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.

Gestão da informação no jornalismo on-line: estudo do portal Campo Grande News

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Oxygen diffusion in superconducting oxides

Since the discovery of high-temperature superconductivity of cuprate oxides, it has been clear that it is strongly affected by the oxygen content, which is also a crucial factor to determine other physical properties of high T-c superconductors. Non-stoichiometric (interstitial) oxygen strongly influences the physical properties of various superconducting oxides, in particular by creating conducting holes. It is now ascertained that the amount of holes injected depends not only on the content of interstitial oxygen, but also on its ordering. Rearrangement of the oxygen ordering may occur even below room temperature due to the unusual high mobility of these atoms. This way, mechanical spectroscopy is one of the most adequate techniques for the study of the mobility (diffusion) of oxygen atoms. This technique allows the determination of the jump frequency of an atomic species precisely, regardless of the model or the different possible types of jumps. In order to evaluate the mobility and the effect of oxygen content on these oxides, ceramic samples we prepared and submitted to several oxygen removal cycles alternately with mechanical relaxation measurements. As for SBCO, it was assumed that the peak was due to O(1)-O(5) jumps of oxygen atoms at the chain terminals or in chain fragments in the orthorhombic phase. In the case of BSCCO, the results showed complex anelastic relaxation structures, which were attributed to interstitial oxygen atom jumps between two adjacent CuO planes.

The rating of perceived exertion predicts intermittent vertical jump demand and performance

The aims of this study were (a) to assess the ability of the rating of perceived exertion (RPE) to predict performance (i.e. number of vertical jumps performed to a fixed jump height) of an intermittent vertical jump exercise, and (b) to determine the ability of RPE to describe the physiological demand of such exercise. Eight healthy men performed intermittent vertical jumps with rest periods of 4, 5, and 6s until fatigue. Heart rate and RPE were recorded every five jumps throughout the sessions. The number of vertical jumps performed was also recorded. Random coefficient growth curve analysis identified relationships between the number of vertical jumps and both RPE and heart rate for which there were similar slopes. In addition, there were no differences between individual slopes and the mean slope for either RPE or heart rate. Moreover, RPE and number of jumps were highly correlated throughout all sessions (r=0.97-0.99; P0.001), as were RPE and heart rate (r=0.93-0.97; P0.001). The findings suggest that RPE can both predict the performance of intermittent vertical jump exercise and describe the physiological demands of such exercise.

Coordinate and time-dependent diffusion dynamics in protein folding

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Diffusion coefficient of K+ in ion exchanged glasses calculated from the refractive index and the Vickers hardness profiles

The top faces of float glass samples were exposed to vapors resulting from the decomposition of KNO3 at 565 degrees C for up to 32 h. X-ray dispersive spectra (EDS) show that K+ ions migrate into the glass. The K+ concentration profile was obtained and its diffusion coefficient was calculated by the Boltzmann-Matano technique. The mean diffusion coefficient was approximately 10 X 10(-11) cm(2) s(-1). It was observed that the refractive index and the Vickers hardness decrease with the depth (after the removal of successive layers), and their profiles were thus obtained. These profiles enabled the calculation of the diffusion coefficient of K+ through the Boltzmann-Matano technique, with mean results ranging between 6 x 10(-11) and 30 x 10(-11) cm(2) s(-1). (c) 2006 Elsevier B.V. All rights reserved.

CH and C2 radicals characterization in natural gas turbulent diffusion flames

This paper reports the construction of an axisymmetric nonpremixed piloted jet burner, with well-defined initial and boundary conditions, known as the Delft burner, to assess turbulence-chemistry interaction in non-premixed turbulent flames. Detailed experimental information is described, involving hot-wire anemometry, thin-wire thermocouples and chemiluminescence visualization measurements. Radial profile of the axial mean velocity indicates excellent agreement between flow patterns developed within Delft installation and the one described herein. Chemiluminescence emissions from CH and C2 free-radicals were acquired with a CCD camera. Tomography reconstruction analysis was utilised to compare radical emissions and temperature spatial distributions. There was a strong dependence between temperature and CH/C 2 emissions. This is an indication that these radicals can be used in flame front studies.