Futures trading, spot price volatility and market efficiency: evidence from European real estate securities futures

In 2007 futures contracts were introduced based upon the listed real estate market in Europe. Following their launch they have received increasing attention from property investors, however, few studies have considered the impact their introduction has had. This study considers two key elements. Firstly, a traditional Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, the approach of Bessembinder & Seguin (1992) and the Gray’s (1996) Markov-switching-GARCH model are used to examine the impact of futures trading on the European real estate securities market. The results show that futures trading did not destabilize the underlying listed market. Importantly, the results also reveal that the introduction of a futures market has improved the speed and quality of information flowing to the spot market. Secondly, we assess the hedging effectiveness of the contracts using two alternative strategies (naïve and Ordinary Least Squares models). The empirical results also show that the contracts are effective hedging instruments, leading to a reduction in risk of 64 %.

Sources, sinks, and transatlantic transport of North African dust aerosol: a multimodel analysis and comparison with remote sensing data

This study evaluates model-simulated dust aerosols over North Africa and the North Atlantic from five global models that participated in the Aerosol Comparison between Observations and Models phase II model experiments. The model results are compared with satellite aerosol optical depth (AOD) data from Moderate Resolution Imaging Spectroradiometer (MODIS), Multiangle Imaging Spectroradiometer (MISR), and Sea-viewing Wide Field-of-view Sensor, dust optical depth (DOD) derived from MODIS and MISR, AOD and coarse-mode AOD (as a proxy of DOD) from ground-based Aerosol Robotic Network Sun photometer measurements, and dust vertical distributions/centroid height from Cloud Aerosol Lidar with Orthogonal Polarization and Atmospheric Infrared Sounder satellite AOD retrievals. We examine the following quantities of AOD and DOD: (1) the magnitudes over land and over ocean in our study domain, (2) the longitudinal gradient from the dust source region over North Africa to the western North Atlantic, (3) seasonal variations at different locations, and (4) the dust vertical profile shape and the AOD centroid height (altitude above or below which half of the AOD is located). The different satellite data show consistent features in most of these aspects; however, the models display large diversity in all of them, with significant differences among the models and between models and observations. By examining dust emission, removal, and mass extinction efficiency in the five models, we also find remarkable differences among the models that all contribute to the discrepancies of model-simulated dust amount and distribution. This study highlights the challenges in simulating the dust physical and optical processes, even in the best known dust environment, and stresses the need for observable quantities to constrain the model processes.

Sensitivity of terrestrial precipitation trends to the structural evolution of sea surface temperatures

Pronounced intermodel differences in the projected response of land surface precipitation (LSP) to future anthropogenic forcing remain in the Coupled Model Intercomparison Project Phase 5 model integrations. A large fraction of the intermodel spread in projected LSP trends is demonstrated here to be associated with systematic differences in simulated sea surface temperature (SST) trends, especially the representation of changes in (i) the interhemispheric SST gradient and (ii) the tropical Pacific SSTs. By contrast, intermodel differences in global mean SST, representative of differing global climate sensitivities, exert limited systematic influence on LSP patterns. These results highlight the importance to regional terrestrial precipitation changes of properly simulating the spatial distribution of large-scale, remote changes as reflected in the SST response to increasing greenhouse gases. Moreover, they provide guidance regarding which region-specific precipitation projections may be potentially better constrained for use in climate change impact assessments.

