A stochastic discount factor approach to asset pricing using panel data asymptotics

Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the "common feature" in every asset return of the economy. Our estimator is a simple function of asset returns and does not depend on any parametric function representing preferences. The techniques discussed in this paper were applied to two relevant issues in macroeconomics and finance: the first asks what type of parametric preference-representation could be validated by asset-return data, and the second asks whether or not our SDF estimator can price returns in an out-of-sample forecasting exercise. In formal testing, we cannot reject standard preference specifications used in the macro/finance literature. Estimates of the relative risk-aversion coefficient are between 1 and 2, and statistically equal to unity. We also show that our SDF proxy can price reasonably well the returns of stocks with a higher capitalization level, whereas it shows some difficulty in pricing stocks with a lower level of capitalization.

Deunionization in the US: a panel data analysis from 1973 to 1999

There are four different hypotheses analyzed in the literature that explain deunionization, namely: the decrease in the demand for union representation by the workers; the impaet of globalization over unionization rates; teehnieal ehange and ehanges in the legal and politieal systems against unions. This paper aims to test alI ofthem. We estimate a logistie regression using panel data proeedure with 35 industries from 1973 to 1999 and eonclude that the four hypotheses ean not be rejeeted by the data. We also use a varianee analysis deeomposition to study the impaet of these variables over the drop in unionization rates. In the model with no demographic variables the results show that these economic (tested) variables can account from 10% to 12% of the drop in unionization. However, when we include demographic variables these tested variables can account from 10% to 35% in the total variation of unionization rates. In this case the four hypotheses tested can explain up to 50% ofthe total drop in unionization rates explained by the model.

Representation of odometry errors on occupancy grids

SOUZA, Anderson A. S. ; SANTANA, André M. ; BRITTO, Ricardo S. ; GONÇALVES, Luiz Marcos G. ; MEDEIROS, Adelardo A. D. Representation of Odometry Errors on Occupancy Grids. In: INTERNATIONAL CONFERENCE ON INFORMATICS IN CONTROL, AUTOMATION AND ROBOTICS, 5., 2008, Funchal, Portugal. Proceedings... Funchal, Portugal: ICINCO, 2008.

Husserl on Geometry and Spatial Representation

Husserl left many unpublished drafts explaining (or trying to) his views on spatial representation and geometry, such as, particularly, those collected in the second part of Studien zur Arithmetik und Geometrie (Hua XXI), but no completely articulate work on the subject. In this paper, I put forward an interpretation of what those views might have been. Husserl, I claim, distinguished among different conceptions of space, the space of perception (constituted from sensorial data by intentionally motivated psychic functions), that of physical geometry (or idealized perceptual space), the space of the mathematical science of physical nature (in which science, not only raw perception has a word) and the abstract spaces of mathematics (free creations of the mathematical mind), each of them with its peculiar geometrical structure. Perceptual space is proto-Euclidean and the space of physical geometry Euclidean, but mathematical physics, Husserl allowed, may find it convenient to represent physical space with a non-Euclidean structure. Mathematical spaces, on their turn, can be endowed, he thinks, with any geometry mathematicians may find interesting. Many other related questions are addressed here, in particular those concerning the a priori or a posteriori character of the many geometric features of perceptual space (bearing in mind that there are at least two different notions of a priori in Husserl, which we may call the conceptual and the transcendental a priori). I conclude with an overview of Weyl's ideas on the matter, since his philosophical conceptions are often traceable back to his former master, Husserl.

Homonymy in natural language processes: A representation using Pustejovsky's Qualia Structure and ontological information

This paper presents a proposal for the semantic treatment of ambiguous homographic forms in Brazilian Portuguese, and to offer linguistic strategies for its computational implementation in Systems of Natural Language Processing (SNLP). Pustejovsky's Generative Lexicon was used as a theoretical model. From this model, the Qualia Structure - QS (and the Formal, Telic, Agentive and Constitutive roles) was selected as one of the linguistic and semantic expedients for the achievement of disambiguation of homonym forms. So that analyzed and treated data could be manipulated, we elaborated a Lexical Knowledge Base (LKB) where lexical items are correlated and interconnected by different kinds of semantic relations in the QS and ontological information.

