The Market for borrowing securities in Brazil

We report the results of an exploratory data analysis of the Brazilian securities lending market. The analysis is performed over the full historical data set of each individual loan offer and loan contract negotiated between January 2007 and August 2013. We give a quantitative description of volume and loan fee trends and fee dependence on asset characteristics. We also unveil new stylized facts specific to the Brazilian market on market access asymmetries between different types of investors. The emerging picture is that the Brazilian securities lending market is a complex environment with specific frictions and strong asymmetries among players. In particular, we describe a tax arbitrage operation performed by domestic mutual funds which generates a significant distortion in the data. In one such event, we estimate additional aggregate profits of 24.25 million Reais (around 10 million Dollars).

Evolution of futures trading.

Bibliography: p. 90-95.

A note on execution costs for stock index futures: Information versus liquidity effects

This paper examines execution costs and the impact of trade size for stock index futures using price-volume transaction data from the London International Financial Futures and Options Exchange. Consistent with Subrahmanyam [Rev. Financ. Stud. 4 (1991) 11] we find that effective half spreads in the stock index futures market are small compared to stock markets, and that trades in stock index futures have only a small permanent price impact. This result is important as it helps to better understand the success of equity index products such as index futures and Exchange Traded Funds. We also find that there is no asymmetry in the post-trade price reaction between purchases and sales for stock index futures across various trade sizes. This result is consistent with the conjecture in Chan and Lakonishok [J. Financ. Econ. 33 (1993) 173] that the asymmetry surrounding block trades in stock markets is due to the high cost of short selling and the general reluctance of traders to short sell on stock markets. (C) 2004 Elsevier B.V. All rights reserved.

Otimização de alavancagem e gestão de risco em estratégias long-short

Alavancagem em hedge funds tem preocupado investidores e estudiosos nos últimos anos. Exemplos recentes de estratégias desse tipo se mostraram vantajosos em períodos de pouca incerteza na economia, porém desastrosos em épocas de crise. No campo das finanças quantitativas, tem-se procurado encontrar o nível de alavancagem que otimize o retorno de um investimento dado o risco que se corre. Na literatura, os estudos têm se mostrado mais qualitativos do que quantitativos e pouco se tem usado de métodos computacionais para encontrar uma solução. Uma forma de avaliar se alguma estratégia de alavancagem aufere ganhos superiores do que outra é definir uma função objetivo que relacione risco e retorno para cada estratégia, encontrar as restrições do problema e resolvê-lo numericamente por meio de simulações de Monte Carlo. A presente dissertação adotou esta abordagem para tratar o investimento em uma estratégia long-short em um fundo de investimento de ações em diferentes cenários: diferentes formas de alavancagem, dinâmicas de preço das ações e níveis de correlação entre esses preços. Foram feitas simulações da dinâmica do capital investido em função das mudanças dos preços das ações ao longo do tempo. Considerou-se alguns critérios de garantia de crédito, assim como a possibilidade de compra e venda de ações durante o período de investimento e o perfil de risco do investidor. Finalmente, estudou-se a distribuição do retorno do investimento para diferentes níveis de alavancagem e foi possível quantificar qual desses níveis é mais vantajoso para a estratégia de investimento dadas as restrições de risco.

A reliable measure of similarity based on dependency for short time series: an application to gene expression networks

Background: Microarray techniques have become an important tool to the investigation of genetic relationships and the assignment of different phenotypes. Since microarrays are still very expensive, most of the experiments are performed with small samples. This paper introduces a method to quantify dependency between data series composed of few sample points. The method is used to construct gene co-expression subnetworks of highly significant edges. Results: The results shown here are for an adapted subset of a Saccharomyces cerevisiae gene expression data set with low temporal resolution and poor statistics. The method reveals common transcription factors with a high confidence level and allows the construction of subnetworks with high biological relevance that reveals characteristic features of the processes driving the organism adaptations to specific environmental conditions. Conclusion: Our method allows a reliable and sophisticated analysis of microarray data even under severe constraints. The utilization of systems biology improves the biologists ability to elucidate the mechanisms underlying celular processes and to formulate new hypotheses.

Scheduling of head-dependent cascaded reservoirs considering discharge ramping constraints and start/stop of units

This paper is on the problem of short-term hydro scheduling (STHS), particularly concerning head-dependent reservoirs under competitive environment. We propose a novel method, based on mixed-integer nonlinear programming (MINLP), for optimising power generation efficiency. This method considers hydroelectric power generation as a nonlinear function of water discharge and of the head. The main contribution of this paper is that discharge ramping constraints and start/stop of units are also considered, in order to obtain more realistic and feasible results. The proposed method has been applied successfully to solve two case studies based on Portuguese cascaded hydro systems, providing a higher profit at an acceptable computation time in comparison with classical optimisation methods based on mixed-integer linear programming (MILP).

