Modelo econométrico de probabilidade de fechamento dos gaps do índice futuro Bovespa

Este trabalho estuda os gaps no índice futuro Bovespa. A partir de uma base de dados diária de onze anos do índice Bovespa futuro, o trabalho apresenta dois modelos econométricos não lineares os quais possibilitaram avaliar os efeitos de mudanças em um conjunto de variáveis independentes, a dizer, o tamanho em pontos do gap, a volatilidade do índice e volume suavizado de negociações. Os resultados encontrados mostram que tamanho em pontos do gap possui efeito negativo na probabilidade de fechamento. Por sua vez, as variáveis que representam a volatilidade do índice e o volume de negociações possuem um efeito positivo no fechamento dos gaps, sendo assim, quanto mais volátil o mercado encontra-se e quanto maior o volume transacionado em um determinado dia maior a probabilidade de fechamento dos gaps. Ademais, o trabalho realiza previsões para os fechamentos dos gaps e consegue prever corretamente 68,11% dos gaps positivos e 73,71% dos gaps negativos que fecham.

Os determinantes do investimento em FMN: o efeito moderador da probabilidade de insolvência e do ciclo de vida das empresas

Pretendemos com o nosso estudo demonstrar quais os efeitos de três determinantes no Investimento em Fundo de Maneio Necessário que é considerado por vários autores como vital tanto para o crescimento como para a sustentabilidade das empresas ao longo do seu Ciclo de Vida. Iremos também demonstrar que para além do comportamento e relação desses determinantes com o Investimento em Fundo de Maneio Necessário (FMN), registam-se influências provocadas pelos efeitos moderadores da Probabilidade de Insolvência e do próprio Ciclo de Vida das empresas. Através da análise dos nossos resultados mostraremos como a Rentabilidade Operacional, o Crédito Comercial Obtido e o Financiamento Bancário de Médio e Longo Prazo são os principais determinantes do Investimento em FMN e como estas relações se modificam ao longo do Ciclo de Vida das Empresas. O nosso estudo também vai permitir-nos estudar o efeito moderador da Probabilidade de Insolvência no tipo de financimento do investimento em FMN. O indicador da Probabilidade de Insolvência demonstra ter um feito moderador sobre o tipo de financiamento do FMN. Os fornecedores exibem uma percepção mais rápida e atempada do aparecimento das dificuldades financeiras dos seus clientes do que os financiadores bancários. Esta capacidade permite-lhes monitorizar o estado financeiro dos seus clientes sem restringir a concessão de crédito na sua totalidade. Os modelos estimados para amostras de duas fases do ciclo de vida das empresa fornecem-nos evidências empíricas de que a idade das empresas afecta a forma e a intensidade dos factores explicativos do Investimento em FMN. Nas empresas em fase de maturidade o Crédito Bancário de Médio e Longo Prazo apresenta-se como um substituto ao crédito comercial de fornecedores no financiamento do Ciclo de Exploração. Também demonstramos que os determinantes do Investimento em FMN são afectados pela fase do Ciclo de Vida, medido pela antiguidade da empresa.

Estimating dynamic models with aggregate shocks and an application to mortgage default in Colombia

We estimate a dynamic model of mortgage default for a cohort of Colombian debtors between 1997 and 2004. We use the estimated model to study the effects on default of a class of policies that affected the evolution of mortgage balances in Colombia during the 1990's. We propose a framework for estimating dynamic behavioral models accounting for the presence of unobserved state variables that are correlated across individuals and across time periods. We extend the standard literature on the structural estimation of dynamic models by incorporating an unobserved common correlated shock that affects all individuals' static payoffs and the dynamic continuation payoffs associated with different decisions. Given a standard parametric specification the dynamic problem, we show that the aggregate shocks are identified from the variation in the observed aggregate behavior. The shocks and their transition are separately identified, provided there is enough cross-sectionavl ariation of the observeds tates.

Trends in vertical movement of hexazinone herbicide considering typic eutrorthox soil of Espraiado´s stream cultivated with sugar-cane crop - local and default data scenarios.

