A new industry concentration index

We propose and analyse a new concentration index alternative to the Herfindahl-Hirschman Index (HHI). This new index emphasises the concept of competitive balance. It is designed to preserve the convexity property of the HHI when a merger involves one of the m largest firms, but to decrease and thus to indicate an increase in competition when a merger is purely among the (n − m) smallest firms.

Homothetic preferences

This paper describes properties of upper semi-continuous homothetic preferences. First we give conditions for the existence of an upper semi-continuous representation which is homogeneous of degree one. Then we show that with the additional assumptions of monotonicity or strict convexity, the preference is continuous. Several counterexamples illustrate the tightness of the results.

Abstract types and distributions in independent private value auctions

In this note, in an independent private values auction framework, I discuss the relationship between the set of types and the distribution of types. I show that any set of types, finite dimensional or not, can be extended to a larger set of types preserving incentive compatibility constraints, expected revenue and bidder’s expected utilities. Thus for example we may convexify a set of types making our model amenable to the large body of theory in economics and mathematics that relies on convexity assumptions. An interesting application of this extension procedure is to show that although revenue equivalence is not valid in general if the set of types is not convex these mechanism have underlying distinct allocation mechanism in the extension. Thus we recover in these situations the revenue equivalence.

Mercado brasileiro: aplicação de análise de componentes principais no cálculo de VAR para carteiras de renda fixa

A abordagem do Value at Risk (VAR) neste trabalho será feita a partir da análise da curva de juros por componentes principais (Principal Component Analysis – PCA). Com essa técnica, os movimentos da curva de juros são decompostos em um pequeno número de fatores básicos independentes um do outro. Entre eles, um fator de deslocamento (shift), que faz com que as taxas da curva se movam na mesma direção, todas para cima ou para baixo; de inclinação (twist) que rotaciona a curva fazendo com que as taxas curtas se movam em uma direção e as longas em outra; e finalmente movimento de torção, que afeta vencimentos curtos e longos no mesmo sentido e vencimentos intermediários em sentido oposto. A combinação destes fatores produz cenários hipotéticos de curva de juros que podem ser utilizados para estimar lucros e perdas de portfolios. A maior perda entre os cenários gerados é uma maneira intuitiva e rápida de estimar o VAR. Este, tende a ser, conforme verificaremos, uma estimativa conservadora do respectivo percentual de perda utilizado. Existem artigos sobre aplicações de PCA para a curva de juros brasileira, mas desconhecemos algum que utilize PCA para construção de cenários e cálculo de VAR, como é feito no presente trabalho.Nesse trabalho, verificaremos que a primeira componente principal produz na curva um movimento de inclinação conjugado com uma ligeira inclinação, ao contrário dos resultados obtidos em curvas de juros de outros países, que apresentam deslocamentos praticamente paralelos.

Inflation and overbanking

This paper argues that monetary models can and usually present the phenomenon of over-banking; that is, the market solution of the model presents a size of the banking sector which is higher than the social optima. Applying a two sector monetary model of capital accumulation in presence of a banking sector, which supplies liquidity services, it is shown that the rise of a tax that disincentives the acquisition of the banking service presents the following impacts on welfare. If the technology is the same among the sectors, the tax increases welfare; otherwise, steady-state utility increase if the banking sector is labor-intensive compared to the real sector. Additionally, it is proved that the elevation of inflation has the following impact on the economy's equilibrium: the share on the product of the banking sector increases; the product and the stock of capital increases or reduces whether the banking sector is capital-intensive or laborintensive; and, the steady-state utility reduces. The results were derived under a quite general set up - standard hypothesis regarding concavity of preference, convexity of technology, and normality of goods - were required.

