Lévy processes and the Brazilian market

No presente artigo apresentamos processos de Levy usados na literatura para modelar os retornos dos ativos financeiros, estes processos sao gerados pelas distribuições Pareto-Estaveis e Hiperbolicas. Estudamos algumas propriedades destas distribui<;oes, em particular a propriedade da invariancia da escala temporal. Por ultimo apresentamos evidencias empiricas da aplicabilidade destes processos para modelar retornos de ativos Brasileiros, para isto usamos 0 Ibovespa, o recibo da Telebras e Petrobras, na amostra usamos dados dos periodos de 1 de janeiro de 1995 a 31 de dezembro de 1998 (Gl) e de 12 de janeiro de 1996 a 31 de dezembro de 1997(G2).

An axiomatization of difference-form contest success functions

This paper presents an axiomatic characterization of difference-form group contests, that is, contests fought among groups and where their probability of victory depends on the difference of their effective efforts. This axiomatization rests on the property of Equalizing Consistency, stating that the difference between winning probabilities in the grand contest and in the smaller contest should be identical across all participants in the smaller contest. This property overcomes some of the drawbacks of the widely-used ratio-form contest success functions. Our characterization shows that the criticisms commonly-held against difference-form contests success functions, such as lack of scale invariance and zero elasticity of augmentation, are unfounded.By clarifying the properties of this family of contest success functions, this axiomatization can help researchers to find the functional form better suited to their application of interest.

Power laws and scaling of rain events and dry spells in the Catalonia region

We analyze the statistics of rain-event sizes, rain-event durations, and dry-spell durations in a network of 20 rain gauges scattered in an area situated close to the NW Mediterranean coast. Power-law distributions emerge clearly for the dryspell durations, with an exponent around 1.50 ± 0.05, although for event sizes and durations the power-law ranges are rather limited, in some cases. Deviations from power-law behavior are attributed to finite-size effects. A scaling analysis helps to elucidate the situation, providing support for the existence of scale invariance in these distributions. It is remarkable that rain data of not very high resolution yield findings in agreement with self-organized critical phenomena.

Multiscaling and information content of natural color images

Naive scale invariance is not a true property of natural images. Natural monochrome images possess a much richer geometrical structure, which is particularly well described in terms of multiscaling relations. This means that the pixels of a given image can be decomposed into sets, the fractal components of the image, with well-defined scaling exponents [Turiel and Parga, Neural Comput. 12, 763 (2000)]. Here it is shown that hyperspectral representations of natural scenes also exhibit multiscaling properties, observing the same kind of behavior. A precise measure of the informational relevance of the fractal components is also given, and it is shown that there are important differences between the intrinsically redundant red-green-blue system and the decorrelated one defined in Ruderman, Cronin, and Chiao [J. Opt. Soc. Am. A 15, 2036 (1998)].

Nonlinear data assimilation in geosciences: an extremely efficient particle filter

Almost all research fields in geosciences use numerical models and observations and combine these using data-assimilation techniques. With ever-increasing resolution and complexity, the numerical models tend to be highly nonlinear and also observations become more complicated and their relation to the models more nonlinear. Standard data-assimilation techniques like (ensemble) Kalman filters and variational methods like 4D-Var rely on linearizations and are likely to fail in one way or another. Nonlinear data-assimilation techniques are available, but are only efficient for small-dimensional problems, hampered by the so-called ‘curse of dimensionality’. Here we present a fully nonlinear particle filter that can be applied to higher dimensional problems by exploiting the freedom of the proposal density inherent in particle filtering. The method is illustrated for the three-dimensional Lorenz model using three particles and the much more complex 40-dimensional Lorenz model using 20 particles. By also applying the method to the 1000-dimensional Lorenz model, again using only 20 particles, we demonstrate the strong scale-invariance of the method, leading to the optimistic conjecture that the method is applicable to realistic geophysical problems. Copyright c 2010 Royal Meteorological Society

Classifying general nonlinear force laws in cell-based models via the continuum limit

though discrete cell-based frameworks are now commonly used to simulate a whole range of biological phenomena, it is typically not obvious how the numerous different types of model are related to one another, nor which one is most appropriate in a given context. Here we demonstrate how individual cell movement on the discrete scale modeled using nonlinear force laws can be described by nonlinear diffusion coefficients on the continuum scale. A general relationship between nonlinear force laws and their respective diffusion coefficients is derived in one spatial dimension and, subsequently, a range of particular examples is considered. For each case excellent agreement is observed between numerical solutions of the discrete and corresponding continuum models. Three case studies are considered in which we demonstrate how the derived nonlinear diffusion coefficients can be used to (a) relate different discrete models of cell behavior; (b) derive discrete, intercell force laws from previously posed diffusion coefficients, and (c) describe aggregative behavior in discrete simulations.