2009

Explanation, Dialogue and Default Logic

La distinción entre argumentación y explicación es una tarea complicada pero necesaria por diversas razones. Una de ellas es la necesidad de incorporar la explicación en un movimiento del diálogo como resultado de una obligación dialéctica. Se propusieron distintos sistemas de diálogo que exploran la distinción enfatizando aspectos pragmáticos. En el presente trabajo me ocupo de aspectos estructurales de la explicación analizados en el marco de la lógica por defecto que permite caracterizar ciertas objeciones en el diálogo. Asimismo, considero que la versión operacional de la lógica por defecto constituye una aproximaciónadecuada en la construcción de la explicación y en la representación de la instancia de diálogo en el intercambio dialéctico

Explanation, Dialogue and Default Logic

La distinción entre argumentación y explicación es una tarea complicada pero necesaria por diversas razones. Una de ellas es la necesidad de incorporar la explicación en un movimiento del diálogo como resultado de una obligación dialéctica. Se propusieron distintos sistemas de diálogo que exploran la distinción enfatizando aspectos pragmáticos. En el presente trabajo me ocupo de aspectos estructurales de la explicación analizados en el marco de la lógica por defecto que permite caracterizar ciertas objeciones en el diálogo. Asimismo, considero que la versión operacional de la lógica por defecto constituye una aproximaciónadecuada en la construcción de la explicación y en la representación de la instancia de diálogo en el intercambio dialéctico

The EU ban on uncovered sovereign credit default swaps: assessing impacts on liquidity, volatility and price discovery

This article addresses the effects of the prohibition against naked CDS buying implemented by the European Union in November 2012. Three aspects of market quality are analyzed: liquidity, volatility, and price informativeness. Overall, our results suggest that the ban produced negative effects on liquidity and price informativeness. First, we find that in territories within the scope of the EU regulation, the bid–ask spreads on sovereign CDS contracts rose after the ban, but fell for countries outside its bounds. Open interest declined for both groups of CDS reference entities in our sample, but significantly more in the constraint group. Price delay increased more prominently for countries affected by the ban, whereas price precision decreased for these countries while increasing for CDSs written on other sovereign reference entities. Most notably, our findings indicate that hese negative effects were more pronounced amid reference entities exhibiting lower credit risk. With respect to volatility, the evidence suggests that the ban was successful in stabilizing the CDS market in that volatility decreased, particularly for contracts written on riskier CDS entities.

Determination of preventive maintenance lead time using hybrid analysis

The time for conducting Preventive Maintenance (PM) on an asset is often determined using a predefined alarm limit based on trends of a hazard function. In this paper, the authors propose using both hazard and reliability functions to improve the accuracy of the prediction particularly when the failure characteristic of the asset whole life is modelled using different failure distributions for the different stages of the life of the asset. The proposed method is validated using simulations and case studies.

Exploring the effectiveness of virtual product placement on recall and recognition of new brands

This paper investigates the effectiveness of virtual product placement as a marketing tool by examining the relationship between brand recall and recognition and virtual product placement. It also aims to address a gap in the existing academic literature by focusing on the impact of product placement on recall and recognition of new brands. The growing importance of product placement is discussed and a review of previous research on product placement and virtual product placement is provided. The research methodology used to study the recall and recognition effects of virtual product placement are described and key findings presented. Finally, implications are discussed and recommendations for future research provided.

Interactive architecture

This chapter explores the development of concepts of interactive environments by comparing two major projects that frame the period of this book. The Fun Palace of 1960 and the Generator of 1980 both proposed interactive environments responsive to the needs and behaviour of their users, but the contrast in terms of the available technology and what it enabled could not be more marked. The Fun Palace broke new architectural, organizational and social ground and was arguably the first proposition for cybernetic architecture; the Generator demonstrated how it could be achieved. Both projects are now acknowledged as seminal architectural propositions of the twentieth century, and both were designed by Cedric Price.

From concept to embodiment : challenge and strategy

Facing with the difficulty in information propagation and synthesizing from conceptual to embodiment design, this paper introduces a function-oriented, axiom based conceptual modeling scheme. Default logic reasoning is exploited for recognition and reconstitution of conceptual product geometric and topological information. The proposed product modeling system and reasoning approach testify a methodology of "structural variation design", which is verified in the implementation of a GPAL (Green Product All Life-cycle) CAD system. The GPAL system includes major enhancement modules of a mechanism layout sketching method based on fuzzy logic, a knowledge-based function-to-form mapping mechanism and conceptual form reconstitution paradigm based on default geometric reasoning. A mechanical hand design example shows a more than 20 times increase in design efficacy with these enhancement modules in the GPAL system on a general 3D CAD platform.