The generation and utilization of a cancer-oriented representation of the human transcriptome by using expressed sequence tags

Whereas genome sequencing defines the genetic potential of an organism, transcript sequencing defines the utilization of this potential and links the genome with most areas of biology. To exploit the information within the human genome in the fight against cancer, we have deposited some two million expressed sequence tags (ESTs) from human tumors and their corresponding normal tissues in the public databases. The data currently define approximate to23,500 genes, of which only approximate to1,250 are still represented only by ESTs. Examination of the EST coverage of known cancer-related (CR) genes reveals that <1% do not have corresponding ESTs, indicating that the representation of genes associated with commonly studied tumors is high. The careful recording of the origin of all ESTs we have produced has enabled detailed definition of where the genes they represent are expressed in the human body. More than 100,000 ESTs are available for seven tissues, indicating a surprising variability of gene usage that has led to the discovery of a significant number of genes with restricted expression, and that may thus be therapeutically useful. The ESTs also reveal novel nonsynonymous germline variants (although the one-pass nature of the data necessitates careful validation) and many alternatively spliced transcripts. Although widely exploited by the scientific community, vindicating our totally open source policy, the EST data generated still provide extensive information that remains to be systematically explored, and that may further facilitate progress toward both the understanding and treatment of human cancers.

Employing 2D Projections for Fast Visual Exploration of Large Fiber Tracking Data

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Conceptual model for adaptable and extensible visual data exploration

Interactive visual representations complement traditional statistical and machine learning techniques for data analysis, allowing users to play a more active role in a knowledge discovery process and making the whole process more understandable. Though visual representations are applicable to several stages of the knowledge discovery process, a common use of visualization is in the initial stages to explore and organize a sometimes unknown and complex data set. In this context, the integrated and coordinated - that is, user actions should be capable of affecting multiple visualizations when desired - use of multiple graphical representations allows data to be observed from several perspectives and offers richer information than isolated representations. In this paper we propose an underlying model for an extensible and adaptable environment that allows independently developed visualization components to be gradually integrated into a user configured knowledge discovery application. Because a major requirement when using multiple visual techniques is the ability to link amongst them, so that user actions executed on a representation propagate to others if desired, the model also allows runtime configuration of coordinated user actions over different visual representations. We illustrate how this environment is being used to assist data exploration and organization in a climate classification problem.

Thermal evaporation: Representation of rise in boiling point of grapefruit juice

The rise in boiling point of grapefruit juice was experimentally measured at soluble solids concentrations in the range of 9.3-60.6 °Brix and pressures between °6.0 × 103 and 9.0 × 104 Pa. Different approaches to represent experimental data, including the Dhring's rule, the Antoine equation and empirical models proposed in the literature were tested. In the range of 9.3-29.0 °Brix, the rise in boiling point was nearly independent of pressure, varying only with juice concentration. Considerable deviations of this behavior began to occur at concentrations higher than 29.0 °Brix. Experimental data could be best predicted by adjusting an empirical model, which consisted of a single equation that takes into account the dependence of rise in boiling point on pressure and concentration. © SAGE Publications 2007.

Determination of disease biomarkers in Eucalyptus by comprehensive two-dimensional gas chromatography and multivariate data analysis

In this paper is reported the use of the chromatographic profiles of volatiles to determine disease markers in plants - in this case, leaves of Eucalyptus globulus contaminated by the necrotroph fungus Teratosphaeria nubilosa. The volatile fraction was isolated by headspace solid phase microextraction (HS-SPME) and analyzed by comprehensive two-dimensional gas chromatography-fast quadrupole mass spectrometry (GC. ×. GC-qMS). For the correlation between the metabolic profile described by the chromatograms and the presence of the infection, unfolded-partial least squares discriminant analysis (U-PLS-DA) with orthogonal signal correction (OSC) were employed. The proposed method was checked to be independent of factors such as the age of the harvested plants. The manipulation of the mathematical model obtained also resulted in graphic representations similar to real chromatograms, which allowed the tentative identification of more than 40 compounds potentially useful as disease biomarkers for this plant/pathogen pair. The proposed methodology can be considered as highly reliable, since the diagnosis is based on the whole chromatographic profile rather than in the detection of a single analyte. © 2013 Elsevier B.V..

Cortical representation of the horizon in V1 and peripheral scaling in mammals with lateral eyes

In the present investigation we mapped the primary visual area of the South American diurnal rodent, Dasyprocta aguti, by standardized electrophysiological mapping techniques. In particular, we performed a series of mapping experiments of the visual streak in the primary visual cortex. We found that the representation of the visual streak in V1 is greatly expanded, the nasal 10 degrees of the visual streak representation occupies ten times more cortical area than equivalent areas in the central or temporal representation. Comparison of these data with those on the density of ganglion cells in the retina at corresponding locations in the visual field reveal a significant mismatch between these two variables. The nasal representation is greatly expanded along the horizontal meridian in V1 as compared to the central and temporal regions whereas the density of ganglion cells decreases with progression along the visual streak from central region towards the nasal or temporal visual field. A review of the available data reveals that all lateral-eyed mammals exhibit a similar mismatch between the retinal and cortical representation of the visual field, and this mismatches is greater in those species with well defined visual streaks such as rabbit and agouti.

