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.

Crises cambiais e fragilidade financeira externa: uma interpretação minskyana aplicada à economia brasileira entre 1999 e 2013

Pós-graduação em Economia - FCLAR

Monitorização vídeo-EEG prolongada em crises não epilépticas: semiologia clínica

O objetivo deste estudo foi mostrar a contribuição da monitorização vídeo-EEG prolongada (MVEP) no diagnóstico de crises não epilépticas (CNE) e estimar sua prevalência em um centro terciário de atendimento à Epilepsia (EP). Foram observados 47 pacientes com diagnóstico de CNE com crises espontâneas ou provocadas. Foram instituídos protocolos direcionados à história clínica e à semiologia das crises. A análise estatística baseou-se no teste de Fisher e na análise de cluster. Os resultados evidenciaram prevalência de 10% de CNE. Houve predominância do sexo feminino (63,8%); em 57% dos pacientes as crises foram espontâneas. A média de idade foi 32,5 ± 11anos. O sinal semiológico mais freqüente foi o sono aparente (87,2%). em 9% dos pacientes observaram-se tanto EP como CNE. Três agrupamentos resultaram da análise de cluster: CNE hipermotora das extremidades com alteração de tônus; CNE com automatismos e CNE axial com movimentos oculares. em conclusão, o estudo da semiologia clínica das CNE durante a MVEP contribui para o diagnóstico desta entidade nosológica e para o diagnóstico diferencial com EP; o teste provocativo auxilia na obtenção das crises.

Identifying financial crises in real time

Following the thermodynamic formulation of a multifractal measure that was shown to enable the detection of large fluctuations at an early stage, here we propose a new index which permits us to distinguish events like financial crises in real time. We calculate the partition function from which we can obtain thermodynamic quantities analogous to the free energy and specific heat. The index is defined as the normalized energy variation and it can be used to study the behavior of stochastic time series, such as financial market daily data. Famous financial market crashes-Black Thursday (1929), Black Monday (1987) and the subprime crisis (2008)-are identified with clear and robust results. The method is also applied to the market fluctuations of 2011. From these results it appears as if the apparent crisis of 2011 is of a different nature to the other three. We also show that the analysis has forecasting capabilities. © 2012 Elsevier B.V. All rights reserved.

Crises de fronteira em aceleradores de Fermi

Pós-graduação em Física - IGCE

Polimorfismos nos genes TGFB e TNFA e sua relação com crises vaso-oclusivas e disfunção endotelial em pacientes com anemia falciforme

Pós-graduação em Genética - IBILCE

Outono em uma organização: convivendo com as crises

Pós-graduação em Psicologia - FCLAS

Crises de fronteira e estruturas complexas no espaço de parâmetros em um mapeamento dissipativo bidimensional

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Plano real e a nova realidade brasileira

This paper analyzes the Real Plan and its effects on two administrations of President Fernando Henrique Cardoso (FHC), a period which extends from 1995 to 2002. To this end, the study includes a brief review of the problems faced by previous plans, especially the Cruzado Plan and the reasons for the belief that it has been successfull in relation to inflation control. Additionally, seeking to describe the process of moving to the new currency towards stabilization, the paper describes the theoretical foundations of the Plan. In sequence, it defines the backround of both international and domestic monetary reform which was one important part of the Plan and therefore the reasons for the implementation of the monetary reform. Subsequently the paper deals with the effects of the Plan on the economy as a whole, covering also the way the economic measures were taken concerning the Mexican and Asian crisis, the policies used fot the exchange rate, interest rate, fiscal accounts, balance of payments, among other factors and the relationship between them. Hence, it describes the immediate and the long-term consequences of stabilization program in terms of output, employment, public deficit and debt. Therefore, it is important to note the various junctures to which the economy was exposed, and also to point out the challenges and obstacles arising from these changes for growth, which was sometimes fast, sometimes slowing down - the so-called stop and go. Of course, facts as the moving to floating exchange rate regime, the adoption of inflation targeting regime and the adoption of fiscal responsibility law along with the primary surplus policy were able to create a new economic environment and to contribute to later success of the Cardoso years

Sobre a idade das crises: as inter-relações sujeito-identidade-feminismo na pós-modernidade

This essay intends to think critically and theoretically on the interrelations among subject, identity, and Feminism in the context of Postmodernity, a context which will be herein denominated ―Age of Crises. These three aspects will be approached under a Historical perspective and put into question in a philosophical sight guided by Post-structuralistic theories, especially Derridian Deconstruction. In general, the main objective is to reach into a discussion about the undecidable inter-relation between Feminist thinking and Postmodernity, which is one of the configurations of the many contemporary crises. In order to do so, it will be necessary a previous discussion on the postmodern subject and its identity. This discussion will open up the possibility of contextualizing and discussing Feminism inside the intended objective. This discussion will be structured around the word ―crises which, in a compositional relation to the word ―age, will be taken as a synonym for ―Postmodernity and ―contemporary. ―Age of Crises, ―Postmodernity, ―contemporary, and ―Feminism will be words haunted by the phármakon phenomenon, a key aspect for Derridian Deconstruction, which will be the gravitational force that approximates and separates, in an undecidable relation, those signs.