Persistence characteristics in financial prices: evidence from the portuguese stock market returns

The objective of this article is to provide additional knowledge to the discussion of long-term memory, leaning over the behavior of the main Portuguese stock index. The first four moments are calculated using time windows of increasing size and sliding time windows of fixed size equal to 50 days and suggest that daily returns are non-ergodic and non-stationary. Seeming that the series is best described by a fractional Brownian motion approach, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA). The findings indicate evidence of long term memory in the form of persistence. This evidence of fractal structure suggests that the market is subject to greater predictability and contradicts the efficient market hypothesis in its weak form. This raises issues regarding theoretical modeling of asset pricing. In addition, we carried out a more localized (in time) study to identify the evolution of the degree of long-term dependency over time using windows 200-days and 400-days. The results show a switching feature in the index, from persistent to anti-persistent, quite evident from 2010.

PedVis: A Structured, Space-Efficient Technique for Pedigree Visualization

Public genealogical databases are becoming increasingly populated with historical data and records of the current population`s ancestors. As this increasing amount of available information is used to link individuals to their ancestors, the resulting trees become deeper and more dense, which justifies the need for using organized, space-efficient layouts to display the data. Existing layouts are often only able to show a small subset of the data at a time. As a result, it is easy to become lost when navigating through the data or to lose sight of the overall tree structure. On the contrary, leaving space for unknown ancestors allows one to better understand the tree`s structure, but leaving this space becomes expensive and allows fewer generations to be displayed at a time. In this work, we propose that the H-tree based layout be used in genealogical software to display ancestral trees. We will show that this layout presents an increase in the number of displayable generations, provides a nicely arranged, symmetrical, intuitive and organized fractal structure, increases the user`s ability to understand and navigate through the data, and accounts for the visualization requirements necessary for displaying such trees. Finally, user-study results indicate potential for user acceptance of the new layout.

Sudden changes in chaotic attractors and transient basins in a model for rattling in gearboxes

We consider a model for rattling in single-stage gearbox systems with some backlash consisting of two wheels with a sinusoidal driving; the equations of motions are analytically integrated between two impacts of the gear teeth. Just after each impact, a mapping is used to obtain the dynamical variables. We have observed a rich dynamical behavior in such system, by varying its control parameters, and we focus on intermittent switching between laminar oscillations and chaotic bursting, as well as crises, which are sudden changes in the chaotic behavior. The corresponding transient basins in phase space are found to be riddled-like, with a highly interwoven fractal structure. (C) 2004 Elsevier Ltd. All rights reserved.

Structural modifications in silica sonogels prepared with additions of poly(vinyl alcohol)

Silica wet gels were prepared from acid sonohydrolysis of tetraethoxysilane (TEOS) and additions of poly(vinyl alcohol) (PVA)-water solution. Aerogels were obtained from supercritical CO(2) extraction. The samples were studied by thermal gravimetric (TG) analysis, small-angle X-ray scattering (SAXS), and nitrogen adsorption. The structure of wet gels can be described as a mass fractal with dimension D equal to 2.0 on the whole length scale experimentally probed by SAXS, from similar to 0.3 to similar to 15 nm. Pure and low-PVA-addition wet gels exhibit an upper cutoff accounting for a finite characteristic length xi of the mass fractal structure. Additions , of PVA increase without modifying D, which was attributed to a steric effect of the polymer in the structure. The pore volume fraction of the aerogels diminishes typically about 11% with respect to that of the wet gels, although nitrogen adsorption could be underestimating some porosity. The pore size distribution of the aerogels is shifted toward the mesopore region with the additions of PVA, in a straight relationship with the increase of xi in the wet gels. The thermal stability of the pore size distribution of the aerogels was studied up to 1000 degrees C.

Structural characteristics of silica sonogels prepared with different proportions of TEOS and TMOS

Sonohydrolysis of mixtures of tetraethoxysilane (TEOS) and tetramethoxysilane (TMOS) with different TMOS/(TMOS + TEOS) molar ratio R was carried out to obtain similar to 2.0 x 10(-3) mol SiO2/cm(3) and similar to 86%-volume liquid phase wet gels. Aerogels were obtained by supercritical CO2 extraction in autoclave. The samples were analyzed by small-angle X-ray scattering (SAXS) and nitrogen adsorption. The structure of the wet gels can be described as a mass fractal structure with fractal dimension D similar to 2.2 and characteristic length increasing from similar to 4.6 nm for pure TEOS to similar to 6.4 nm for pure TMOS. A fraction of the porosity is eliminated with the supercritical process. The fundamental role of the TMOS/(TMOS + TEOS) molar ratio on the structure of the aerogels is to increase the porosity and the pore mean size as R changes from pure TEOS to pure TMOS. The supercritical process increases the mass fractal dimension and shortens the fractality domain in the mesopore region. A secondary structure appearing in the micropore region of the aerogels can be described as a mass/surface fractal structure with correlated mass fractal dimension D-m similar to 2.6 and surface fractal dimension D-s similar to 2.3. (C) 2007 Elsevier B.V. All rights reserved.