Nonlinear optimization method for short-term hydro scheduling considering head-dependency

This paper is on the problem of short-term hydro scheduling, particularly concerning head-dependent reservoirs under competitive environment. We propose a new nonlinear optimization method to consider hydroelectric power generation as a function of water discharge and also of the head. Head-dependency is considered on short-term hydro scheduling in order to obtain more realistic and feasible results. The proposed method has been applied successfully to solve a case study based on one of the main Portuguese cascaded hydro systems, providing a higher profit at a negligible additional computation time in comparison with a linear optimization method that ignores head-dependency.

Coordination between mid-term maintenance outage decisions and short-term security-constrained scheduling in smart distribution systems

Distribution systems are the first volunteers experiencing the benefits of smart grids. The smart grid concept impacts the internal legislation and standards in grid-connected and isolated distribution systems. Demand side management, the main feature of smart grids, acquires clear meaning in low voltage distribution systems. In these networks, various coordination procedures are required between domestic, commercial and industrial consumers, producers and the system operator. Obviously, the technical basis for bidirectional communication is the prerequisite of developing such a coordination procedure. The main coordination is required when the operator tries to dispatch the producers according to their own preferences without neglecting its inherent responsibility. Maintenance decisions are first determined by generating companies, and then the operator has to check and probably modify them for final approval. In this paper the generation scheduling from the viewpoint of a distribution system operator (DSO) is formulated. The traditional task of the DSO is securing network reliability and quality. The effectiveness of the proposed method is assessed by applying it to a 6-bus and 9-bus distribution system.

Wind-CSP short-term coordination by MILP approach

This paper is on the maximization of total profit in a day-ahead market for a price-taker producer needing a short-term scheduling for wind power plants coordination with concentrated solar power plants, having thermal energy storage systems. The optimization approach proposed for the maximization of profit is a mixed-integer linear programming problem. The approach considers not only transmission grid constraints, but also technical operating constraints on both wind and concentrated solar power plants. Then, an improved short-term scheduling coordination is provided due to the more accurate modelling presented in this paper. Computer simulation results based on data for the Iberian wind and concentrated solar power plants illustrate the coordination benefits and show the effectiveness of the approach.

Wind-CSP short-term coordination by Milp approach

This paper is on the maximization of total profit in a day-ahead market for a price-taker producer needing a short-term scheduling for wind power plants coordination with concentrated solar power plants, having thermal energy storage systems. The optimization approach proposed for the maximization of profit is a mixed-integer linear programming problem. The approach considers not only transmission grid constraints, but also technical operating constraints on both wind and concentrated solar power plants. Then, an improved short-term scheduling coordination is provided due to the more accurate modelling presented in this paper. Computer simulation results based on data for the Iberian wind and concentrated solar power plants illustrate the coordination benefits and show the effectiveness of the approach.

Small firms, growth and financial constraints

This paper analyses the impact of different sources of finance on the growth of firms. Using panel data from Spanish manufacturing firms for the period 2000-2006, we investigate the effects of internal and external finances on firm growth. In particular, we examine three dimensions of these financial sources: a) the performance of the firms’ capital structure in accordance with firm size; b) the effects of internal and external financial sources on growth performance; c) the combined effect of equity, external debt and cash flow on firm growth. We find that low-growth firms are sensitive to cash flow and short-term bank debt, while high-growth firms are more sensitive to long-term debt. Furthermore, equity capital seems to reduce barriers to external finance. Our main conclusion is that during the start-up phase, firms are unable to increase their financial leverage and so their capital structure fails to promote correct investment strategies. However, as their equity capital increases, alternative financial mechanisms, in particular long-term debt, become available, which have a positive impact on firm growth.

Vertebrate conserved non coding DNA regions have a high persistence length and a short persistence time.