Endogenous normative indices for the industry concentration

This paper presents new indices for measuring the industry concentration. The indices proposed (C n ) are of a normative type because they embody (endogenous) weights matching the market shares of the individual firms to their Marshallian welfare shares. These indices belong to an enlarged class of the Performance Gradient Indexes introduced by Dansby&Willig(I979). The definition of Cn for the consumers allows a new interpretation for the Hirschman-Herfindahl index (H), which can be viewed as a normative index according to particular values of the demand parameters. For homogeneous product industries, Cn equates H for every market distribution if (and only if) the market demand is linear. Whenever the inverse demand curve is convex (concave), H underestimates( overestimates) the industry concentration measured by the normative indexo For these industries, H overestimates (underestimates) the concentration changes caused by market transfers among small firms if the inverse demand curve is convex(concave) and underestimates( overestimates) it when such tranfers benefit a large firm, according to the convexity (or the concavity) of the demand curve. For heterogeneous product industries, an explicit normative index is obtained with a market demand derived from a quasi-linear utilility function. Under symmetric preferences among the goods, the index Cn is always greater than or equal the H-index. Under asymmetric assumptions, discrepancies between the firms' market distribution and the differentiationj substitution distributions among the goods, increase the concentration but make room for some horizontal mergers do reduce it. In particular, a mean preserving spread of the differentiation(substitution) increases(decreases) the concentration only if the smaller firms' goods become more(less) differentiated(substitute) w.r.t. the other goods. One important consequence of these results is that the consumers are benefitted when the smaller firms are producing weak substitute goods, and the larger firms produce strong substitute goods or face demand curves weakly sensitive to their own prices.

Pricing the option adjust spread of Brazilian Eurobonds

This paper presents results of a pricing system to compute the option adjusted spread ("DAS") of Eurobonds issued by Brazilian firms. The system computes the "DAS" over US treasury rates taktng imo account the embedded options present on these bonds. These options can be calls ("callable bond"), puts ("putable bond") or combinations ("callable and putable bond"). The pricing model takes into account the evolution of the term structure along time, is compatible with the observable market term structure and is able to compute risk measures such as duration and convexity, and pricing and hedging of options on these bonds. Examples show the ejJects of the embedded options on the spread and risk measures as well as the ejJects on the spread due to variations on the volatility parameters ofthe short rate.

Estratégias de imunização de carteira de renda fixa no Brasil

Este trabalho visa comparar, estatisticamente, o desempenho de duas estratégias de imunização de carteiras de renda fixa, que são recalibradas periodicamente. A primeira estratégia, duração, considera alterações no nível da estrutura a termo da taxa de juros brasileira, enquanto a abordagem alternativa tem como objetivo imunizar o portfólio contra oscilações em nível, inclinação e curvatura. Primeiro, estimamos a curva de juros a partir do modelo polinomial de Nelson & Siegel (1987) e Diebold & Li (2006). Segundo, imunizamos a carteira de renda fixa adotando o conceito de construção de hedge de Litterman & Scheinkman (1991), porém assumindo que as taxas de juros não são observadas. O portfólio imunizado pela estratégia alternativa apresenta empiricamente um desempenho estatisticamente superior ao procedimento de duração. Mostramos também que a frequência ótima de recalibragem é mensal na análise empírica.

Asymetric price adjustment and loss aversion

Ajuste assimétrico de preço é observado em diversos mercados, notavelmente varejo de gasolina: um aumento de custo é passado para os consumidores mais rápido do que uma redução. Eu desenvolvo um modelo de busca dos consumidores que gera essa predição sob aversão à perda. Uma fração dos consumidores ignora os preços no mercado e pode adquirir informação a um custo, o que permite que as firmas tenham lucro com dispersão de preços. Ajuste assimétrico de preço emerge se os consumidores são aversos a perdas em relação a um preço de referência. Custos mais altos tornam os consumidores mais dispostos a procurar, mas também diminui as chances de encontrar preços baixos, gerando uma relação custo-preço convexa.