Dynamically induced spontaneous symmetry breaking in 3-3-1 models

We show that in SU(3)(C) circle times SU(3)(L) circle times U(1)(N) (3-3-1) models embedded with a singlet scalar playing the role of the axion, after imposing scale invariance, the breaking of Peccei-Quinn symmetry occurs through the one-loop effective potential for the singlet field. We, then, analyze the structure of spontaneous symmetry breaking by studying the new scalar potential for the model, and verify that electroweak symmetry breaking is tightly connected to the 3-3-1 breaking by the strong constraints among their vacuum expectation values. This offers a valuable guide to write down the correct pattern of symmetry breaking for multi-scalar theories. We also obtained that the accompanying massive pseudo-scalar, instead of acquiring mass of order of Peccei-Quinn scale as we would expect, develops a mass at a much lower scale, a consequence solely of the breaking via Coleman-Weinberg mechanism. (c) 2005 Published by Elsevier B.V.

The Korteweg-de Vries hierarchy and long water-waves

By using the multiple scale method with the simultaneous introduction of multiple times, we study the propagation of long surface-waves in a shallow inviscid fluid. As a consequence of the requirements of scale invariance and absence of secular terms in each order of the perturbative expansion, we show that the Korteweg-de Vries hierarchy equations do play a role in the description of such waves. Finally, we show that this procedure of eliminating secularities is closely related to the renormalization technique introduced by Kodama and Taniuti. © 1995 American Institute of Physics.

Scales, Universality and Finite-Range Correction in Three-body Systems

The scale invariance manifested by the weakly-bound Efimov states implies that all the Efimov spectrum can be merged in a single scaling function. By considering this scaling function, the ratio between two consecutive energy levels, E3 (N+1) and E3 (N), can be obtained from a two-body low-energy observable (usually the scattering length a), given in units of the three-body energy level N. The zero-ranged scaling function is improved by incorporating finite range corrections in first order of r0/a (r0 is the potential effective range). The critical condition for three-identical bosons in s-wave, when the excited E3 (N+1) state disappears in the 2 + 1 threshold, is given by √E2/E3 (N) ≈ 0.38+0.12(r0/a). © 2012 Springer-Verlag.

Scaling properties and universality in a ratchet system

Critical exponents that describe a transition from unlimited to limited diffusion for a ratchet system are obtained analytically and numerically. The system is described by a two dimensional nonlinear mapping with three relevant control parameters. Two of them control the non-linearity while the third one controls the intensity of the dissipation. Chaotic attractors appear in the phase space due to the dissipation and considering large non-linearity are characterised by the use of Lyapunov exponents. The critical exponents are used to overlap different curves of average momentum (dynamical variable) onto a single plot confirming a scale invariance. The formalism used is general and the procedure can be extended to different systems.

Trans-Planckian problem in the healthy extension of Horava-Lifshitz gravity

Planck scale physics may influence the evolution of cosmological fluctuations in the early stages of cosmological evolution. Because of the quasiexponential redshifting, which occurs during an inflationary period, the physical wavelengths of comoving scales that correspond to the present large-scale structure of the Universe were smaller than the Planck length in the early stages of the inflationary period. This trans-Planckian effect was studied before using toy models. The Horava-Lifshitz (HL) theory offers the chance to study this problem in a candidate UV complete theory of gravity. In this paper we study the evolution of cosmological perturbations according to HL gravity assuming that matter gives rise to an inflationary background. As is usually done in inflationary cosmology, we assume that the fluctuations originate in their minimum energy state. In the trans-Planckian region the fluctuations obey a nonlinear dispersion relation of Corley-Jacobson type. In the "healthy extension" of HL gravity there is an extra degree of freedom which plays an important role in the UV region but decouples in the IR, and which influences the cosmological perturbations. We find that in spite of these important changes compared to the usual description, the overall scale invariance of the power spectrum of cosmological perturbations is recovered. However, we obtain oscillations in the spectrum as a function of wave number with a relative amplitude of order unity and with an effective frequency which scales nonlinearly with wave number. Taking the usual inflationary parameters we find that the frequency of the oscillations is so large as to render the effect difficult to observe.

Estudio y desarrollo de un preproceso basado en la difusión no lineal para la segmentación en imágenes