Non-stationary frequency analysis of extreme daily rainfall in Sao Paulo, Brazil

This work is an assessment of frequency of extreme values (EVs) of daily rainfall in the city of Sao Paulo. Brazil, over the period 1933-2005, based on the peaks-over-threshold (POT) and Generalized Pareto Distribution (GPD) approach. Usually. a GPD model is fitted to a sample of POT Values Selected With a constant threshold. However. in this work we use time-dependent thresholds, composed of relatively large p quantities (for example p of 0.97) of daily rainfall amounts computed from all available data. Samples of POT values were extracted with several Values of p. Four different GPD models (GPD-1, GPD-2, GPD-3. and GDP-4) were fitted to each one of these samples by the maximum likelihood (ML) method. The shape parameter was assumed constant for the four models, but time-varying covariates were incorporated into scale parameter of GPD-2. GPD-3, and GPD-4, describing annual cycle in GPD-2. linear trend in GPD-3, and both annual cycle and linear trend in GPD-4. The GPD-1 with constant scale and shape parameters is the simplest model. For identification of the best model among the four models WC used rescaled Akaike Information Criterion (AIC) with second-order bias correction. This criterion isolates GPD-3 as the best model, i.e. the one with positive linear trend in the scale parameter. The slope of this trend is significant compared to the null hypothesis of no trend, for about 98% confidence level. The non-parametric Mann-Kendall test also showed presence of positive trend in the annual frequency of excess over high thresholds. with p-value being virtually zero. Therefore. there is strong evidence that high quantiles of daily rainfall in the city of Sao Paulo have been increasing in magnitude and frequency over time. For example. 0.99 quantiles of daily rainfall amount have increased by about 40 mm between 1933 and 2005. Copyright (C) 2008 Royal Meteorological Society

An analytical relation between entropy production and quantum Lyapunov exponents for Gaussian bipartite systems

We study and compare the information loss of a large class of Gaussian bipartite systems. It includes the usual Caldeira-Leggett-type model as well as Anosov models ( parametric oscillators, the inverted oscillator environment, etc), which exhibit instability, one of the most important characteristics of chaotic systems. We establish a rigorous connection between the quantum Lyapunov exponents and coherence loss, and show that in the case of unstable environments coherence loss is completely determined by the upper quantum Lyapunov exponent, a behavior which is more universal than that of the Caldeira-Leggett-type model.

DEN KOMMUNALA FÖRVALTNINGENSOM RATIONALISTISKT IDEAL- en fallstudie om styrning och handlingsutrymme inom skola,barnomsorg och miljö- och hälsoskydd

DEN KOMMUNALA FÖRVALTNINGEN SOM RATIONALISTISKT IDEAL - en fallstudie om styrning och handlingsutrymme inom skola, barnomsorg och miljö- och hälsoskydd.(The municipal authority as a rationalist ideal - a case-study on steering and scope for initiative within child-care, education and environmental departments.)A municipal authority is a considerable producer of services in the local community and iscommonly perceived as an important sector of the Swedish welfare system. One aspect of awell-functioning municipal organisation is that its administrative organs function efficiently.This study examines how activities in municipal administration are steered. The focus is on how different methods are used within a vertical hierarchical perspective to influence the actions of the participants and how the latter try to create space for action. To analyse the problem an ideal-type steering model is used.The study consists of three sections. In the first the research problem and the aims of the study are introduced as well as the methodological and theoretical approach. The result of the study is presented in the second section and in the third conclusions are drawn and discussed.The study shows that the perceptions of the participants involved regarding the possibilities of steering the everyday activities with the support of the methods studied differ on a number of points depending on the sector studied. When control of the various steering methods is distributed in different organisational units in the municipality a number of steering mechanisms operate side-by-side, sometimes in harmony and sometimes independently or in pure conflict with their goals. Steering leads to clear restrictions but there is clearlyroom for initiative, a ‘free-zone’ where the individual has room to act independently. Is it possible based on this study to state whether the ideal-type model functions in the way intended? On many accounts it would seem doubtful whether the effects of steering lead to beneficial effects for the activity. Rather it would seem that the effects of steeringsometimes function more or less randomly because the administration exists in a complexcontext in which the staff can be expected to have its own expectations and act in accordancewith them.

Volatility Triggered Range Forward (VTRF): an instrument for protection against volatility fluctuations in the BRL/USD pair

Este trabalho propõe um instrumento capaz de absorver choques no par BRL/USD, garantindo ao seu detentor a possibilidade de realizar a conversão entre essas moedas a uma taxa observada recentemente. O Volatility Triggered Range Forward assemelha-se a um instrumento forward comum, cujo preço de entrega não é conhecido inicialmente, mas definido no momento em que um nível de volatilidade pré-determinado for atingido na cotação das moedas ao longo da vida do instrumento. Seu cronograma de ajustes pode ser definido para um número qualquer de períodos. Seu apreçamento e controle de riscos é baseado em uma árvore trinomial ponderada entre dois possíveis regimes de volatilidade. Esses regimes são determinados após um estudo na série BRL/USD no período entre 2003 e 2009, basedo em um modelo Switching Autoregressive Conditional Heteroskedasticity (SWARCH).