Bias na Representação de Assunto: Uma Discussão de Oposições Binárias nos Functional Requirements for Subject Authority Data (FRSAD)

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

Efficient Forest Data Structure for Evolutionary Algorithms Applied to Network Design

The design of a network is a solution to several engineering and science problems. Several network design problems are known to be NP-hard, and population-based metaheuristics like evolutionary algorithms (EAs) have been largely investigated for such problems. Such optimization methods simultaneously generate a large number of potential solutions to investigate the search space in breadth and, consequently, to avoid local optima. Obtaining a potential solution usually involves the construction and maintenance of several spanning trees, or more generally, spanning forests. To efficiently explore the search space, special data structures have been developed to provide operations that manipulate a set of spanning trees (population). For a tree with n nodes, the most efficient data structures available in the literature require time O(n) to generate a new spanning tree that modifies an existing one and to store the new solution. We propose a new data structure, called node-depth-degree representation (NDDR), and we demonstrate that using this encoding, generating a new spanning forest requires average time O(root n). Experiments with an EA based on NDDR applied to large-scale instances of the degree-constrained minimum spanning tree problem have shown that the implementation adds small constants and lower order terms to the theoretical bound.

Identifying regulational alterations in gene regulatory networks by state space representation of vector autoregressive models and variational annealing

Background: In the analysis of effects by cell treatment such as drug dosing, identifying changes on gene network structures between normal and treated cells is a key task. A possible way for identifying the changes is to compare structures of networks estimated from data on normal and treated cells separately. However, this approach usually fails to estimate accurate gene networks due to the limited length of time series data and measurement noise. Thus, approaches that identify changes on regulations by using time series data on both conditions in an efficient manner are demanded. Methods: We propose a new statistical approach that is based on the state space representation of the vector autoregressive model and estimates gene networks on two different conditions in order to identify changes on regulations between the conditions. In the mathematical model of our approach, hidden binary variables are newly introduced to indicate the presence of regulations on each condition. The use of the hidden binary variables enables an efficient data usage; data on both conditions are used for commonly existing regulations, while for condition specific regulations corresponding data are only applied. Also, the similarity of networks on two conditions is automatically considered from the design of the potential function for the hidden binary variables. For the estimation of the hidden binary variables, we derive a new variational annealing method that searches the configuration of the binary variables maximizing the marginal likelihood. Results: For the performance evaluation, we use time series data from two topologically similar synthetic networks, and confirm that our proposed approach estimates commonly existing regulations as well as changes on regulations with higher coverage and precision than other existing approaches in almost all the experimental settings. For a real data application, our proposed approach is applied to time series data from normal Human lung cells and Human lung cells treated by stimulating EGF-receptors and dosing an anticancer drug termed Gefitinib. In the treated lung cells, a cancer cell condition is simulated by the stimulation of EGF-receptors, but the effect would be counteracted due to the selective inhibition of EGF-receptors by Gefitinib. However, gene expression profiles are actually different between the conditions, and the genes related to the identified changes are considered as possible off-targets of Gefitinib. Conclusions: From the synthetically generated time series data, our proposed approach can identify changes on regulations more accurately than existing methods. By applying the proposed approach to the time series data on normal and treated Human lung cells, candidates of off-target genes of Gefitinib are found. According to the published clinical information, one of the genes can be related to a factor of interstitial pneumonia, which is known as a side effect of Gefitinib.

Central pain due to stroke: cognitive representation and coping according to gender

Objective: To identify and compare perceptions of pain and how it is faced between men and women with central post-stroke pain. Methods: The participants were 25 men and 25 women of minimum age 30 years-old and minimum schooling level of four years, presenting central post-stroke pain for at least three months. The instruments used were: Mini-Mental State Examination; structured interview for the Brief Psychiatric Scale; Survey of Sociodemographic and Clinical Data; Visual Analogue Scale (VAS); Ways of Coping with Problems Scale (WCPS) in Scale; Revised Illness Perception Questionnaire (IPQ-R); and Beck Depression Inventory (BD). Results: A significantly greater number of women used the coping strategy "Turn to spiritual and religious activities" in WCPS. They associated their emotional state with the cause of pain in IPQ-R. "Distraction of attention" was the strategy most used by the subjects. Conclusion: Women used spiritual and religious activities more as a coping strategy and perceived their emotional state as the cause of pain.