencialmente dispostas, evita tendências numéricas inerentes aos dados de composição. Os objetivos do trabalho foram relacionar o balanço de nutrientes dos tecidos vegetais com a produção de goiabeiras em pomares de 'Paluma' diferentemente corrigidos e adubados, e ajustar os atuais padrões de nutrientes com a faixa de equilíbrio das goiabeiras mais produtivas. Um experimento de calagem de sete anos e três, experimentos de três anos com doses de N, P2O5 e K2O, foram conduzidos em pomares de goiabeiras 'Paluma' em um Latossolo Vermelho-Amarelo. Os teores de N, P, K, Ca e Mg na planta foram monitorados anualmente. Selecionaram-se os balanços [N, P, K | Ca, Mg], [N, P | K], [N | P] e [Ca | Mg] para separar os efeitos da calagem (Ca-Mg) e dos fertilizantes (N-K) nos balanços de macronutrientes. Os balanços foram mais influenciados pela calagem do que pela fertilização. A produtividade das goiabeiras e seu balanço nutricional permitiram a definição de faixas de equilíbrio de nutrientes e sua validação com as faixas de concentrações críticas atualmente utilizadas no Brasil e combinadas em coordenadas ilr.

Supernumerary chromosome inheritance in the curimbata (Prochilodus lineatus) of the Mogi-Guacu River

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

Population biology of shrimp Macrobrachium jelskii (Miers, 1778) (Decapoda, Palaemonoidea) at the Grande River at northwest of the state of Minas Gerais, Brazil

OBJETIVO: A biologia populacional do camarão de água doce Macrobrachium jelskii foi investigada, com ênfase na distribuição de frequência em classes de tamanho, razão sexual, período reprodutivo e recrutamento juvenil. Além disso, a abundância dos indivíduos foi correlacionada com os fatores abióticos. MÉTODOS: Amostras foram coletadas mensalmente de julho de 2005 a junho de 2007, às margens do Rio Grande, região de Planura, estado de Minas Gerais, Brasil (20º 09' S e 48º 40' W), usando uma rede de arrasto (1.0 mm tamanho da malha e 2.0 × 0.5 m de largura). O equipamento foi arrastado por duas pessoas às margens da vegetação do rio por 100 metros de distância, percorridos por uma hora. em laboratório, os espécimes foram identificados, mensurados e sexados. RESULTADOS: Um total de 2,789 espécimes foi analisado, no qual correspondem a 1,126 machos (549 jovens e 577 adultos) e 1,663 fêmeas (1,093 jovens, 423 adultos não ovígeras e 147 ovígeras). A razão sexual diferiu significativamente a favor de fêmeas de M. jelskii (1:1.48; χ² = 103.95; p < 0.0001). A média de tamanho do comprimento da carapaça (CL) das fêmeas (6.32 ± 1.84 mm CL) foi estatisticamente maior do que dos machos (5.50 ± 1.07 mm CL) (p < 0.001). A distribuição de freqüência em classes de tamanho dos espécimes revela um padrão de distribuição unimodal e não normal para machos e fêmeas (W = 0.945; p < 0.01). Não foi observada relação entre a abundância de M. jelskii e as variáveis ambientais (p = 0.799). CONCLUSÃO: A presença de fêmeas ovígeras e jovens na população sugere um padrão de reprodução e recrutamento contínuos para M. jelskii na região de Planura.

Parâmetros de qualidade da carne de cordeiros submetida aos processos de maturação e injeção de cloreto de cálcio

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Nonmodal energetics of electromagnetic drift waves

The linear properties of an electromagnetic drift-wave model are examined. The linear system is non-normal in that its eigenvectors are not orthogonal with respect to the energy inner product. The non-normality of the linear evolution operator can lead to enhanced finite-time growth rates compared to modal growth rates. Previous work with an electrostatic drift-wave model found that nonmodal behavior is important in the hydrodynamic limit. Here, similar behavior is seen in the hydrodynamic regime even with the addition of magnetic fluctuations. However, unlike the results for the electrostatic drift-wave model, nonmodal behavior is also important in the adiabatic regime with moderate to strong magnetic fluctuations. © 2000 American Institute of Physics.

