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.

Responses to selection for milk traits in dairy buffaloes

The aim of the present study was to estimate the index and individual responses to selection for milk (MY), fat (FY) and protein (PY) yields for different breeding goals for two commercial buffalo milk production systems in São Paulo State characterized by: 1) all milk produced is sold to the industry (MILK) and 2) all milk produced is used in the mozzarella cheese-making process at the farm (MOZZARELLA). The current payment policy is based exclusively on milk volume. The mozzarella price refers to the wholesale selling price. Index responses to selection (IR) were calculated for three different breeding goals (BG): 1) MY exclusively (BG(1)); 2) FY + PY (BG(2)) and 3) MY + FY + PY (BG(3)). IR for the MILK system were US$ 41.79 (BG(1)), US$ 5.91 (BG(2)) and US$ 38.22 (BG(3)). For the MOZZARELLA system, IR were US$ 179.50 (BG(1)), US$ 262.85 (BG(2)) and US$ 402.41 (BG(3)). The results suggest that for the present circumstances, selection for milk components is not advantageous when milk is produced for sale to the industry. However, when mozzarella making is added to the system, the selection for components and milk volume is the most economically beneficial.

O regime de metas de inflação no Brasil: um exame teórico e empírico de seu funcionamento

The Inflation targeting regime is a concept of monetary policy which was adopted by several countries in the 90’s; Brazil being among these countries, having adopted it in 1999 after a currency crisis. With it theoretical structure regulated by the New – Classical theory and having as its main characteristic the prior announcement of a numerical target for the inflation, this regime was adopted by countries attempting to achieve a prices stability. The present project is going to explain the theoretical basis of the regime, as well as its implementation process in Brazil and the criticism it received. However, the main focus will be on the discussion of the employment of the IPCA (Consumer Price Index) as a measuring index for Brazil’s inflation

Métodos econométricos para a análise do índice de inflação no Brasil

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

O regime de metas de inflação no Brasil: uma análise empírica do IPCA

Inflation targeting regime is a monetary policy adopted by several countries in the 1990s, Brazil being among them, which adopted it in 1999 after a currency crisis. With a theoretical framework inspired by the new-classical theory, this regime is adopted by countries attempting to achieve price stability and it brings the prior announcement of a numerical target for inflation as a key feature. The present work aims at discussing the use of IPCA (Consumer Price Index) as a measuring index for Brazil's inflation after briefly explain the theoretical basis of the IT regime.

Previsão de demanda de veículos automotores através do modelo de regressão linear múltipla

This study aimed to model a equation for the demand of automobiles and light commercial vehicles, based on the data from February 2007 to July 2014, through a multiple regression analysis. The literature review consists of an information collection of the history of automotive industry, and it has contributed to the understanding of the current crisis that affects this market, which consequence was a large reduction in sales. The model developed was evaluated by a residual analysis and also was used an adhesion test - F test - with a significance level of 5%. In addition, a coefficient of determination (R2) of 0.8159 was determined, indicating that 81.59% of the demand for automobiles and light commercial vehicles can be explained by the regression variables: interest rate, unemployment rate, broad consumer price index (CPI), gross domestic product (GDP) and tax on industrialized products (IPI). Finally, other ten samples, from August 2014 to May 2015, were tested in the model in order to validate its forecasting quality. Finally, a Monte Carlo Simulation was run in order to obtain a distribution of probabilities of future demands. It was observed that the actual demand in the period after the sample was in the range that was most likely to occur, and that the GDP and the CPI are the variable that have the greatest influence on the developed model

Bio-energy conversion cost: a new index to evaluate the bioeconomic eficiency

This study evaluated a nonlinear programming excel workbook PPFR (http://www.fmva.unesp.br/ppfr) for determining the optimum nutrient density and maximize margins. Two experiments were conducted with 240 one-day-old female chicks and 240 one-day-old male chicks distributed in 48 pens (10 chicks per pen, 4 replicates) in a completely randomized design. The treatments include the average price history (2009s and 2010s) for broiler increased and decreased by 25% or 50% (5 treatments to nonlinear feed formulation) and 1 linear feed formulation. Body gain, feed intake, feed conversion were measured at 21, 42 and 56 d of age. Chicks had ad libitum access to feed and water in floor pens with wood shavings as litter. The bio-economic Energy Conversion [BEC= (Total energy intake*Feed weighted cost per kg)/ (Weight gain*kg live chicken cost)] was more sensitive for measuring the bio-economic performance for broilers, and especially with better magnitude. This allowed a better assessment of profitability, the rate of growth and not just energy consumption, the production of broilers, by incorporating energy consumption, allowing for more sensitivity to the new index (BEC). The BEC was demonstrated that the principle of nonlinear formulation minimizes losses significantly (P<0.05), especially under unfavorable conditions the price of chicken in the market. Thus, when considering that a diet of energy supply shows up as the most expensive item of a formulation, it should compose necessarily the formula proposed for a bio-economic index. Thus, there is need to evaluate more accurately, not only the ingredients of a ration, but the impact of nutrients on the stability of a solution, mainly due to the energy requirement. This strategy promotes better accuracy for decision making under conditions of uncertainty, to find alternative post-formulation. From the above, both weight gain and feed conversion, as traditional performance indicators, cannot finalize or predict a performance evaluation of an economic system creating increasingly intense and competitive. Thus, the energy concentration of the diet becomes more important definition to feed formulator, by directly impact profit activity by interactions with the density of nutrients. This allowed a better evaluation of profitability, the rate of energy performance for broilers, by incorporating the energy consumption formula, allowing more sensitivity to the new index (BEC). These data show that nonlinear feed formulation is a toll to offer new opportunities for poultry production to improved profitability.

Aircraft selection with DEA's triple index: an approach for sustainability

The objective of this paper is to present a benefit-cost ranking of 127 civil transport aircraft; this ranking was determined considering a new data envelopment analysis (DEA) approach, called triple index, which combines three assessment methods: 1) standard frontier, 2) inverted index; 3) cross-multiplicative index. The analysis used the following inputs: a) market price; b) direct operating costs; and as outputs: a) payload, b) cruise speed; c) maximum rate of climb with a single engine. To ensure the homogeneity of the units, the aircrafts were divided according to the propulsion system (jet and turboprop) and size (regional, narrow-body and wide-body); they were also evaluated according to different ranges in order to identify the aircraft with the best cost-benefit relationship for each option.