BACKGROUND: The comparison of complete genomes has revealed surprisingly large numbers of conserved non-protein-coding (CNC) DNA regions. However, the biological function of CNC remains elusive. CNC differ in two aspects from conserved protein-coding regions. They are not conserved across phylum boundaries, and they do not contain readily detectable sub-domains. Here we characterize the persistence length and time of CNC and conserved protein-coding regions in the vertebrate and insect lineages. RESULTS: The persistence length is the length of a genome region over which a certain level of sequence identity is consistently maintained. The persistence time is the evolutionary period during which a conserved region evolves under the same selective constraints.Our main findings are: (i) Insect genomes contain 1.60 times less conserved information than vertebrates; (ii) Vertebrate CNC have a higher persistence length than conserved coding regions or insect CNC; (iii) CNC have shorter persistence times as compared to conserved coding regions in both lineages. CONCLUSION: Higher persistence length of vertebrate CNC indicates that the conserved information in vertebrates and insects is organized in functional elements of different lengths. These findings might be related to the higher morphological complexity of vertebrates and give clues about the structure of active CNC elements.Shorter persistence time might explain the previously puzzling observations of highly conserved CNC within each phylum, and of a lack of conservation between phyla. It suggests that CNC divergence might be a key factor in vertebrate evolution. Further evolutionary studies will help to relate individual CNC to specific developmental processes.

Constraints on the upper Permian to upper Triassic marine carbon isotope curve : case studies from the Tethys

Secular variations of the seawater carbon isotopic composition provide evidence for paleoceanographic and paleoclimatic changes and may serve for chemiostratigraphic correlations. The present study aimed to improve the current knowledge on the Upper Permian and Triassic segment of the Phanerozoic marine carbon isotope curve, whose Triassic part was poorly constrained by previous studies. Profiles of inorganic carbon isotopes are provided for sections from Himalaya (Salt Range, Kashmir, Spiti and Nepal), Oman and North Dobrogea (Romania) on the basis of whole-rock carbonate analysis. The data acquired, together with a literature compilation confirmed that most of the Upper Permian is characterized by high δ13C values (averaging +40/00) but failed to detect a positive excursion as suggested by recent compilations. In the light of these observations, the large drop in δ13C values associated with the end-Permian mass extinction appears to be driven by a sudden transfer of previously stocked 13C depleted carbon, rather than by the overturn of a Late Permian stratified ocean. The Triassic data-set outlines significant secular variations. The best documented is a carbon isotope positive excursion just across the Lower-Middle Triassic boundary, globally developed since it was detected in various paleogeographic settings. It is interpreted to reflect variations in surface ocean chemistry, possibly related to increased primary productivity, at times when the biotic recovery after the end-Permian mass-extinction began to accelerate significantly and when a sharp rise in seawater δ34S values occurred globally. Strontium isotope data obtained from well preserved biogenic phosphates allow a refinement of the Middle Triassic segment of the seawater strontium isotope curve and show a major inflexion point of the seawater strontium isotope curve also near the Lower Triassic - Middle Triassic boundary. These facts suggest that the transition from the Early to the Middle Triassic was a time of revolutionary global change which represented an important step in the evolution of Mesozoic marine environments. A tentative carbon isotope curve for the Upper Permian to Upper Triassic time interval is proposed. Its major features are: ? high but constant δ13C values during the Late Permian ? a sharp drop in δ13C values in the latest Permian ? subsequent recovery of δ13C values ? a short-lived positive excursion across the Early-Middle Triassic boundary ? a gradual rise in δ13C values starting in the Late Ladinian or in the Early Carnian It is foreseen that these fluctuations of the carbon isotope curve may serve as chronostratigraphic markers and further assist in the correlation of Permian and Triassic carbonate deposits.

Constraints on the late thermotectonic evolution of the Western Alps - Evidence for episodic rapid uplift

Forty-two new apatite and zircon fission track ages are presented for samples from the Western Alps in southern Switzerland, northern Italy, and southeastern France. Measured ages plotted against assumed closure temperatures yield cooling patterns for the final cooling, uplift, and exhumation of the Western Alps. Similar fission track zircon ages in the Penninic Gran Paradiso massif, Dent Blanche nappe, Sesia-Lanzo Zone, and Ivrea Zone indicate cooling of all four units to approximately 225-degrees-C by 33 Ma. Differences in apatite ages reveal differential cooling of the four blocks between 33 Ma and the present. In the Sesia-Lanzo Zone, similarity of apatite ages regardless of elevation, together with near-volcanic confined fission track length patterns suggest rapid cooling and uplift at approximately 25 Ma compared with slow cooling of other Western Alps units around 12 Ma. Uplift is thus not continuous but episodic, often over a short time interval beyond the resolution of other methods. Such episodes of uplift, as revealed here in the Sesia-Lanzo Zone, may be the rule rather than the exception.