Volatilidade implícita das opções de ações: uma análise sobre a volatilidade futura

O objetivo desse trabalho é avaliar a capacidade de previsão do mercado sobre a volatilidade futura a partir das informações obtidas nas opções de Petrobras e Vale, além de fazer uma comparação com modelos do tipo GARCH e EWMA. Estudos semelhantes foram realizados no mercado de ações americano: Seja com uma cesta de ações selecionadas ou com relação ao índice S&P 100, as conclusões foram diversas. Se Canina e Figlewski (1993) a “volatilidade implícita tem virtualmente nenhuma correlação com a volatilidade futura”, Christensen e Prabhala (1998) concluem que a volatilidade implícita é um bom preditor da volatilidade futura. No mercado brasileiro, Andrade e Tabak (2001) utilizam opções de dólar para estudar o conteúdo da informação no mercado de opções. Além disso, comparam o poder de previsão da volatilidade implícita com modelos de média móvel e do tipo GARCH. Os autores concluem que a volatilidade implícita é um estimador viesado da volatilidade futura mas de desempenho superior se comparada com modelos estatísticos. Gabe e Portugal (2003) comparam a volatilidade implícita das opções de Telemar (TNLP4) com modelos estatísticos do tipo GARCH. Nesse caso, volatilidade implícita tambem é um estimador viesado, mas os modelos estatísticos além de serem bons preditores, não apresentaram viés. Os dados desse trabalho foram obtidos ao longo de 2008 e início de 2009, optando-se por observações intradiárias das volatilidades implícitas das opções “no dinheiro” de Petrobrás e Vale dos dois primeiros vencimentos. A volatidade implícita observada no mercado para ambos os ativos contém informação relevante sobre a volatilidade futura, mas da mesma forma que em estudos anteriores, mostou-se viesada. No caso específico de Petrobrás, o modelo GARCH se mostrou um previsor eficiente da volatilidade futura

Modelo Nelson-Siegel dinâmico da estrutura a termo da taxa de juros com fatores exógenos macroeconômicos: uma aplicação ao mercado brasileiro

A tradicional representação da estrutura a termo das taxas de juros em três fatores latentes (nível, inclinação e curvatura) teve sua formulação original desenvolvida por Charles R. Nelson e Andrew F. Siegel em 1987. Desde então, diversas aplicações vêm sendo desenvolvidas por acadêmicos e profissionais de mercado tendo como base esta classe de modelos, sobretudo com a intenção de antecipar movimentos nas curvas de juros. Ao mesmo tempo, estudos recentes como os de Diebold, Piazzesi e Rudebusch (2010), Diebold, Rudebusch e Aruoba (2006), Pooter, Ravazallo e van Dijk (2010) e Li, Niu e Zeng (2012) sugerem que a incorporação de informação macroeconômica aos modelos da ETTJ pode proporcionar um maior poder preditivo. Neste trabalho, a versão dinâmica do modelo Nelson-Siegel, conforme proposta por Diebold e Li (2006), foi comparada a um modelo análogo, em que são incluídas variáveis exógenas macroeconômicas. Em paralelo, foram testados dois métodos diferentes para a estimação dos parâmetros: a tradicional abordagem em dois passos (Two-Step DNS), e a estimação com o Filtro de Kalman Estendido, que permite que os parâmetros sejam estimados recursivamente, a cada vez que uma nova informação é adicionada ao sistema. Em relação aos modelos testados, os resultados encontrados mostram-se pouco conclusivos, apontando uma melhora apenas marginal nas estimativas dentro e fora da amostra quando as variáveis exógenas são incluídas. Já a utilização do Filtro de Kalman Estendido mostrou resultados mais consistentes quando comparados ao método em dois passos para praticamente todos os horizontes de tempo estudados.

Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia

This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly price a chosen panel of stocks returns. With the assumption that states probabilities are homogeneous we back out the risk neutral distribution and calculate five primitive tail risk measures, all extracted from this risk neutral probability. The final measure is than set as the first principal component of the preliminary measures. Using six Fama-French size and book to market portfolios to calculate our tail risk, we find that it has significant predictive power when forecasting market returns one month ahead, aggregate U.S. consumption and GDP one quarter ahead and also macroeconomic activity indexes. Conditional Fama-Macbeth two-pass cross-sectional regressions reveal that our factor present a positive risk premium when controlling for traditional factors.

Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries

Using the theoretical framework of Lettau and Ludvigson (2001), we perform an empirical investigation on how widespread is the predictability of cay {a modi ed consumption-wealth ratio { once we consider a set of important countries from a global perspective. We chose to work with the set of G7 countries, which represent more than 64% of net global wealth and 46% of global GDP at market exchange rates. We evaluate the forecasting performance of cay using a panel-data approach, since applying cointegration and other time-series techniques is now standard practice in the panel-data literature. Hence, we generalize Lettau and Ludvigson's tests for a panel of important countries. We employ macroeconomic and nancial quarterly data for the group of G7 countries, forming an unbalanced panel. For most countries, data is available from the early 1990s until 2014Q1, but for the U.S. economy it is available from 1981Q1 through 2014Q1. Results of an exhaustive empirical investigation are overwhelmingly in favor of the predictive power of cay in forecasting future stock returns and excess returns.

Medidas de risco extraídas de opções sobre petróleo

Bali, Cakici e Chabi-Yo (2011) introduziram uma nova medida de risco, englobando as medidas de risco de Aumann e Serrano (2008) e Foster e Hart (2009). Trata-se de um modelo de medida de risco implícito de opções baseado na distribuição neutra ao risco dos retornos de ativos financeiros. Este trabalho se propõe a calcular a medida de risco de Bali, Cakici e Chabi-Yo (2011) com base nas opções de petróleo, a commodity mais importante da economia mundial. Como os preços das opções incorporam a expectativa do mercado, a medida de risco calculada é considerada forward-looking. Desta forma, esse trabalho também analisa a significância dessa medida em prever a atividade econômica futura. Os resultados indicaram poder preditivo em relação ao índice VIX, o qual representa a incerteza do mercado financeiro, e ao índice CFNAI, indicador da atividade econômica norte-americana.

Allergic asthma exhaled breath metabolome: a challenge for comprehensive two-dimensional gas chromatography

Allergic asthma represents an important public health issue, most common in the paediatric population, characterized by airway inflammation that may lead to changes in volatiles secreted via the lungs. Thus, exhaled breath has potential to be a matrix with relevant metabolomic information to characterize this disease. Progress in biochemistry, health sciences and related areas depends on instrumental advances, and a high throughput and sensitive equipment such as comprehensive two-dimensional gas chromatography–time of flight mass spectrometry (GC × GC–ToFMS) was considered. GC × GC–ToFMS application in the analysis of the exhaled breath of 32 children with allergic asthma, from which 10 had also allergic rhinitis, and 27 control children allowed the identification of several hundreds of compounds belonging to different chemical families. Multivariate analysis, using Partial Least Squares-Discriminant Analysis in tandem with Monte Carlo Cross Validation was performed to assess the predictive power and to help the interpretation of recovered compounds possibly linked to oxidative stress, inflammation processes or other cellular processes that may characterize asthma. The results suggest that the model is robust, considering the high classification rate, sensitivity, and specificity. A pattern of six compounds belonging to the alkanes characterized the asthmatic population: nonane, 2,2,4,6,6-pentamethylheptane, decane, 3,6-dimethyldecane, dodecane, and tetradecane. To explore future clinical applications, and considering the future role of molecular-based methodologies, a compound set was established to rapid access of information from exhaled breath, reducing the time of data processing, and thus, becoming more expedite method for the clinical purposes.

Graph analysis of verbal fluency test discriminate between patients with Alzheimer’s disease, Mild Cognitive Impairment and normal elderly controls

