Financial time series analysis : Chaos and neurodynamics approach

This work aims at combining the Chaos theory postulates and Artificial Neural Networks classification and predictive capability, in the field of financial time series prediction. Chaos theory, provides valuable qualitative and quantitative tools to decide on the predictability of a chaotic system. Quantitative measurements based on Chaos theory, are used, to decide a-priori whether a time series, or a portion of a time series is predictable, while Chaos theory based qualitative tools are used to provide further observations and analysis on the predictability, in cases where measurements provide negative answers. Phase space reconstruction is achieved by time delay embedding resulting in multiple embedded vectors. The cognitive approach suggested, is inspired by the capability of some chartists to predict the direction of an index by looking at the price time series. Thus, in this work, the calculation of the embedding dimension and the separation, in Takens‘ embedding theorem for phase space reconstruction, is not limited to False Nearest Neighbor, Differential Entropy or other specific method, rather, this work is interested in all embedding dimensions and separations that are regarded as different ways of looking at a time series by different chartists, based on their expectations. Prior to the prediction, the embedded vectors of the phase space are classified with Fuzzy-ART, then, for each class a back propagation Neural Network is trained to predict the last element of each vector, whereas all previous elements of a vector are used as features.

Public debt management, monetary policy and financial institutions

Despite the large size of the Brazilian debt market, as well the large diversity of its bonds, the picture that emerges is of a market that has not yet completed its transition from the role it performed during the megainflation years, namely that of providing a liquid asset that provided positive real returns. This unfinished transition is currently placing the market under severe stress, as fears of a possible default from the next administration grow larger. This paper analyzes several aspects pertaining to the management of the domestic public debt. The causes for the extremely large and fast growth ofthe domestic public debt during the seven-year period that President Cardoso are discussed in Section 2. Section 3 computes Value at Risk and Cash Flow at Risk measures for the domestic public debt. The rollover risk is introduced in a mean-variance framework in Section 4. Section 5 discusses a few issues pertaining to the overlap between debt management and monetary policy. Finally, Section 6 wraps up with policy discussion and policy recommendations.

Sustainability indexes: why join in? A study of the Corporate Sustainability Index (ISE) in Brazil

In the past decade, indicators have been created to assess the sustainability performance of companies listed in stock exchange markets. Academics and practitioners expect companies to benefit from being listed in such indexes, but evidence of value creation is still scarce. Since virtually all studies about the Corporate Sustainability Index (ISE) of the S~ ao Paulo Stock Exchange (Brazil) e the object of the present study e focused on the value of shares, we initially looked for answers in the finance theory. We collected secondary data about the financial and economic performance of companies forming the ISE's ‘theoretical portfolio’, as these kinds of indexes are also known. In a second stage, we sought additional motivations for companies to make efforts to be listed in the index. We collected additional data and interviewed representatives of key companies listed in the ISE, as well as industry leaders who chose not to participate in the selection process. The results support the main propositions of the institutional theory, as well as the ‘pays to be green’ literature e that the intangible value created by voluntary environmental initiatives, such as access to knowledge, new capabilities and reputational gain, better explain the efforts companies make to be listed in the ISE index

Financial guarantees in Brazilian life insurance and pension plans

Recently regulated Brazilian life and pension products offer a benefit structure composed of minimum guaranteed annual rate, in°ation adjustment according to a price index and participation on an investment fund performance. We present a valuation model for these products. We establish a fair condition relationship between minimum guarantees and participation rates, and explore its behavior over a space of maturities, interest rates, and also fund and price index volatilities and correlation. Besides consistency to reference models, we found that the effect of the fund volatility is conditioned to the price index volatility level and the correlation between them.

