Time series analysis for minority game simulations of financial markets

The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolution. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary. (C) 2002 Elsevier B.V. B.V. All rights reserved.

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.

Operant measurement of auditory threshold in prelingually deaf users of cochlear implants: II

Two experiments evaluated an operant procedure for establishing stimulus control using auditory and electrical stimuli as a baseline for measuring the electrical current threshold of electrodes implanted in the cochlea. Twenty-one prelingually deaf children, users of cochlear implants, learned a Go/No Go auditory discrimination task (i.e., pressing a button in the presence of the stimulus but not in its absence). When the simple discrimination baseline became stable, the electrical current was manipulated in descending and ascending series according to an adapted staircase method. Thresholds were determined for three electrodes, one in each location in the cochlea (basal, medial, and apical). Stimulus control was maintained within a certain range of decreasing electrical current but was eventually disrupted. Increasing the current recovered stimulus control, thus allowing the determination of a range of electrical currents that could be defined as the threshold. The present study demonstrated the feasibility of the operant procedure combined with a psychophysical method for threshold assessment, thus contributing to the routine fitting and maintenance of cochlear implants within the limitations of a hospital setting.

Genetic relatedness of commensal strains of Candida albicans carried in the oral cavity of patients' dental prosthesis users in Brazil

The aim of this study is to describe the degree of yeast-colonization in diabetic and hemodialysed-users of dental prostheses. Individuals (306) were examined using an oral rinse technique in order to evaluate the incidence of yeast-carriage, and genotype of C. albicans. Yeasts were isolated from 68.4% (91/133) individual's dental prostheses users. Dental prostheses were found to be a significant factor for the yeast colonization (P < 0.05). Overall, the intensity of carriage was higher in diabetic patients as compared with health and hemodialysed individuals (P < 0.05). The isolation rates were: C. albicans (51.7%), C. parapsilosis (20.9%), C. tropicalis (14.3%), C. glabrata (6.6%), C. krusei (3.3%), C. rugosa (1.1%), and Pichia (Pichia ohmeri, 2.2%). Ready-To-Go RAPD Analysis Beads were used and primer OPJ 6 distinguished the C. albicans isolates found in prostheses users. All the isolates were grouped into 11 RAPD profiles in four main clusters and, the average S (AB) for the entire collection of 47 C. albicans isolates were 0.779 +/- 0.178. Over 85% of isolates had a similarity level higher than or equal to 0.8 reinforcing the idea that the use of dental prostheses, independently of the host's clinical condition, probably provides the necessary conditions for these strains to gain a growth-specific advantage over others.

Psychosocial factors for risk and protection to child malnutrition in mothers of malnourished and eutrophic children: the role of maternal mental health

In this study, the relationship between child malnutrition, depression, anxiety and other maternal socio-demographic variables was investigated in mothers of malnourished (MD) and eutrophic (ME) children. The causes attributed by mothers to malnutrition were also studied. Ten mothers from each group, with children aged from 11 months to three years and who were users of primary health care units, participated in the study. They answered Beck depression and anxiety inventory, a questionnaire on vital events and an open question concerning the causes of malnutrition. The evaluation instruments were corrected according to proper guidelines and comparative analyses between the groups were performed. The answers to the open question were qualitatively evaluated, submitted to content analysis. The mothers in the two groups were nearly 30 years old or older. They had a steady partner and were subject to very similar life conditions. They had attended school for 5.5 years and were housewives or worked in low-income jobs. Concerning mental health indicators, a significantly larger number of mothers in the MM group showed depression indicators when compared to mothers in the EM group. Most mothers attributed malnutrition to biological factors or to the lack of maternal care, with more moralist statements in the EM group, and statements filled with guilt in MM. Results suggest that in order to fight malnutrition, in addition to nutritional interventions, it is necessary to heed attention to maternal socio-emotional issues.