Modifications in the correlation function in poly(vinyl alcohol)/silica hybrid wet gels

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

Small-angle X-ray scattering from wet gels prepared from co-hydrolysis of tetraethoxysilane and vinyltriethoxysilane

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

From sol to aerogel: a study of the nanostructural characteristics of TEOS derived sonogels

The nanostructural characteristics of acid-catalyzed sonogels are studied along the aging process at 60 degreesC in saturated conditions and after the CO, supercritical extraction (aerogel). The structural evolution was studied by means of small-angle X-ray scattering (SAXS) and UV-Visible absorption techniques. The sonogel exhibits a mass fractal structure in a length scale between zeta - 1/q(0) similar to 5.3 and a(1) similar to 1/q(m) similar to 0.22 nm, as the length scale probed by SAXS. The apparent mass fractal dimension lightly increases from 2.0 for fresh gel until 2.2 for 14 days aging in wet conditions. The UV absorption also increases with the aging time in wet conditions. Both observations are consistent with the syneresis process accompanying the polycondensation progress during aging in saturated conditions. For long aging times, the wet sonogels show a light transition from a mass to a surface fractal. in a very small interval of the length scale, developing an extremely rough surface with fractal dimension D-S similar to 2.9, the fractal characteristics of the sonogels practically do not change with the alcohol exchange. With the CO2 supercritical extraction (aerogel). The interval in the length scale in which the surface fractal is defined increases, while the surface fractal dimension diminishes to D-S similar to 2.5. The mass fractal characteristics are less apparent in the aerogels. (C) 2001 Elsevier B.V. B.V. All rights reserved.

Structural evolution of aerogels prepared from TEOS sono-hydrolysis upon heat treatment up to 1100 degrees C

The structural evolution of aerogels prepared from TEOS sono-hydrolysis was studied as a function of the temperature of heat treatment up to 1100 degreesC by means of small angle X-ray scattering (SAXS) and density measurements. The mass fractal structure of the original wet sonogel (with scattering exponent alpha similar to 2.2) apparently transforms to a surface fractal structure in a length scale lesser than similar to1.5 nm, upon the process resulting in aerogel. Such a structural transformation is interpreted by the formation of new particles with characteristic dimension of similar to1.5 nm, with rough boundaries or electronic density fluctuations (or ultra-micropores) in their interior. The structural arrangement of these particles seem to preserve part of mass fractal characteristics of the original wet sonogel, now in a length scale greater than similar to1.5 nm. The electronic density heterogeneities in the particles start to be eliminated at around 800 degreesC and, at 900 degreesC, the particles become perfectly homogeneous, so the structure can be described as a porous structure with a porosity of similar to68% with similar to9.0 nm mean size pores and similar to4.3 nm mean size solid particles. Above 900 degreesC, a vigorous viscous flux sintering process sets in, eliminating most of the porosity and increasing rapidly the bulk density in an aerogel-glass transformation. (C) 2003 Elsevier B.V. All rights reserved.

A SAXS study of the nanostructural characteristics of TEOS-derived sonogels upon heat treatment up to 1100 degrees C

Xerogels obtained from the acid-catalyzed and ultrasound stimulated hydrolysis of TEOS were submitted to heat treatment at temperatures ranging from 60 to 1100 degreesC and studied by small-angle X-ray scattering (SAXS). The SAXS intensity as a function of the modulus of the scattering vector q was obtained in the range from q(0) = 0.19 to q(m) = 4.4 nm(-1). At 60 degreesC the xerogels exhibit an apparent surface fractal structure with a fractal dimension D-s similar to 2.5 in a length scale ranging from 1/q(1) similar to 1 to 1/q(m) similar to 0.22 nm. This structure becomes extremely rough at 120 degreesC (D-s similar to 3) and at 150 degreesC, it apparently converts to a mass fractal with a fractal dimension D similar to 2.4. This may mean an emptying of the pores with preservation of a share of the original mass fractal structure of the wet aged gel, for it had presented a mass fractal dimension D similar to 2.2. A well characterized porous structure formed by 2.0 nm mean size pores with smooth surface of about 380 m(2)/g is formed at 300 degreesC and remains stable until approximately 800 degreesC. At 900 degreesC the SAXS intensity vanishes indicating the disappearance of the pores in the probed length scale. The elimination of the nanopores occurs by a mechanism in which the number of pores diminishes keeping constant their mean size. The xerogels exhibit a foaming phenomenon above 900 degreesC and scatter following Porod's law as does a surface formed by a coarse structure. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Gelation of siloxane-poly(oxypropylene) composites