Evaluation of thermal stress indexes for dairy cows in tropical regions

Seis índices de estresse ambiental foram aplicados a 1.359 dados de 359 vacas Holandesas e 54 vacas Jersey em rebanhos comerciais do Ceará e Rio Grande do Norte. O critério de seleção aplicado aos índices foi sua correlação com a temperatura retal e a freqüência respiratória dos animais. O Índice de Temperatura e Umidade (THI) e o Índice de Globo e Umidade (BGHI) apresentaram os piores resultados, com correlações muito baixas com as respostas dos animais. Os índices escolhidos foram o Índice de Temperatura Equivalente (ESI), correlacionado significativamente com a temperatura retal (r = 0,293) e a freqüência respiratória (r = 0,520), e o Índice de Carga Térmica (HLI), com correlações r = 0,286 e r = 0,542 respectivamente.

Energy Expenditure, Lipid Profile, Oxidative Stress, and Cardiac Energy Metabolism After Growth Hormone Treatment in Obese Young Rats

Obesity is rampant in modern society and growth hormone (GH) could be useful as adjunct therapy to reduce the obesity-induced cardiovascular damage. To investigate GH effects on obesity, initially 32 male Wistar rats were divided into two groups (n = 16): control (C) was fed standard-chow and water and hyper-caloric (H) was fed hypercaloric chow and 30% sucrose in its drinking water. After 45 days, both C and H groups were divided into two subgroups (n = 8): C + PL was fed standard-chow, water and received saline subcutaneously; C + GH was fed standard-chow, water, and received 2 mg/kg/day GH subcutaneously; H + PL was fed hypercaloric diet, 30% sucrose in its drinking water, and received saline subcutaneously; and H + GH was fed hypercaloric diet, 30% sucrose in its drinking water, and received GH subcutaneously. After 75 days of total experimental period, H + PL rats were considered obese, having higher body weight, body mass index, Lee-index, and atherogenic index (AI) compared to C + PL. Obesity was accompanied by enhanced myocardial lipid hydroperoxide (LH) and lactate dehydrogenase (LDH), as well of depressed energy expenditure (RMR) and oxygen consumption(VO(2))/body weight. H + GH rats had higher fasting RMR, as well as lower AI and myocardial LH than H + PL. Comparing C + GH with C + PL, despite no effects on morphometric parameters, lipid profile, myocardial LH, and LDH activity, GH enhanced fed RMR and myocardial pyruvate dehydrogenase. In conclusion, the present study brought new insights into the GH effects on obesity related cardiovascular damage demonstrating, for the first time, that GH regulated cardiac metabolic pathways, enhanced energy expenditure and improved the lipid profile in obesity condition. Growth hormone in standard fed condition also offered promising therapeutic value enhancing pyruvate-dehydrogenase activity and glucose oxidation in cardiac tissue, thus optimizing myocardial energy metabolism.

Effect of Bauhinia forficata aqueous extract on the maternal-fetal outcome and oxidative stress biomarkers of streptozotocin-induced diabetic rats

Ethnopharmacological relevance: Bauhinia forficata Link, commonly known as paw-of-cow, is widely used in Brazilian folk medicine for the treatment of diabetes.Aim of this study: To evaluate the effect of Bauhinia forficata treatment on maternal-fetal outcome and antioxidant systems of streptozotocin-induced diabetic rats.Materials and methods: Virgin female Wistar rats were injected with 40 mg/kg streptozotocin before mating. Oral administration of an aqueous extract of Bauhinia forficata leaves was given to non-diabetic and diabetic pregnant rats at increasing doses: 500 mg/kg from 0 to 4th day of pregnancy, 600 mg/kg from 5th to 14th day and 1000 mg/kg from 15th to 20th day. At day 21 of pregnancy the rats were anaesthetized with ether and a maternal blood sample was collected for the determination superoxide dismutase (SOD) and reduced glutathione (GSH). The gravid uterus was weighed with its contents and fetuses were analyzed.Results and conclusion: The data showed that the diabetic dams presented an increased glycemic level, resorption, placental weight, placental index, and fetal anomalies, and reduced GSH and SOD determinations, live fetuses, maternal weight gain, gravid uterine weight, and fetal weight. It was also verified that Bauhinia forficata treatment had no hypoglycemic effect, did not improve maternal outcomes in diabetic rats, but it contributed to maintain GSH concentration similarly to non-diabetic groups, suggesting relation with the decreased incidence of visceral anomalies. (C) 2007 Elsevier B.V. All rights reserved.