Contribuição da Geodésia ao monitoramento costeiro do Litoral Setentrional do Rio Grande do Norte, área de influência da indústria petrolífera

The general objective of this thesis has been seasonal monitoring (quarterly time scale) of coastal and estuarine areas of a section of the Northern Coast of Rio Grande do Norte, Brazil, environmentally sensitive and with intense sediment erosion in the oil activities to underpin the implementation of projects for containment of erosion and mitigate the impacts of coastal dynamics. In order to achieve the general objective, the work was done systematically in three stages which consisted the specific objectives. The first stage was the implementation of geodetic reference infrastructure for carrying out the geodetic survey of the study area. This process included the implementation of RGLS (Northern Coast of the RN GPS Network), consisting of stations with geodetic coordinates and orthometric heights of precision; positioning of Benchmarks and evaluation of the gravimetric geoid available, for use in GPS altimetry of precision; and development of software for GPS altimetry of precision. The second stage was the development and improvement of methodologies for collection, processing, representation, integration and analysis of CoastLine (CL) and Digital Elevation Models (DEM) obtained by geodetic positioning techniques. As part of this stage have been made since, the choice of equipment and positioning methods to be used, depending on the required precision and structure implanted, and the definition of the LC indicator and of the geodesic references best suited, to coastal monitoring of precision. The third step was the seasonal geodesic monitoring of the study area. It was defined the execution times of the geodetic surveys by analyzing the pattern of sediment dynamics of the study area; the performing of surveys in order to calculate and locate areas and volumes of erosion and accretion (sandy and volumetric sedimentary balance) occurred on CL and on the beaches and islands surfaces throughout the year, and study of correlations between the measured variations (in area and volume) between each survey and the action of the coastal dynamic agents. The results allowed an integrated study of spatial and temporal interrelationships of the causes and consequences of intensive coastal processes operating in the area, especially to the measurement of variability of erosion, transport, balance and supply sedimentary over the annual cycle of construction and destruction of beaches. In the analysis of the results, it was possible to identify the causes and consequences of severe coastal erosion occurred on beaches exposed, to analyze the recovery of beaches and the accretion occurring in tidal inlets and estuaries. From the optics of seasonal variations in the CL, human interventions to erosion contention have been proposed with the aim of restoring the previous situation of the beaches in the process of erosion.

Receptores GPS de três precisões e estação total na caracterização de cotas básicas para projetos rurais

O objetivo deste estudo foi comparar cotas de vértices de uma poligonal, considerando dados coletados por três diferentes receptores GPS, usando como testemunha uma estação total. Os dados foram obtidos em uma poligonal fechada, sendo posteriormente tratados pelo software Topograph. As cotas obtidas pelos três receptores foram confrontadas com aquelas calculadas a partir do levantamento com a estação total, mediante a aplicação do teste t, constatando-se que as mesmas foram satisfatórias para o equipamento GPS Trimble® 4600 LS. Para o equipamento GPS Trimble® modelo PRO XR, as cotas não foram totalmente satisfatórias, mas possíveis de serem consideradas em anteprojetos. Para o equipamento GPS Garmin® de navegação 12 XS, as cotas mostraram-se inaceitáveis para a finalidade estudada.

Stand-alone posterior ressection of lumbar hemivertebrae: case report

Background: In this case report we presented the stand-alone posterior approach for hemivertebra resection with unilateral laminar hooks.Case report: The patient was male and five years old. The coronal and sagital X-Rays images showed a failure of vertebral formation, segmented hemivertebra of third lumbar vertebra. The segmented hemivertebra caused a thoracolumbar scoliosis from T12 to L4 (rightside convexity), of 30 degrees (Cobb angle). The patient was submitted to a hemivertebra resection from posterior approach with two unilateral laminars hooks stabilization (superior lamina in L2 and inferior lamina of L4) in association to a compression system and autologus bone graft. The coronal X-Ray image after surgery showed a partial improvement to 25 degrees (Cobb angle) between L2 and L4. After three years of follow up it was not observed system failure (hook pull-out), maintance of curve (25 degrees of Cobb angle) and correction of trunk inbalance.Conclusion: The hemivertebra resection with posterior approach is safe, with satisfactory correction of scoliosis curve, which means is a good choice for congenital scoliosis surgical treatment.

Transmission system expansion planning by an extended genetic algorithm

The paper presents an extended genetic algorithm for solving the optimal transmission network expansion planning problem. Two main improvements have been introduced in the genetic algorithm: (a) initial population obtained by conventional optimisation based methods; (b) mutation approach inspired in the simulated annealing technique, the proposed method is general in the sense that it does not assume any particular property of the problem being solved, such as linearity or convexity. Excellent performance is reported in the test results section of the paper for a difficult large-scale real-life problem: a substantial reduction in investment costs has been obtained with regard to previous solutions obtained via conventional optimisation methods and simulated annealing algorithms; statistical comparison procedures have been employed in benchmarking different versions of the genetic algorithm and simulated annealing methods.