A natural model for architecture : the nature of the evolutionary model 1995

John Frazer's architectural work is inspired by living and generative processes. Both evolutionary and revolutionary, it explores informatin ecologies and the dynamics of the spaces between objects. Fuelled by an interest in the cybernetic work of Gordon Pask and Norbert Wiener, and the possibilities of the computer and the "new science" it has facilitated, Frazer and his team of collaborators have conducted a series of experiments that utilize genetic algorithms, cellular automata, emergent behaviour, complexity and feedback loops to create a truly dynamic architecture. Frazer studied at the Architectural Association (AA) in London from 1963 to 1969, and later became unit master of Diploma Unit 11 there. He was subsequently Director of Computer-Aided Design at the University of Ulter - a post he held while writing An Evolutionary Architecture in 1995 - and a lecturer at the University of Cambridge. In 1983 he co-founded Autographics Software Ltd, which pioneered microprocessor graphics. Frazer was awarded a person chair at the University of Ulster in 1984. In Frazer's hands, architecture becomes machine-readable, formally open-ended and responsive. His work as computer consultant to Cedric Price's Generator Project of 1976 (see P84)led to the development of a series of tools and processes; these have resulted in projects such as the Calbuild Kit (1985) and the Universal Constructor (1990). These subsequent computer-orientated architectural machines are makers of architectural form beyond the full control of the architect-programmer. Frazer makes much reference to the multi-celled relationships found in nature, and their ongoing morphosis in response to continually changing contextual criteria. He defines the elements that describe his evolutionary architectural model thus: "A genetic code script, rules for the development of the code, mapping of the code to a virtual model, the nature of the environment for the development of the model and, most importantly, the criteria for selection. In setting out these parameters for designing evolutionary architectures, Frazer goes beyond the usual notions of architectural beauty and aesthetics. Nevertheless his work is not without an aesthetic: some pieces are a frenzy of mad wire, while others have a modularity that is reminiscent of biological form. Algorithms form the basis of Frazer's designs. These algorithms determine a variety of formal results dependent on the nature of the information they are given. His work, therefore, is always dynamic, always evolving and always different. Designing with algorithms is also critical to other architects featured in this book, such as Marcos Novak (see p150). Frazer has made an unparalleled contribution to defining architectural possibilities for the twenty-first century, and remains an inspiration to architects seeking to create responsive environments. Architects were initially slow to pick up on the opportunities that the computer provides. These opportunities are both representational and spatial: computers can help architects draw buildings and, more importantly, they can help architects create varied spaces, both virtual and actual. Frazer's work was groundbreaking in this respect, and well before its time.

Measuring Consumer Loyalty : the loyalty orientation scale

Reflecting its importance to thc financial success of organisations, interest in consumer loyalty continues unabated. However, there are still many unanswered questions about its conceptualisation and measurement.These questions must he resolved before academics and practitioners can usefully apply the concept. We argue that consumer loyalty is best conceptualised as a multi-dimensional phenomenon. Based on this multi-dimensional view, we develop and test a new measure of consumer loyalty. We hypothesise a threedimensional structure containing affective, temporal and instrumental dimensions, Results from a preliminary test are reported. The results indicate that the construct can be reprcxeuted with two dimensions: affective and temporal loyally. As an additional check on the reliability of our results, we find significant correlations between these two dimensions and a measure of behavioural loyalty.

Entrepreneurial intentions of women

Despite advances in gender equity, evidence suggests that the level of business ownership by males continues to be significantly higher than that offemales. Moreover, females, from an early age, have lower entrepreneurial intentions than males. This paper examines previous studies to determine the factors that have been shown to relate to lower entrepreneurial intentions in women, to identify areas where prior research has been inadequate or inconclusive, and to discuss how intentions models might be modified to better explain the lower level of female business start-ups. It was found that the lower level of intentions is related to a range of personal background and attitudinal variables, and these factors are critically examined in this review. It is suggested that future research should focus on role models, networks and life roles in order to better explain female entrepreneurial intentions.

Consumers' emotional appraisals and action tendencies arising from mobile viral marketing

This study examines consumers' emotional responses to receiving viral mobile marketing communications in comparison to receiving mobile marketing communications where permission has not been given. The study also examines the relationship between these experienced emotions and what action tendencies consumers might consider as a result of these emotions, as well as how they attribute causality for their emotions. Using scenarios in an experimental design, the findings show that there are differences in consumer emotions as a result of the two marketing approaches. The findings also identify relationships between consumers' causal attributions and action tendencies in relation to themselves, the friend sending the viral m-marketing communication and the company involved.