The viscoelastic properties of siloxane-poly(oxypropylene) (PPO) nanocomposites prepared by the sol-gel process has been analyzed during gelation by dynamic rheological measurements. The changes of storage and loss moduli, complex viscosity and phase angle has been measured as a function of time showing the newtonian viscosity of the sol in the initial step of gelation, and its progressive transformation to a viscoelastic gel. The rheologic properties have been correlated to mass fractal, nearly linear growth models and percolation theory. This study, completed by quasi-elastic light scattering and Si-29 solid state nuclear magnetic resonance measurements, shows that the mechanisms of gelation of siloxane-PPO hybrids depend on the molecular weight of the polymer and on the pH of the hybrid sol. For hybrids prepared in acid medium, a polymerization involving silicon reactive species located at the extremity of the polymer chains and presenting a functionality f = 2 occurs, forming a fractal structure during the first stage of sol-gel transition. For samples prepared under neutral pH, the fractal growth is only observed for hybrids containing short polymer chains (M-w similar to 130 gmol(-1)). The fractal dimensionality determined from the change in the rheological properties, indicates that the fractal growth mechanism changes from reaction-limited to diffusion-limited aggregation when the molecular weight of the PPO increases from 130 to 4000 gmol(-1) and as catalyst conditions change from acidic to neutral. Near the gel point, these hybrid gels have the typical scaling behavior expected from percolation theory. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Thermostimulated sol-gel transition in suspensions of sulfate zirconium oxychloride

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Rheological study of the thermoreversible sol-gel transition of sulfate modified zirconyl chloride aqueous sol

The sols prepared by mixing a ZrOCl2 acidified solution to a hot H2SO4 aqueous solutions were studied in order to clarify the mechanism of thermoreversible sol-gel transition observed in this system. The viscoelastic properties of these suspensions were analyzed during the sol-gel transition by dynamic rheological measurements and quasi-elastic light scattering. The rheological properties were correlated to mass fractal and nearly linear growth models, and percolation theory. The results evidence that the thermoreversible sol-gel transition in this system is due to the formation of a network of physically linked aggregates having fractal structure. The decrease of the SO42- contents in the initial solution leads to the decrease of the fractal dimensionality from 2.3 to 1.8, indicating a change of the kinetic mechanism of aggregate growth. Near the gel point these samples have the typical scaling expected from percolation theory. (C) 2004 Elsevier B.V. All rights reserved.

Structural characteristics of silica sonogels prepared with additions of isopropyl alcohol

Wet silica gels with similar to 1.4 x 10(-3) mol SiO2/cm(3) and similar to 92 vol% liquid phase were obtained from sonohydrolysis of tetraethoxysilane (TEOS) with different additions of isopropyl alcohol ( IPA). The IPA/TEOS molar ratio R was changed from 0 to 4. Aerogels were obtained by supercritical CO2 extraction. The samples were analyzed by small-angle X-ray scattering (SAXS) and nitrogen adsorption. The wet gels exhibit mass fractal structure with fractal dimension increasing from D similar to 2.10 to D similar to 2.22, characteristic length xi decreasing from similar to 9.5 to similar to 6.9 nm, as R increases from 0 to 4, and an estimated characteristic length for the primary silica particles lower than similar to 0.3 nm. The supercritical process apparently eliminates a fraction of the porosity, increasing the mass fractal dimension and shortening the fractality domain in the mesopore region. The fundamental role of isopropyl alcohol on the structure of the resulting aerogels is to decrease the porosity and the pore mean size as R changes from pure TEOS to R = 4. A secondary structure appearing in the micropore region of the aerogels can be described as a mass/surface fractal structure, with correlated mass fractal dimension D-m similar to 2.7 and surface fractal dimension D-s similar to 2.3, as inferred from SAXS and nitrogen adsorption data.

Small-angle X-ray scattering study of the smart thermo-optical behavior of zirconyl aqueous colloids

The smart thermo-optical systems studied here are based on the unusual thermoreversible sol-gel transition of zirconyl chloride aqueous solution modified by sulfuric acid in the molar ratio Zr/SO4:3/1. The transparency to the visible light changes during heating due to light scattering. This feature is related to the aggregates growth that occurs during gelation. These reversible changes can be controlled by the amount of chloride ions in solution. The thermoreversible sol-gel transition temperature increases from 323 to 343 K by decreasing the molar ratio Cl/Zr from 7.0 to 1.3. In this work the effect of the concentration of chloride ions on the structural characteristics of the system has been analyzed by in situ SAXS measurements during the sol-gel transition carried out at 323 and 333 K. The experimental SAXS curves of sols exhibit three regions at small, medium and high scattering vectors characteristics of Guinier, fractal and Porod regimes, respectively. The radius of primary particles, obtained from the crossover between the fractal and Porod regimes, remains almost invariable with the chloride concentration, and the value (4 Angstrom) is consistent with the size of the molecular precursor. During the sol-gel transition the aggregates grow with a fractal structure and the fractal dimensionality decreases from 2.4 to 1.8. This last value is characteristic of a cluster-cluster aggregation controlled by a diffusion process. Furthermore, the time exponent of aggregate growth presents values of 0.33 and 1, typical of diffusional and hydrodynamic motions. A crossover between these two regimes is observed.