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.

Validation of the Deardorff model for estimating energy balance components for a sugarcane crop

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

Short-term temporal changes of soil carbon losses after tillage described by a first-order decay model

Tillage stimulates soil carbon (C) losses by increasing aeration, changing temperature and moisture conditions, and thus favoring microbial decomposition. In addition, soil aggregate disruption by tillage exposes once protected organic matter to decomposition. We propose a model to explain carbon dioxide (CO2) emission after tillage as a function of the no-till emission plus a correction due to the tillage disturbance. The model assumes that C in the readily decomposable organic matter follows a first-order reaction kinetics equation as: dC(sail)(t)/dt = -kC(soil)(t) and that soil C-CO2 emission is proportional to the C decay rate in soil, where C-soil(t) is the available labile soil C (g m(-2)) at any time (t). Emissions are modeled in terms soil C available to decomposition in the tilled and non-tilled plots, and a relationship is derived between no-till (F-NT) and tilled (F-Gamma) fluxes, which is: F-T = a1F(NT)e(-a2t), where t is time after tillage. Predicted and observed fluxes showed good agreement based on determination coefficient (R-2), index of agreement and model efficiency, with R-2 as high as 0.97. The two parameters included in the model are related to the difference between the decay constant (k factor) of tilled and no-till plots (a(2)) and also to the amount of labile carbon added to the readily decomposable soil organic matter due to tillage (a,). These two parameters were estimated in the model ranging from 1.27 and 2.60 (a(1)) and - 1.52 x 10(-2) and 2.2 x 10(-2) day(-1) (a(2)). The advantage is that temporal variability of tillage-induced emissions can be described by only one analytical function that includes the no-till emission plus an exponential term modulated by tillage and environmentally dependent parameters. (C) 2008 Elsevier B.V. All rights reserved.

A simple and non-destructive model for individual leaf area estimation in citrus

Introduction. Leaf area is often related to plant growth, development, physiology and yield. Many non-destructive models have been proposed for leaf area estimation of several plant genotypes, demonstrating that leaf length, leaf width and leaf area are closely correlated. Thus, the objective of our study was to develop a reliable model for leaf area estimation from linear measurements of leaf dimensions for citrus genotypes. Materials and methods. Leaves of citrus genotypes were harvested, and their dimensions (length, width and area) were measured. Values of leaf area were regressed against length, width, the square of length, the square of width and the product (length x width). The most accurate equations, either linear or second-order polynomial, were regressed again with a new data set; then the most reliable equation was defined. Results and discussion. The first analysis showed that the variables length, width and the square of length gave better results in second-order polynomial equations, while the linear equations were more suitable and accurate when the width and the product (length x width) were used. When these equations were regressed with the new data set, the coefficient of determination (R(2)) and the agreement index 'd' were higher for the one that used the variable product (length x width), while the Mean Absolute Percentage Error was lower. Conclusion. The product of the simple leaf dimensions (length x width) can provide a reliable and simple non-destructive model for leaf area estimation across citrus genotypes.

The role of clouds in improving the regression model for hourly values of diffuse solar radiation

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

The structure and optical dispersion of the refractive index of tellurite glass

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Determination of the photoinduced birefringence and of the refractive index by Brewster method of epoxy resin doped with CdS

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Potential effects of the herbicide Diuron on mammary and urinary bladder two-stage carcinogenesis in a female Swiss mouse model

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

POLYETHYLENE GLYCOL ADDITION DOES NOT IMPROVE EXOGENOUS SURFACTANT FUNCTION IN AN EXPERIMENTAL MODEL of MECONIUM ASPIRATION SYNDROME

Meconium (MEC) is a potent inactivator of pulmonary surfactant. The authors studied the effects of polyethylene glycol addition to the exogenous surfactant over the lung mechanics and volumes. Human meconium was administrated to newborn rabbits. Animals were ventilated for 20 minutes and dynamic compliance, ventilatory pressure, and tidal volume were recorded. Animals were randomized into 3 study groups: MEC group (without surfactant therapy); S100 group (100 mg/kg surfactant); and PEG group (100 mg/kg porcine surfactant plus 5% PEG). After ventilation, a pulmonary pressure-volume curve was built. Histological analysis was carried out to calculate the mean alveolar size (Lm) and the distortion index (DI). Both groups treated with surfactant showed higher values of dynamic pulmonary compliance and lower ventilatory pressure, compared with the MEC group (P .05). S100 group had a larger maximum lung volume, V30, compared with the MEC group (P .05). Lm and DI values were smaller in the groups treated with surfactant than in the MEC group (P .05). No differences were observed between the S100 and PEG groups. Animals treated with surfactant showed significant improvement in pulmonary function as compared to nontreated animals. PEG added to exogenous surfactant did not improve lung mechanics or volumes.

Anaerobic capacity may not be determined by critical power model in elite table tennis players

The aim of the present study was to verify the applicability of anaerobic work capacity (AWC) determined from the critical power model in elite table tennis players. Eight male international level table tennis players participated in the study. The tests undertaken were: 1) A critical frequency test used to determinate the anaerobic work capacity; 2) Wingate tests were performed using leg and arm ergometers. AWC corresponded to 99.5 +/- 29.1 table tennis balls. AWC was not related to peak (r = -0.25), mean (r = -0.02), relative peak (r = -0.49) or relative mean power (r = 0.01), nor fatigue index (r = -0.52) (Wingate leg ergometer). Similar correlations for peak (r = -0.34), mean (r = -0.04), relative peak (r = -0.49), relative mean power (r = -0.14) and peak blood lactate concentration (r = -0.08) were determined in the Wingate arm ergometer test. Based on these results the AWC determined by a modified critical power test was not a good index for measurement of anaerobic capacity in table tennis players.

Cosmic microwave background and large-scale structure constraints on a simple quintessential inflation model

We derive constraints on a simple quintessential inflation model, based on a spontaneously broken Phi(4) theory, imposed by the Wilkinson Microwave Anisotropy Probe three-year data (WMAP3) and by galaxy clustering results from the Sloan Digital Sky Survey (SDSS). We find that the scale of symmetry breaking must be larger than about 3 Planck masses in order for inflation to generate acceptable values of the scalar spectral index and of the tensor-to-scalar ratio. We also show that the resulting quintessence equation of state can evolve rapidly at recent times and hence can potentially be distinguished from a simple cosmological constant in this parameter regime.

DYNAMICAL SYMMETRY BREAKING IN A MINIMAL 3-3-1 MODEL

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Multifractal regime transition in a modified minority game model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Explaining the high number of infected people by dengue in Rio de Janeiro in 2008 using a susceptible-infective-recovered model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Bayesian binary regression model: an application to in-hospital death after AMI prediction

Um modelo bayesiano de regressão binária é desenvolvido para predizer óbito hospitalar em pacientes acometidos por infarto agudo do miocárdio. Métodos de Monte Carlo via Cadeias de Markov (MCMC) são usados para fazer inferência e validação. Uma estratégia para construção de modelos, baseada no uso do fator de Bayes, é proposta e aspectos de validação são extensivamente discutidos neste artigo, incluindo a distribuição a posteriori para o índice de concordância e análise de resíduos. A determinação de fatores de risco, baseados em variáveis disponíveis na chegada do paciente ao hospital, é muito importante para a tomada de decisão sobre o curso do tratamento. O modelo identificado se revela fortemente confiável e acurado, com uma taxa de classificação correta de 88% e um índice de concordância de 83%.