Proposta metodológica para o imageamento, caracterização, parametrização e geração de modelos virtuais de afloramentos

The aim of this work was to describe the methodological procedures that were mandatory to develop a 3D digital imaging of the external and internal geometry of the analogue outcrops from reservoirs and to build a Virtual Outcrop Model (VOM). The imaging process of the external geometry was acquired by using the Laser Scanner, the Geodesic GPS and the Total Station procedures. On the other hand, the imaging of the internal geometry was evaluated by GPR (Ground Penetrating Radar).The produced VOMs were adapted with much more detailed data with addition of the geological data and the gamma ray and permeability profiles. As a model for the use of the methodological procedures used on this work, the adapted VOM, two outcrops, located at the east part of the Parnaiba Basin, were selected. On the first one, rocks from the aeolian deposit of the Piaui Formation (Neo-carboniferous) and tidal flat deposits from the Pedra de Fogo Formation (Permian), which arises in a large outcrops located between Floriano and Teresina (Piauí), are present. The second area, located at the National Park of Sete Cidades, also at the Piauí, presents rocks from the Cabeças Formation deposited in fluvial-deltaic systems during the Late Devonian. From the data of the adapted VOMs it was possible to identify lines, surfaces and 3D geometry, and therefore, quantify the geometry of interest. Among the found parameterization values, a table containing the thickness and width, obtained in canal and lobes deposits at the outcrop Paredão and Biblioteca were the more relevant ones. In fact, this table can be used as an input for stochastic simulation of reservoirs. An example of the direct use of such table and their predicted radargrams was the identification of the bounding surface at the aeolian sites from the Piauí Formation. In spite of such radargrams supply only bi-dimensional data, the acquired lines followed of a mesh profile were used to add a third dimension to the imaging of the internal geometry. This phenomenon appears to be valid for all studied outcrops. As a conclusion, the tool here presented can became a new methodology in which the advantages of the digital imaging acquired from the Laser Scanner (precision, accuracy and speed of acquisition) were combined with the Total Station procedure (precision) using the classical digital photomosaic technique

Gravitomagnetismo e o teste da sonda gravidade B

The so-called gravitomagnetic field arised as an old conjecture that currents of matter (no charges) would produce gravitational effects similar to those produced by electric currents in electromagnetism. Hans Thirring in 1918, using the weak field approximation to the Einsteins field equations, deduced that a slowly rotating massive shell drags the inertial frames in the direction of its rotation. In the same year, Joseph Lense applied to astronomy the calculations of Thirring. Later, that effect came to be known as the Lense- Thirring effect. Along with the de Sitter effect, those phenomena were recently tested by a gyroscope in orbit around the Earth, as proposed by George E. Pugh in 1959 and Leonard I. Schiff in 1960. In this dissertation, we study the gravitational effects associated with the rotation of massive bodies in the light of the Einsteins General Theory of Relativity. With that finality, we develop the weak field approximation to General Relativity and obtain the various associated gravitational effects: gravitomagnetic time-delay, de Sitter effect (geodesic precession) and the Lense-Thirring effect (drag of inertial frames). We discus the measures of the Lense-Thirring effect done by LAGEOS Satellite (Laser Geodynamics Satellite) and the Gravity Probe B - GPB - mission. The GPB satellite was launched into orbit around the Earth at an altitude of 642 km by NASA in 2004. Results presented in May 2011 clearly show the existence of the Lense-Thirring effect- a drag of inertial frames of 37:2 7:2 mas/year (mas = milliarcsec)- and de Sitter effect - a geodesic precession of 6; 601:8 18:3 mas/year- measured with an accuracy of 19 % and of 0.28 % respectively (1 mas = 4:84810��9 radian). These results are in a good agreement with the General Relativity predictions of 41 mas/year for the Lense-Thirring effect and 6,606.1 mas/year for the de Sitter effect.