Verbal fluency is the ability to produce a satisfying sequence of spoken words during a given time interval. The core of verbal fluency lies in the capacity to manage the executive aspects of language. The standard scores of the semantic verbal fluency test are broadly used in the neuropsychological assessment of the elderly, and different analytical methods are likely to extract even more information from the data generated in this test. Graph theory, a mathematical approach to analyze relations between items, represents a promising tool to understand a variety of neuropsychological states. This study reports a graph analysis of data generated by the semantic verbal fluency test by cognitively healthy elderly (NC), patients with Mild Cognitive Impairment – subtypes amnestic(aMCI) and amnestic multiple domain (a+mdMCI) - and patients with Alzheimer’s disease (AD). Sequences of words were represented as a speech graph in which every word corresponded to a node and temporal links between words were represented by directed edges. To characterize the structure of the data we calculated 13 speech graph attributes (SGAs). The individuals were compared when divided in three (NC – MCI – AD) and four (NC – aMCI – a+mdMCI – AD) groups. When the three groups were compared, significant differences were found in the standard measure of correct words produced, and three SGA: diameter, average shortest path, and network density. SGA sorted the elderly groups with good specificity and sensitivity. When the four groups were compared, the groups differed significantly in network density, except between the two MCI subtypes and NC and aMCI. The diameter of the network and the average shortest path were significantly different between the NC and AD, and between aMCI and AD. SGA sorted the elderly in their groups with good specificity and sensitivity, performing better than the standard score of the task. These findings provide support for a new methodological frame to assess the strength of semantic memory through the verbal fluency task, with potential to amplify the predictive power of this test. Graph analysis is likely to become clinically relevant in neurology and psychiatry, and may be particularly useful for the differential diagnosis of the elderly.

Resiliência e socialização organizacional de novos servidores: um estudo transcultural

The main aim of the study was to analyze the relationship between resilience and organizational socialization among newcomers from the Federal University of Rio Grande do Norte (UFRN), and the Norwegian University of Science and Technology (NTNU), comparing the results obtained in a cross-cultural perspective. The sample (N=205) was composed of mentored (N=70) and non-mentored (N=72) professors and technical-administrative employees at UFRN, and their non-mentored counterparts at NTNU (N=63). The data collection instruments used were the Organizational Socialization Inventory (OSI), the Resilience Scale for Adults (RSA) and a sociodemographic form. Data analysis was preceded by a number of tests to verify possible distinct response styles among the respondents, as they came from different cultures. Descriptive analysis and t-tests were performed to identify and compare organizational socialization and resilience outcomes. Hierarchical regression analyses were carried out, the first ones involving all participants (N=205), to observe the predictive power of resilience factors in relation to organizational socialization factors, beyond the effects of nationality, occupation and mentoring experience. The other hierarchical regression analyses were conducted separately for the professors (N=109) and technical-administrative employees (N=96); and for the mentored (N=70) and non-mentored newcomers from UFRN (N=72), and nonmentored newcomers from NTNU (N=63), to compare the predictive power of resilience in relation to organizational socialization between newcomers from the two occupations, and also among the three groups of participants. The results of this study showed that socialization and resilience profiles differed according to demographic and cultural characteristics, and to the socialization strategies adopted in the institutions studied. Furthermore, it was observed that resilience added a significant incremental prediction to all socialization factors, beyond nationality, occupation, and mentoring experience. The predictive contribution from each of the resilience factors was also noteworthy, mainly those of Planned Future and Social Resources. With respect to nationality, occupation and mentoring experience, it was noted that they explained a significant part of the variance in almost all organizational socialization factors, in addition to playing a meaningful role in predicting the scores of such factors, with some evidence of moderation or mediation by the resilience factors. Considering these and the comparative results of the predictive power of resilience in relation to the organizational socialization, between the two occupations and among the three groups of participants, as a whole, the main findings of this study were as follows: resilience tends to contribute to organizational socialization outcomes; the resilience of some subjects may be a differential factor for success in those situations in which individuals face working conditions that are less favorable to promoting their adaptation; and, a formal mentoring program may contribute to improving newcomer resilience, producing better and more homogeneous organizational socialization outcomes. The practical implications, limitations and main contributions of the study are discussed, with a number of suggestions for future research

Sete motivações teóricas para o uso da modelagem baseada no indivíduo em ecologia