The role of consumer's risk aversion on price rigidity

This paper aims at contributing to the research agenda on the sources of price stickiness, showing that the adoption of nominal price rigidity may be an optimal firms' reaction to the consumers' behavior, even if firms have no adjustment costs. With regular broadly accepted assumptions on economic agents behavior, we show that firms' competition can lead to the adoption of sticky prices as an (sub-game perfect) equilibrium strategy. We introduce the concept of a consumption centers model economy in which there are several complete markets. Moreover, we weaken some traditional assumptions used in standard monetary policy models, by assuming that households have imperfect information about the ineflicient time-varying cost shocks faced by the firms, e.g. the ones regarding to inefficient equilibrium output leveIs under fiexible prices. Moreover, the timing of events are assumed in such a way that, at every period, consumers have access to the actual prices prevailing in the market only after choosing a particular consumption center. Since such choices under uncertainty may decrease the expected utilities of risk averse consumers, competitive firms adopt some degree of price stickiness in order to minimize the price uncertainty and fi attract more customers fi.'

Crédito endogeno e politica monetaria na Argentina e no Chile

In a general equilibrium Ramsey type model with heterogeneous agents we study the conditions for which a credit restriction can be a source of endogenous cycle to credit and capital.

Profundidade de mercado na BM&FBovespa: um modelo de alta frequência para estimação da profundidade de mercado da BM&FBovespa

O objetivo desse trabalho é encontrar uma medida dinâmica de liquidez de ações brasileiras, chamada VNET. Foram utilizados dados de alta frequência para criar um modelo capaz de medir o excesso de compras e vendas associadas a um movimento de preços. Ao variar no tempo, o VNET pode ser entendido como a variação da proporção de agentes informados em um modelo de informação assimétrica. Uma vez estimado, ele pode ser utilizado para prever mudanças na liquidez de uma ação. O VNET tem implicações práticas importantes, podendo ser utilizado por operadores como uma medida estocástica para identificar quais seriam os melhores momentos para operar. Gerentes de risco também podem estimar a deterioração de preço esperada ao se liquidar uma posição, sendo possível analisar suas diversas opções, servindo de base para otimização da execução. Na construção do trabalho encontramos as durações de preço de cada ação e as diversas medidas associadas a elas. Com base nos dados observa-se que a profundidade varia com ágio de compra e venda, com o volume negociado, com o numero de negócios, com a duração de preços condicional e com o seu erro de previsão. Os resíduos da regressão de VNET se mostraram bem comportados o que corrobora a hipótese de que o modelo foi bem especificado. Para estimar a curva de reação do mercado, variamos os intervalos de preço usados na definição das durações.

Um sistema para estimação da vazão de gás de poços produzindo por Plunger Lift para vaso separador de teste em plataformas de petróleo

This work intends to analyze the behavior of the gas flow of plunger lift wells producing to well testing separators in offshore production platforms to aim a technical procedure to estimate the gas flow during the slug production period. The motivation for this work appeared from the expectation of some wells equipped with plunger lift method by PETROBRAS in Ubarana sea field located at Rio Grande do Norte State coast where the produced fluids measurement is made in well testing separators at the platform. The oil artificial lift method called plunger lift is used when the available energy of the reservoir is not high enough to overcome all the necessary load losses to lift the oil from the bottom of the well to the surface continuously. This method consists, basically, in one free piston acting as a mechanical interface between the formation gas and the produced liquids, greatly increasing the well s lifting efficiency. A pneumatic control valve is mounted at the flow line to control the cycles. When this valve opens, the plunger starts to move from the bottom to the surface of the well lifting all the oil and gas that are above it until to reach the well test separator where the fluids are measured. The well test separator is used to measure all the volumes produced by the well during a certain period of time called production test. In most cases, the separators are designed to measure stabilized flow, in other words, reasonably constant flow by the use of level and pressure electronic controllers (PLC) and by assumption of a steady pressure inside the separator. With plunger lift wells the liquid and gas flow at the surface are cyclical and unstable what causes the appearance of slugs inside the separator, mainly in the gas phase, because introduce significant errors in the measurement system (e.g.: overrange error). The flow gas analysis proposed in this work is based on two mathematical models used together: i) a plunger lift well model proposed by Baruzzi [1] with later modifications made by Bolonhini [2] to built a plunger lift simulator; ii) a two-phase separator model (gas + liquid) based from a three-phase separator model (gas + oil + water) proposed by Nunes [3]. Based on the models above and with field data collected from the well test separator of PUB-02 platform (Ubarana sea field) it was possible to demonstrate that the output gas flow of the separator can be estimate, with a reasonable precision, from the control signal of the Pressure Control Valve (PCV). Several models of the System Identification Toolbox from MATLAB® were analyzed to evaluate which one better fit to the data collected from the field. For validation of the models, it was used the AIC criterion, as well as a variant of the cross validation criterion. The ARX model performance was the best one to fit to the data and, this way, we decided to evaluate a recursive algorithm (RARX) also with real time data. The results were quite promising that indicating the viability to estimate the output gas flow rate from a plunger lift well producing to a well test separator, with the built-in information of the control signal to the PCV

