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.

Determination and statistical treatment of short-circuit currents for faults on the lines of networks of 440 kV CESP system

The distribution of short-circuit current is investigated by means of two methods, one direct and the other analytic; both methods consider uniform probability distribution of line faults. In the direct method, the procedure consists of calculating fault currents at equidistant points along the line, starting from one of the end points and considering the other end open. The magnitude of the current is classified according to Brazilian standards (regulation NBR-7118). The analytic method assumes that the distribution of short-circuit currents through the busbar and the distribution of the line length connected to it are known, as well as the independence of values. The method is designed to determine the probability that fault currents through a line will surpass the pre-established magnitude, thus generating frequency distribution curves of short-circuit currents along the lines.

Segmentação de dados de perfilamento a laser em áreas urbanas utilizando uma abordagem Bayesiana

In this paper is presented a region-based methodology for Digital Elevation Model segmentation obtained from laser scanning data. The methodology is based on two sequential techniques, i.e., a recursive splitting technique using the quad tree structure followed by a region merging technique using the Markov Random Field model. The recursive splitting technique starts splitting the Digital Elevation Model into homogeneous regions. However, due to slight height differences in the Digital Elevation Model, region fragmentation can be relatively high. In order to minimize the fragmentation, a region merging technique based on the Markov Random Field model is applied to the previously segmented data. The resulting regions are firstly structured by using the so-called Region Adjacency Graph. Each node of the Region Adjacency Graph represents a region of the Digital Elevation Model segmented and two nodes have connectivity between them if corresponding regions share a common boundary. Next it is assumed that the random variable related to each node, follows the Markov Random Field model. This hypothesis allows the derivation of the posteriori probability distribution function whose solution is obtained by the Maximum a Posteriori estimation. Regions presenting high probability of similarity are merged. Experiments carried out with laser scanning data showed that the methodology allows to separate the objects in the Digital Elevation Model with a low amount of fragmentation.

Fluxo de potência trifásico probabilístico para redes de distribuição usando o método de estimação por pontos

In this paper the point estimation method is applied to solve the probabilistic power flow problem for unbalanced three-phase distribution systems. Through the implementation of this method the probability distribution functions of voltages (magnitude and angle) as well as the active and reactive power flows in the branches of the distribution system are determined. Two different approaches of the point estimation method are presented (2m and 2m+1 point schemes). In order to test the proposed methodology, the IEEE 34 and 123 bus test systems are used. The results obtained with both schemes are compared with the ones obtained by a Monte Carlo Simulation (MCS).

Solução da equação de Fokker-Planck para o potencial do oscilador harmônico duplo

Pós-graduação em Biofísica Molecular - IBILCE

Uma abordagem probabilística do número de reprodução básica em modelos epidemiológicos com aplicação na ferrugem do eucalipto

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Citricultura na região sul paulista: modelo de previsão econômica para tomada de decisão em condições de risco

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Análise energética e econômica da cultura de algodão em sistemas agrícolas familiares

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Verificação e análise dos fatos estilizados no mercado de ações brasileiro

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Distribuição espacial e amostragem sequencial de Cosmopolites sordidus (Germar) na cultura da bananeira

Pós-graduação em Agronomia (Produção Vegetal) - FCAV

Modelagem do crescimento e produção em povoamentos desbastados de Eucalyptus grandis

The aim of the study was to develop a system of growth and yield models for thinned stands of Eucalyptus spp.; and to assess the behavior of the growth in scenarios with 10% decrease or increase in rainfall. The probability distribution functions Weibull 2 and 3 parameters and Johnson SB for different methods were fitted. Correlation between the fitted parameters with age was evaluated. Dominant height growth behavior was evaluated to check if thinned stand changes its growth when compared to a non-thinned stands. The stand variables dominant height and basal area were projected and simultaneously predicted and projected, respectively. Individual tree equations were fitted, which were fitted as functions of stand level variables in order to decrease the error propagation. R software was used to fit all the proposed models and consequently all the fitted models were evaluated by their parameters significance (F-test) and graphs of predicted values in relation to the observed values around the 1:1 line. Thus, the prognosis system was made by two ways, first one using the full data set, and for the second one the dataset was restricted at age 7.5. Increase and decrease in 20% of rainfall were assessed by updating the site index function. Method of moments was the most precise to describe the diameter distribution for every age in eucalyptus stands for Johnson SB and Weibull 2 parameters pdfs. When observed for each pdf the correlation for their fitted parameters with age, we noticed that shape parameters for a thinned stand were no longer correlated with age, differently of non-thinned stands. Thus, thinning effect was accounted in the basal area prediction and projection modeling. This result emphasized the necessity of applying the Parameter Recovery method in order to assess differences and capture the right pattern for thinned and non-thinned stands in the future. Dominant height was not influenced by thinning intensity. Therefore the fitted Chapman-Richards model did not account for a stand being thinned or not. All the fitted equations behaved with good precision, no matter using full or precocious dataset. The prognosis system using full and/or precocious date set was evaluated for when using Parameter Recovery method for Sb and Weibull pdfs, and by then, graphical analysis and precision statistics showed appropriated results. Finally, the increase or decrease in rainfall regime were observed for eucalyptus stand yields and we may notice how important is to observe this effect, since the growth pattern is strictly affected by water.

Fluxo de potência em redes de distribuição de energia elétrica considerando incertezas

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Planejamento da expansão de sistemas de transmissão considerando análise de confiabilidade e incertezas na demanda futura

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Rentabilidade e risco da produção de milho safrinha geneticamente modificado na região de Guaíra-SP

Pós-graduação em Agronomia (Energia na Agricultura) - FCA

Indução floral do copo de leite colorido (Zantedeschia sp) com ácido giberélico (GA3) aplicado vias irrigação, foliar e imersão, nas condições de Botucatu, SP

Pós-graduação em Agronomia (Irrigação e Drenagem) - FCA