Options listing and the volatility of the underling asset: a study on the derivative market function

There are basic misunderstandings on derivative markets. Some professionals believe that they are a kind of casinos and have no utility for the investors. This work looks at the effects of options introduction in the Brazilian market, seeking for another benefit for this introduction: changes in the stocks risk leveI. Our results are the same found in the US and other markets: the options introduction reduces the stocks volatility. We also found that there is a slight indication that the volatility becames more stochastic with this alternative.

Macroinvertebrates under stochastic hydrological disturbance in Cerrado streams of Central Brazil

In the Cerrado vegetation, where the seasonal is well defined, rainfall has an important role in controlling the flow of streams and consequently on the structure of macroinvertebrates community. Despite the effects of rainfall associated with seasonality are well studied, little is known about the effects of stochastic rains on the community. In the present study we evaluated the structure and faunal composition of four first-order streams in Central Brazil during the dry season in two years, with and without stochastic rains. Community sampling was done by colonization of boards of high density polyethylene (HDPE), removed after one month submerged in streams. Analysis of Variance (ANOVA) performed indicated no difference in rarefied richness between the two periods, different from numeric density of organisms that was higher in the period without disturbance; moreover, the Detrended Correspondence Analysis (DCA) revealed differences in faunal composition between the two periods. Our results indicate that stochastic rainfall is an important factor in structuring the macroinvertebrates community in studied region.

INCLUDING RISK IN ECONOMIC FEASIBILITY ANALYSIS:A STOCHASTIC SIMULATION MODEL FOR BLUEBERRY INVESTMENT DECISIONS IN CHILE

ABSTRACT The traditional method of net present value (NPV) to analyze the economic profitability of an investment (based on a deterministic approach) does not adequately represent the implicit risk associated with different but correlated input variables. Using a stochastic simulation approach for evaluating the profitability of blueberry (Vaccinium corymbosum L.) production in Chile, the objective of this study is to illustrate the complexity of including risk in economic feasibility analysis when the project is subject to several but correlated risks. The results of the simulation analysis suggest that the non-inclusion of the intratemporal correlation between input variables underestimate the risk associated with investment decisions. The methodological contribution of this study illustrates the complexity of the interrelationships between uncertain variables and their impact on the convenience of carrying out this type of business in Chile. The steps for the analysis of economic viability were: First, adjusted probability distributions for stochastic input variables (SIV) were simulated and validated. Second, the random values of SIV were used to calculate random values of variables such as production, revenues, costs, depreciation, taxes and net cash flows. Third, the complete stochastic model was simulated with 10,000 iterations using random values for SIV. This result gave information to estimate the probability distributions of the stochastic output variables (SOV) such as the net present value, internal rate of return, value at risk, average cost of production, contribution margin and return on capital. Fourth, the complete stochastic model simulation results were used to analyze alternative scenarios and provide the results to decision makers in the form of probabilities, probability distributions, and for the SOV probabilistic forecasts. The main conclusion shown that this project is a profitable alternative investment in fruit trees in Chile.

PRACTICAL STOCHASTIC MODEL FOR CHEMICAL KINETICS

The Practical Stochastic Model is a simple and robust method to describe coupled chemical reactions. The connection between this stochastic method and a deterministic method was initially established to understand how the parameters and variables that describe the concentration in both methods were related. It was necessary to define two main concepts to make this connection: the filling of compartments or dilutions and the rate of reaction enhancement. The parameters, variables, and the time of the stochastic methods were scaled with the size of the compartment and were compared with a deterministic method. The deterministic approach was employed as an initial reference to achieve a consistent stochastic result. Finally, an independent robust stochastic method was obtained. This method could be compared with the Stochastic Simulation Algorithm developed by Gillespie, 1977. The Practical Stochastic Model produced absolute values that were essential to describe non-linear chemical reactions with a simple structure, and allowed for a correct description of the chemical kinetics.

Volatility of Different Formulations of Clomazone Herbicide

Volatilization represents an important process in the displacement of pesticides for the environment. The physicochemical properties of the clomazone molecule indicate its relative volatility. Therefore, this study was carried out to assess the volatilization of different clomazone herbicide formulations using bioindicator species. To that end, airtight glass boxes were used with the presence of different clomazone formulations and plant species. The formulations used were Gamit 360 CS(r), Gamit 500 EC(r) and Gamit Star(r). The plant species assessed were maize, sorghum and rice. With the results obtained it is possible to conclude that, among the formulations, Gamit 360 CS(r) has caused less phytotoxicity to the bioindicator species in comparison to the formulations of Gamit 500 EC(r) and Gamit Star(r) formulations. In general, The Gamit 500 EC(r) and Gamit Star(r) have not differed in the phytotoxicity potential for the bioindicator species.

Early detection of metabolic and energy disorders by thermal time series stochastic complexity analysis

Maintenance of thermal homeostasis in rats fed a high-fat diet (HFD) is associated with changes in their thermal balance. The thermodynamic relationship between heat dissipation and energy storage is altered by the ingestion of high-energy diet content. Observation of thermal registers of core temperature behavior, in humans and rodents, permits identification of some characteristics of time series, such as autoreference and stationarity that fit adequately to a stochastic analysis. To identify this change, we used, for the first time, a stochastic autoregressive model, the concepts of which match those associated with physiological systems involved and applied in male HFD rats compared with their appropriate standard food intake age-matched male controls (n=7 per group). By analyzing a recorded temperature time series, we were able to identify when thermal homeostasis would be affected by a new diet. The autoregressive time series model (AR model) was used to predict the occurrence of thermal homeostasis, and this model proved to be very effective in distinguishing such a physiological disorder. Thus, we infer from the results of our study that maximum entropy distribution as a means for stochastic characterization of temperature time series registers may be established as an important and early tool to aid in the diagnosis and prevention of metabolic diseases due to their ability to detect small variations in thermal profile.

Can future systemic financial risks be quantified?: ergodic vs nonergodic stochastic processes

Different axioms underlie efficient market theory and Keynes's liquidity preference theory. Efficient market theory assumes the ergodic axiom. Consequently, today's decision makers can calculate with actuarial precision the future value of all possible outcomes resulting from today's decisions. Since in an efficient market world decision makers "know" their intertemporal budget constraints, decision makers never default on a loan, i.e., systemic defaults, insolvencies, and bankruptcies are impossible. Keynes liquidity preference theory rejects the ergodic axiom. The future is ontologically uncertain. Accordingly systemic defaults and insolvencies can occur but can never be predicted in advance.

Effects of overvaluation and exchange rate volatility over industrial investment: empirical evidence and economic policy proposals for Brazil

The present article aims to analyze the recent behavior of real exchange rate in Brazil and its effects over investment per worker in Brazilian manufacturing and extractive industry. Preliminary estimates presented in the article shows an over-valuation of 48% of real exchange rate in Brazil. The reaction between the level (and volatility) of real exchange rate and investment (per worker) in Brazil is analyzed by means of a panel data econometric model for 30 sectors of Brazilian manufacturing and extractive industry. The empirical results show that the level and volatility of real exchange rate has a strong effect over investment per worker in Brazilian industry. Finally, we conclude the article presenting a proposal for a new macroeconomic regime that aims to produce an acceleration of economic growth of Brazilian economy and, by that, a catching-up process with developed countries.