Effect of Morus nigra aqueous extract treatment on the maternal-fetal outcome, oxidative stress status and lipid profile of streptozotocin-induced diabetic rats

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

Diet compounds, glycemic index and obesity-related cardiac effects

Background: Diet compounds may influence obesity-related cardiac oxidative stress and metabolic sifting. Carbohydrate-rich diet may be disadvantageous from fat-rich diet to cardiac tissue and glycemic index rather than lipid profile may predict the obesity-related cardiac effects.Materials and methods: Male Wistar rats were divided into three groups (n=8/group): (C) receiving standard chow (3.0 kcal/g); (CRD) receiving carbohydrate-rich diet (4.0 kcal/g), and (FRD) receiving fat-rich diet (4.0 kcal/g). Rats were sacrificed after the oral glucose tolerance test (OGTT) at 60 days of dietary treatments. Lipid profile and oxidative stress parameters were determined in serum. Myocardial samples were used to determine oxidative stress, metabolic enzymes, glycogen and triacylglycerol.Results: FRD rats showed higher final body weight and body mass index than CRD and C. Serum cholesterol and low-density lipoprotein were higher in FRD than in CRD, while triacylglycerol and oxidized low-density lipoprotein cholesterol were higher in CRD than in FRD. CRD rats had the highest myocardial lipid hydroperoxide and diminished superoxide dismutase and catalase activities. Myocardial glycogen was lower and triacylglycerol was higher in CRD than in C and FRD rats. Although FRD rats had depressed myocardial-reducing power, no significant changes were observed in myocardial energy metabolism. Myocardial beta-hydroxyacyl coenzyme-A dehydrogenase and citrate synthase, as well as the enhanced lactate debydrogenase/citrate synthase ratio indicated that fatty acid degradation was decreased in CRD rats. Glycemic index was positively correlated with obesity-related cardiac effects.Conclusions: Isoenergetic carbohydrate-rich and fat-rich diets induced different degree of obesity and differently affected lipid profile. Carbohydrate-rich diet was deleterious relative to fat-rich diet in the heart enhancing lipoperoxidation and shifting the metabolic pathway for energy production. Glycemic index rather than dyslipidemic profile may predict the obesity effects on cardiac tissue. (C) 2007 Elsevier B.V. All rights reserved.

Time series analysis for minority game simulations of financial markets

The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolution. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

Salt stress change chlorophyll fluorescence in mango

Este trabalho teve como objetivo avaliar o efeito do estresse salino sobre a eficiência fotoquímica do fotossistema II (PSII) nas cultivares de manga 'Haden', 'Palmer', 'Tommy Atkins' e 'Ubá' enxertadas sobre o porta-enxerto 'Imbu'. Foi utilizada solução nutritiva de Hoagland modificada contendo 0; 15; 30e 45 mmol L-1 NaCl. Aos 97 dias após a exposição ao estresse salino, foram avaliados os parâmetros da fluorescência da clorofila (F0, Fm, Fv, F0/Fm, Fv/Fm, Fv'/Fm', ΦPSII = [(Fm'-Fs)/(Fm')], D = (1- Fv'/Fm') e ETR = (ΦPSII×PPF×0,84×0,5). Aos 100 dias, foram avaliados a emissão foliar, a área média de folhas (cm²), o índice de toxidez nas folhas e o índice de abscisão foliar. em todas as cultivares, em graus diferenciados, ocorreram decréscimo na eficiência fotoquímica do fotossistema II, na emissão de folhas, e aumento nos índices de toxidez e abscisão foliar, intensificados nas concentrações a partir de 15 mmol L-1 NaCl. As plantas cultivadas em 45 mmol L-1 NaCl apresentaram decréscimos na razão Fv/Fm de 27,9; 18,7; 20,5 e 27,4%, incremento no índice de toxidez foliar de 33,0; 67,5; 41,6 e 80,8% e no índice de abscisão foliar de 71,8; 29,2; 32,5 e 67,9% para as cultivares 'Haden', 'Palmer', 'Tommy Atkins' e 'Uba', respectivamente. Os decréscimos na razão Fv/Fm foram acompanhados de redução na emissão de folhas e aumento no índice de toxidez foliar, mostrando, portanto, o potencial da fluorescência da clorofila na detecção precoce de estresse salino em mangueira.