Experimental aspects of partially premixed pulsating combustion

The pulsating combustion process has won interest in current research due to indications that its application in energy generation can offer several advantages, such as: fuel economy, reduced pollutants formation, increased rate of convective heat transfer and reduced investment, when compared with conventional techniques. An experimental study has been conducted with the objective of investigating the effects of combustion driven acoustic oscillations in the emission rates of combustion gases, especially carbon monoxide and nitrogen oxides. The experiments were conducted in a water-jacketed 1-m long by 25-cm internal diameter stainless steel vertical tube. The combustor operated with liquefied petroleum gas (LPG) in both oscillatory and non oscillatory conditions, under the same input conditions. Part of the reactant mixture was excited acoustically, before the burner exit, by a speaker positioned strategically. The burner was aligned with the chamber longitudinal axis and positioned at its bottom. The experiments were conducted for 0.16 g/s of LPG burning in stoichiometric equivalence ratio. The main conclusions were: a) the pulsating combustion process produces more uniform fuel/air profile than the non pulsating process, b) close to stoichiometric equivalence ratio the pulsating combustion process generates higher rates of NO x; c) the frequency has a strong influence in NO x emission, but the pressure amplitude has a weak influence; d) the presence of the acoustic field may change drastically the combustion gas emissions in diffusion flames, but in pre-mixed flames the influence is not as strong.

Effects of probiotic bacteria on Candida presence and IgA anti-Candida in the oral cavity of elderly

Imbalance in the resident microbiota may promote the growth of opportunistic microorganisms, such as yeasts of Candida genus and the development of diseases, especially in aged people. This study evaluated whether the consumption of the probiotic Yakult LB® (Lactobacillus casei and Bifidobacterium breve) was able to influence on the specific immunological response against Candida and on the presence of these yeasts in the oral cavity of 42 healthy aged individuals. Saliva samples were collected before and after the probiotic use for 30 days, 3 times a week. The samples were plated in Dextrose Saboraud Agar with chloramphenicol, the colony-forming units (CFU/mL) were counted and the Candida species were identified. Anti-Candida IgA analysis was conducted using the ELISA technique. ANOVA and Student's t-test were used for normally distributed data and the Wilcoxon test was used for data with non-normal distribution (α=0.05). The results showed a statistically significant reduction (p<0.05) in Candida prevalence (from 92.9% to 85.7%), in CFU/mL counts of Candida and in the number of non-albicans species after consumption of the probiotic. Immunological analysis demonstrated a significant increase (p<0.05) in anti-Candida IgA levels. In conclusion, probiotic bacteria reduced Candida numbers in the oral cavity of the elderly and increased specific secretory immune response against these yeasts, suggesting its possible use in controlling oral candidosis.

Comparison of the population biology of Epialtus bituberculatus from two rocky shores with distinct hydrodynamic patterns

The population biology of Epialtus bituberculatus was compared between two different intertidal localities with differing levels of wave exposure. Sampling was conducted monthly between January and December, 2001 on seaweed banks of Sargassum cymosum in the intertidal zone of the rocky shores Grande (GR) (23°23′S-45°03′W) and Domingas Dias (DD) (23°29′S-45°08′W). Four hundred and twenty-eight crabs were captured at the GR site: 111 juvenile males, 106 adult males, 57 juvenile females, 17 adult females and 137 ovigerous females; while 455 specimens were obtained at the DD site: 76 juvenile males, 113 adult males, 37 juvenile females, 40 adult females and 189 ovigerous females. The population from GR showed a non-normal distribution and from DD a normal distribution. The sex-ratio (female/male) was 1:0.97 at GR (χ2 = 0.77, P = 0.084), whereas it was 1:1.41 at DD (χ2 = 13.03, P < 0.001). The largest individuals occurred at DD (U = 78249.0, P < 0.001). The estimated size at sexual maturity was 6.3 and 5.0 mm carapace width (CW) for males, and 5.4 and 5.2 mm CW for females, from GR and DD, respectively. The observed differences in E. bituberculatus between the studied localities might be explained by the different degrees of wave exposure between sites. However, other factors that might also explain the observed differences (e.g. temperature, salinity and food availability) cannot be discarded as relevant in influencing the population structure between sites herein studied. © 2012 Marine Biological Association of the United Kingdom.

Influência do diabetes mellitus no coração de ratos senescentes espontaneamente hipertensos

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Comportamento dos níveis plasmáticos do Peptídeo Natriurético tipo-B em idosos com função sistólica do ventrículo esquerdo preservada

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Eficácia do óleo de Melaleuca alternifolia sobre bactérias cariogênicas e sua citoxicidade sobre cultura de queratinócitos

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)