On the incorporation of the non-steroidal anti-inflammatory naproxen into cationic O/W microemulsions

Microemulsions (ME) containing hexadecyltrimethylammonium bromide (HTAB)/ethanol as surfactant, isopropylmyristate (IM) or butylstearate (BS) as oil phase and aqueous buffer were studied. Pseudo-ternary phase diagrams of the investigated systems were obtained at constant surfactant/cosurfactant molar ratio (1:5) by titration in order to characterize the proportions between the components to obtain clear systems. Oil in water microemulsions were prepared in a wide range of phase volume (phi). UV-vis absorption spectra of naproxen at pH 5.5 showed that the solubility of Np increases significantly in the presence of O/W ME in high phase volumes. For both, IM and BS microemulsions, the dynamic light scattering experiments showed that the size of the oil droplets remains constant in low values of phi, increasing abruptly in high phi values. Phase solubility study revealed that for both IM and BS microemulsions, the drug incorporation followed a straight-line profile in all range of phi. The data could be analyzed through the phase-separation model and the association constants (K) calculated varied from 27 to 90 M-1, depending on the pH and on the microemulsion oil phase. (c) 2005 Elsevier B.V. All rights reserved.

Influence of processing parameters on nanomaterials synthesis efficiency by a carbothermal reduction process

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

Association between distressing non-work-related events and occupational injuries

The following is a report on a case-control study whose objective was to investigate the association between distressing non-work-related events and occupational injures. Ninety three injured workers (cases) were matched with 372 non-injured controls in a large metallurgical factory in southeastern Brazil. Exposure to distressing non-work-related events was measured through a questionnaire focusing on situations pertaining to personal problems unrelated to work activities. The data were analyzed by adjusting a conditional logistic regression model, where occurrence of the work injury was the dependent dichotomous variable and answers from the questionnaire were independent continuous variables. The analysis showed an association between some distressing non-work-related events and occupational injuries. These findings imply expanding the horizon of preventive measures used in targeting. work injuries which have traditionally been focused on the control of strictly workplace risks.

DNA Psi-condensation and reentrant decondensation: Effect of the PEG degree of polymerization

psi-Condensation of DNA fragments of about 4 kbp was induced by poly(ethylene glycol) (PEG), with degrees of polymerization ranging from 45 to 182, and univalent salt (NaCl). Using circular dichroism spectroscopy, we were able to accurately determine the critical amount of PEG needed to induce condensation, as a function of the NaCl concentration. A significant dependence on the PEG degree of polymerization was found. Phase boundaries determined for the multimolecular condensation were very similar to those observed previously for the monomolecular collapse, with two asymptotic regimes at low and high salt concentrations. We analyze our data using a theoretical model that properly takes into account both the polyelectrolyte nature of the DNA and the liquid crystallinity of the condensed phase. The model assumes that all PEG is excluded from the condensates and shows reentrant decondensation only at low salt. We also systematically study reentrant decondensation and find a very strong dependence on PEG molecular weight. At low PEG molecular weight, decondensation occurs at relatively low concentrations of PEG, and over a wide range of salt concentrations. This suggests that in the reentrant decondensation the flexible polymers used are not completely excluded from the condensed phase.