IMPORTANCE OF CONTROLLING THE STRESS IN THE VALIDATION OF BIOLOGICAL RESULTS

The stress syndrome includes ample phenomena, characterized by complex neuroendocrinological alterations. Such alterations, in the long run, give rise to important modifications in reply of different organs and tissues to diverse agonists, specially sympathicommentic. These alterations, at least partially, are part of an ''adjustment mechanism'' of the tissues. Thus this possibility of obtaining altered responses in function of stress leads to the need of special care in the prevention and control of stressogenic stimuli in the process of research. Taking cave of preventing stressogenic stimuli, it becomes possible to determine a profile of trustworthy replies, considered as standard From such reply standards, toe can know more clearly what is a ''normal'' response or what is a response ''altered'' by some factor, specially stress.

Tsallis statistics and gradually truncated Levy flight - distribution of an economical index

Tsallis postulated a generalized form for entropy and give rise to a new statistics now known as Tsallis statistics. In the present work, we compare the Tsallis statistics with the gradually truncated Levy flight, and discuss the distribution of an economical index-the Standard and Poor's 500-using the values of standard deviation as calculated by our model. We find that both statistics give almost the same distribution. Thus we feel that gradual truncation of Levy distribution, after certain critical step size for describing complex systems, is a requirement of generalized thermodynamics or similar. The gradually truncated Levy flight is based on physical considerations and bring a better physical picture of the dynamics of the whole system. Tsallis statistics gives a theoretical support. Both statistics together can be utilized for the development of a more exact portfolio theory or to understand better the complexities in human and financial behaviors. A comparison of both statistics is made. (C) 2002 Published by Elsevier B.V. B.V.

Calorimetry, Morphometry, Oxidative Stress, and Cardiac Metabolic Response to Growth Hormone Treatment in Obese and Aged Rats

This study investigated the effects of growth hormone therapy on energy expenditure, lipid profile, oxidative stress and cardiac energy metabolism in aging and obesity conditions. Life expectancy is increasing in world population and with it, the incidence of public health problems such as obesity and cardiac alterations. Because growth hormone (GH) concentration is referred to be decreased in aging conditions, a question must be addressed: what is the effect of GH on aging related adverse changes? To investigate the effects of GH on cardiac energy metabolism and its association with calorimetric parameters, lipid profile and oxidative stress in aged and obese rats, initially 32 male Wistar rats were divided into 2 groups (n = 16), C: given standard-chow and water; H: given hypercaloric-chow and receiving 30 % sucrose in its drinking water. After 45 days, both C and H groups were divided into 2 subgroups (n = 8), C + PL: standard-chow, water, and receiving saline subcutaneously; C + GH: standard-chow, water, and receiving 2 mg/kg/day rhGH subcutaneously; H + PL: hypercaloric-chow, 30 % sucrose, receiving saline subcutaneously; H + GH: hypercaloric-chow, 30 % sucrose, receiving rhGH subcutaneously. After 30 days, C + GH and H + PL rats had higher body mass index, Lee-index, body fat content, percent-adiposity, serum triacylglycerol, cardiac lipid-hydroperoxide, and triacylglycerol than C + PL. Energy-expenditure (RMR)/body weight, oxygen consumption and fat-oxidation were higher in H + GH than in H + PL. LDL-cholesterol was highest in H + GH rats, whereas cardiac pyruvate-dehydrogenase and phosphofrutokinase were higher in H + GH and H + PL rats than in C + PL. In conclusion, the present study brought new insights on aging and obesity, demonstrating for the first time that GH therapy was harmful in aged and obesity conditions, impairing calorimetric parameters and lipid profile. GH was disadvantageous in control old rats, having undesirable effects on triacylglycerol accumulation and cardiac oxidative stress.