A modelagem baseada no indivíduo tem sido crescentemente empregada para analisar processos ecológicos, desenvolver e avaliar teorias, bem como para fins de manejo da vida silvestre e conservação. Os modelos baseados no indivíduo (MBI) são bastante flexíveis, permitem o uso detalhado de parâmetros com maior significado biológico, sendo portanto mais realistas do que modelos populacionais clássicos, mais presos dentro de um rígido formalismo matemático. O presente artigo apresenta e discute sete razões para a adoção dos MBI em estudos de simulação na Ecologia: (1) a inerente complexidade de sistemas ecológicos, impassíveis de uma análise matemática formal; (2) processos populacionais são fenômenos emergentes, resultando das interações entre seus elementos constituintes (indivíduos) e destes com o meio; (3) poder de predição; (4) a adoção definitiva, por parte da Ecologia, de uma visão evolutiva; (5) indivíduos são entidades discretas; (6) interações são localizadas no espaço e (7) indivíduos diferem entre si.

Modeling a spatially restricted distribution in the Neotropics: How the size of calibration area affects the performance of five presence-only methods

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Detecção de hipertensão arterial em adolescentes através de marcadores gerais e adiposidade abdominal

FUNDAMENTO: A obesidade está ligada à hipertensão arterial (HA) na infância. Entretanto, o papel da gordura como preditor de HA em adolescentes permanece desconhecido. OBJETIVO: Investigar a associação entre obesidade geral e abdominal com HA e identificar a sensibilidade e especificidade desses indicadores para detectar HA em adolescentes. MÉTODOS: A amostra consistiu em 1.021 adolescentes com idade de 10-17 anos. Os indivíduos foram classificados como normal, sobrepeso/obesidade, de acordo com as medidas do IMC, e como não-obeso com obesidade abdominal, de acordo com as medidas da circunferência da cintura (CC). A pressão arterial sistólica (PAS) e diastólica (PAD) foi avaliada através de um dispositivo oscilométrico. Regressão logística e curvas ROC foram usadas na análise estatística. RESULTADOS: A prevalência geral de HA foi 11,8% (13,4% em meninos e 10,2% em meninas). A prevalência de HA em meninos e meninas com sobrepeso/obesidade foi 10% e 11,1%, respectivamente. A prevalência de HA em meninos com obesidade abdominal foi 28,6%. Para ambos os sexos, o odds ratio (OR) para HA foi mais alto na obesidade abdominal do que no sobrepeso/obesidade geral (4,09 [OR IC95% = 2,57-6,51]) versus 1,83 [OR IC95% = 1,83-4,30]). O OR para HA foi mais alto quando sobrepeso/obesidade geral e obesidade abdominal estavam agrupados (OR = 4,35 [OR IC95% = 2,68 -7,05]), do que quando identificados como sobrepeso/obesidade geral ou obesidade abdominal apenas (OR = 1,32 [OR IC95% = 0,65- 2,68]). Entretanto, ambos os tipos de obesidade apresentavam baixo poder preditivo na detecção de HA. CONCLUSÃO: Obesidade geral e obesidade abdominal foram associadas com HA; entretanto, a sensibilidade e especificidade dessas variáveis na detecção de HA são baixas em adolescentes brasileiros.

Predicting beef carcass retail products of Mediterranean buffaloes by real-time ultrasound measures

Twenty eight Mediterranean buffaloes bulls were scanned with real-time ultrasound (RTU), slaughtered, and fabricated into retail cuts to determine the potential for ultrasound measures to predict carcass retail yield. Ultrasound measures of fat thickness, ribeye area and rump fat thickness were recorded three to five days prior to slaughter. Carcass measurements were taken, and one side of each carcass was fabricated into retail cuts. Stepwise regression analysis was used to compare possible models for prediction of either kilograms or percent retail product from carcass mesaurements and ultrasound measures. Results indicate that possible prediction models for percent or kilograms of retail products using RTU measures were similar in their predictive power and accuracy when compared to models derived from carcass measurements. Both fat thickness and ribeye area were over-predicted when measured ultrasonically compared to measurements taken on the carcass in the cooler. The mean absolute differences for both traits are larger than the mean differences, indicating that some images were interpreted to be larger and some smaller than actual carcass measurements. Ultrasound measurements of REA and FT had positive correlations with carcass measures of the same traits (r=.96 for REA and r=.99 for FT). Standard errors of prediction currently are being used as the standard to certify ultrasound technicians for accuracy. Regression equations using live weight (LW), rib eye area (REAU) and subcutaneous fat thickness (FTU) between 12(th) and 13 (th) ribs and also over the biceps femoris muscle (FTP8) by ultrasound explained 95% of the variation in the hot carcass weight when measure immediately before slaughter.