En esta Tesis Doctoral se aborda la utilización de filtros de difusión no lineal para obtener imágenes constantes a trozos como paso previo al proceso de segmentación. En una primera parte se propone un formulación intrínseca para la ecuación de difusión no lineal que proporcione las condiciones de diseño necesarias sobre los filtros de difusión. A partir del marco teórico propuesto, se proporciona una nueva familia de difusividades; éstas son obtenidas a partir de técnicas de difusión no lineal relacionadas con los procesos de difusión regresivos. El objetivo es descomponer la imagen en regiones cerradas que sean homogéneas en sus niveles de grises sin contornos difusos. Asimismo, se prueba que la función de difusividad propuesta satisface las condiciones de un correcto planteamiento semi-discreto. Esto muestra que mediante el esquema semi-implícito habitualmente utilizado, realmente se hace un proceso de difusión no lineal directa, en lugar de difusión inversa, conectando con proceso de preservación de bordes. Bajo estas condiciones establecidas, se plantea un criterio de parada para el proceso de difusión, para obtener imágenes constantes a trozos con un bajo coste computacional. Una vez aplicado todo el proceso al caso unidimensional, se extienden los resultados teóricos, al caso de imágenes en 2D y 3D. Para el caso en 3D, se detalla el esquema numérico para el problema evolutivo no lineal, con condiciones de contorno Neumann homogéneas. Finalmente, se prueba el filtro propuesto para imágenes reales en 2D y 3D y se ilustran los resultados de la difusividad propuesta como método para obtener imágenes constantes a trozos. En el caso de imágenes 3D, se aborda la problemática del proceso previo a la segmentación del hígado, mediante imágenes reales provenientes de Tomografías Axiales Computarizadas (TAC). En ese caso, se obtienen resultados sobre la estimación de los parámetros de la función de difusividad propuesta. This Ph.D. Thesis deals with the case of using nonlinear diffusion filters to obtain piecewise constant images as a previous process for segmentation techniques. I have first shown an intrinsic formulation for the nonlinear diffusion equation to provide some design conditions on the diffusion filters. According to this theoretical framework, I have proposed a new family of diffusivities; they are obtained from nonlinear diffusion techniques and are related with backward diffusion. Their goal is to split the image in closed contours with a homogenized grey intensity inside and with no blurred edges. It has also proved that the proposed filters satisfy the well-posedness semi-discrete and full discrete scale-space requirements. This shows that by using semi-implicit schemes, a forward nonlinear diffusion equation is solved, instead of a backward nonlinear diffusion equation, connecting with an edgepreserving process. Under the conditions established for the diffusivity and using a stopping criterion I for the diffusion time, I have obtained piecewise constant images with a low computational effort. The whole process in the one-dimensional case is extended to the case where 2D and 3D theoretical results are applied to real images. For 3D, develops in detail the numerical scheme for nonlinear evolutionary problem with homogeneous Neumann boundary conditions. Finally, I have tested the proposed filter with real images for 2D and 3D and I have illustrated the effects of the proposed diffusivity function as a method to get piecewise constant images. For 3D I have developed a preprocess for liver segmentation with real images from CT (Computerized Tomography). In this case, I have obtained results on the estimation of the parameters of the given diffusivity function.

Image analysis by moment invariants using a set of step-like basis functions

Moment invariants have been thoroughly studied and repeatedly proposed as one of the most powerful tools for 2D shape identification. In this paper a set of such descriptors is proposed, being the basis functions discontinuous in a finite number of points. The goal of using discontinuous functions is to avoid the Gibbs phenomenon, and therefore to yield a better approximation capability for discontinuous signals, as images. Moreover, the proposed set of moments allows the definition of rotation invariants, being this the other main design concern. Translation and scale invariance are achieved by means of standard image normalization. Tests are conducted to evaluate the behavior of these descriptors in noisy environments, where images are corrupted with Gaussian noise up to different SNR values. Results are compared to those obtained using Zernike moments, showing that the proposed descriptor has the same performance in image retrieval tasks in noisy environments, but demanding much less computational power for every stage in the query chain.

Lithologic Control on the Scaling Properties of the First-Order Streams of Drainage Networks: A Monofractal Analysis

The movement of water through the landscape can be investigated at different scales. This study dealt with the interrelation between bedrock lithology and the geometry of the overlying drainage systems. Parameters of fractal analysis, such as fractal dimension and lacunarity, were used to measure and quantify this relationship. The interrelation between bedrock lithology and the geometry of the drainage systems has been widely studied in the last decades. The quantification of this linkage has not yet been clearly established. Several studies have selected river basins or regularly shaped areas as study units, assuming them to be lithologically homogeneous. This study considered irregular distributions of rock types, establishing areas of the soil map (1:25,000) with the same lithologic information as study units. The tectonic stability and the low climatic variability of the study region allowed effective investigation of the lithologic controls on the drainage networks developed on the plutonic rocks, the metamorphic rocks, and the sedimentary materials existing in the study area. To exclude the effect of multiple in- and outflows in the lithologically homogeneous units, we focused this study on the first-order streams of the drainage networks. The geometry of the hydrologic features was quantified through traditional metrics of fluvial geomorphology and scaling parameters of fractal analysis, such as the fractal dimension, the reference density, and the lacunarity. The results demonstrate the scale invariance of both the drainage networks and the set of first-order streams at the study scale and a relationship between scaling in the lithology and the drainage network.

On the generative equations of fractal self-similarity in granular media and the related PSD models

The physical appearance of granular media suggests the existence of geometrical scale invariance. The paper discuss how this physico-empirical property can be mathematically encoded leading to different generative models: a smooth one encoded by a differential equation and another encoded by an equation coming from a measure theoretical property.