Analysis of multi-scale systemic risk in Brazil's financial market

This work analyzes whether the relationship between risk and returns predicted by the Capital Asset Pricing Model (CAPM) is valid in the Brazilian stock market. The analysis is based on discrete wavelet decomposition on different time scales. This technique allows to analyze the relationship between different time horizons, since the short-term ones (2 to 4 days) up to the long-term ones (64 to 128 days). The results indicate that there is a negative or null relationship between systemic risk and returns for Brazil from 2004 to 2007. As the average excess return of a market portfolio in relation to a risk-free asset during that period was positive, it would be expected this relationship to be positive. That is, higher systematic risk should result in higher excess returns, which did not occur. Therefore, during that period, appropriate compensation for systemic risk was not observed in the Brazilian market. The scales that proved to be most significant to the risk-return relation were the first three, which corresponded to short-term time horizons. When treating differently, year-by-year, and consequently separating positive and negative premiums, some relevance is found, during some years, in the risk/return relation predicted by the CAPM. However, this pattern did not persist throughout the years. Therefore, there is not any evidence strong enough confirming that the asset pricing follows the model.

Rapid assessment of fruit-color selection by birds using artificial fruits at local scale in Central Amazonia

Modeling clays have been used in several ecological experiments and have proved to be an important tool to variables control. The objective of our study was to determine if fruit color in isolated and grouped displays influences the fruit selection by birds in the field using artificial fruits. Data were collected in six plots distributed homogeneously in 3 km long trails with a minimum distance of 0.5 km. We used a paired experimental design to establish our experiments, so that all treatments were available to the local bird community in each plot. Overall, red was more pecked than brown and white. Isolated red and brown displays were significantly more pecked than others display. Even though our study was conducted in small spatial scales, artificial fruits appeared to be efficient in register fruit consumption attempts by bird. Although inconclusive about selective forces that sharp the dynamics of fruit color polymorphisms and choice by frugivorous birds, our findings corroborate recent studies wherein birds showed preferences by high- over low-contrast fruit signals.

Large-scale patterns in morphological diversity and species assemblages in Neotropical Triatominae (Heteroptera: Reduviidae)

We analysed the spatial variation in morphological diversity (MDiv) and species richness (SR) for 91 species of Neotropical Triatominae to determine the ecological relationships between SR and MDiv and to explore the roles that climate, productivity, environmental heterogeneity and the presence of biomes and rivers may play in the structuring of species assemblages. For each 110 km x 110 km-cell on a grid map of America, we determined the number of species (SR) and estimated the mean Gower index (MDiv) based on 12 morphological attributes. We performed bootstrapping analyses of species assemblages to identify whether those assemblages were more similar or dissimilar in their morphology than expected by chance. We applied a multi-model selection procedure and spatial explicit analyses to account for the association of diversity-environment relationships. MDiv and SR both showed a latitudinal gradient, although each peaked at different locations and were thus not strictly spatially congruent. SR decreased with temperature variability and MDiv increased with mean temperature, suggesting a predominant role for ambient energy in determining Triatominae diversity. Species that were more similar than expected by chance co-occurred near the limits of the Triatominae distribution in association with changes in environmental variables. Environmental filtering may underlie the structuring of species assemblages near their distributional limits.

Modeling and control of multibody system with flexible appendages

The objective of this work is to describe the design and the implementation of an experiment to study the dynamics and the active control of a slewing multi-link flexible structure. The experimental apparatus was designed to be representative of a flexible space structure such as a satellite with multiple flexible appendages. In this study we describe the design procedures, the analog and digital instrumentation, the analytical modeling together with model validation studies carried out through experimental modal testing and parametric system identification studies in the frequency domain. Preliminary results of a simple positional control where the sensor and the actuator are positioned physically at the same point is also described.

Horizontal Slug Flow in a Large-Size Pipeline: Experimentation and Modeling

The knowledge of the slug flow characteristics is very important when designing pipelines and process equipment. When the intermittences typical in slug flow occurs, the fluctuations of the flow variables bring additional concern to the designer. Focusing on this subject the present work discloses the experimental data on slug flow characteristics occurring in a large-size, large-scale facility. The results were compared with data provided by mechanistic slug flow models in order to verify their reliability when modelling actual flow conditions. Experiments were done with natural gas and oil or water as the liquid phase. To compute the frequency and velocity of the slug cell and to calculate the length of the elongated bubble and liquid slug one used two pressure transducers measuring the pressure drop across the pipe diameter at different axial locations. A third pressure transducer measured the pressure drop between two axial location 200 m apart. The experimental data were compared with results of Camargo's1 algorithm (1991, 1993), which uses the basics of Dukler & Hubbard's (1975) slug flow model, and those calculated by the transient two-phase flow simulator OLGA.