Influence of lower cutoff values for 100-g oral glucose tolerance test and glycemic profile for identification of pregnant women at excessive fetal growth risk

Objective: To evaluate data from patients with normal oral glucose tolerance test (OGTT) results and a normal or impaired glycemic profile (GP) to determine whether lower cutoff values for the OGTT and GP (alone or combined) could identify pregnant women at risk for excessive fetal growth. Methods: We classified 701 pregnant women with positive screening for gestational diabetes mellitus (GDM) into 2 categories - (1) normal 100-g OGTT and normal GP and (2) normal 100-g OGTT and impaired GP - to evaluate the influence of lower cutoff points in a 100-g OGTT and GP (alone or in combination) for identification of pregnant women at excessive fetal growth risk. The OGTT is considered impaired if 2 or more values are above the normal range, and the GP is impaired if the fasting glucose level or at least 1 postprandial glucose value is above the normal range. To establish the criteria for the OGTT (for fasting and 1, 2, and 3 hours after an oral glucose load, respectively), we considered the mean (75 mg/dL, 120 mg/dL, 113 mg/dL, and 97 mg/dL), mean plus 1 SD (85 mg/dL, 151 mg/dL, 133 mg/dL, and 118 mg/dL), and mean plus 2 SD (95 mg/dL, 182 mg/dL, 153 mg/dL, and 139 mg/dL); and for the GP, we considered the mean and mean plus 1 SD (78 mg/dL and 92 mg/dL for fasting glucose levels and 90 mg/dL and 130 mg/dL for 1- or 2-hour postprandial glucose levels, respectively). Results: Subsequently, the women were reclassified according to the new cutoff points for both tests (OGTT and GP). Consideration of values, in isolation or combination, yielded 6 new diagnostic criteria. Excessive fetal growth was the response variable for analysis of the new cutoff points. Odds ratios and their respective confidence intervals were estimated, as were the sensitivity and specificity related to diagnosis of excessive fetal growth for each criterion. The new cutoff points for the tests, when used independently rather than collectively, did not help to predict excessive fetal growth in the presence of mild hyperglycemia. Conclusion: Decreasing the cutoff point for the 100-g OGTT (for fasting and 1, 2, and 3 hours) to the mean (75 mg/dL, 120 mg/dL, 113 mg/dL, and 97 mg/dL) in association with the GP (mean or mean plus 1 SD-78 mg/dL and 92 mg/dL for the fasting state and 90 mg/dL and 130 mg/dL for 1- or 2-hour postprandial values-increased the sensitivity and specificity, and both criteria had statistically significant predictive power for detection of excessive fetal growth. © 2008 AACE.

Mean surface temperature prediction models for broiler chickens-a study of sensible heat flow

Body surface temperature can be used to evaluate thermal equilibrium in animals. The bodies of broiler chickens, like those of all birds, are partially covered by feathers. Thus, the heat flow at the boundary layer between broilers' bodies and the environment differs between feathered and featherless areas. The aim of this investigation was to use linear regression models incorporating environmental parameters and age to predict the surface temperatures of the feathered and featherless areas of broiler chickens. The trial was conducted in a climate chamber, and 576 broilers were distributed in two groups. In the first trial, 288 broilers were monitored after exposure to comfortable or stressful conditions during a 6-week rearing period. Another 288 broilers were measured under the same conditions to test the predictive power of the models. Sensible heat flow was calculated, and for the regions covered by feathers, sensible heat flow was predicted based on the estimated surface temperatures. The surface temperatures of the feathered and featherless areas can be predicted based on air, black globe or operative temperatures. According to the sensible heat flow model, the broilers' ability to maintain thermal equilibrium by convection and radiation decreased during the rearing period. Sensible heat flow estimated based on estimated surface temperatures can be used to predict animal responses to comfortable and stressful conditions. © 2013 ISB.

Papel dos índices de pressões inspiratórias e de respiração rápida e superficial na predição da reintubação em terapia intensiva

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)