Predictability of equity models

In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the same sense, which evaluate original series for each stock, we evaluate synthetic series created on the basis of linear models of stocks. Following Burgess (1999), we use the “stepwise regression” model for the formation of models of each stock. We then use the variance ratio profile together with a Monte Carlo simulation for the selection of models with potential predictability. Unlike Burgess (1999), we carry out White’s Reality Check (2000) in order to verify the existence of positive returns for the period outside the sample. We use the strategies proposed by Sullivan, Timmermann & White (1999) and Hsu & Kuan (2005) amounting to 26,410 simulated strategies. Finally, using the bootstrap methodology, with 1,000 simulations, we find strong evidence of predictability in the models, including transaction costs.

Preços futuros brasileiros seguem um passeio aleatório? um estudo empírico

A pesquisa teve como objetivo testar se preços no mercado futuro brasileiro seguem um passeio aleatório - uma das versões da chamada Hipótese do Mercado Eficiente. Foram estudados os preços dos contratos futuros de Ibovespa e de dólar comercial, de 30 de junho de 1994 a 31 de dezembro de 1998. Aplicação de testes paramétricos e não-paramétricos envolvendo a Relação de Variâncias (Variance Ratio) de Lo-MacKinlay levam à conclusão de que a hipótese testada não pode ser rejeitada, apontando, portanto, para eficiência em tais mercados.

Estado nutricional antropométrico, perfil lipídico e consumo alimentar como fatores de risco para doença cardiovascular em adolescentes

The dyslipidemia and excess weight in adolescents, when combined, suggest a progression of risk factors for cardiovascular disease (CVD). Besides these, the dietary habits and lifestyle have also been considered unsuitable impacting the development of chronic diseases. The study objectives were: (1) estimate the prevalence of lipid profile and correlate with body mass index (BMI), waist circumference (WC) and waist / height ratio (WHR) in adolescents, considering the maturation sexual, (2) know the sources of variance in the diet and the number of days needed to estimate the usual diet of adolescents and (3) describe the dietary patterns and lifestyle of adolescents, family history of CVD and age correlates them with the patterns of risk for CVD, adjusted for sexual maturation. A cross-sectional study was performed with 432 adolescents, aged 10-19 years from public schools of the Natal city, Brazil. The dyslipidemias were evaluated considering the lipid profile, the index of I Castelli (TC / HDL) and II (LDL / HDL) and non-HDL cholesterol. Anthropometric indicators were BMI, WC and WHR. The intake of energy, nutrients including fiber, fatty acids and cholesterol was estimated from two 24-hour recalls (24HR). The variables of lipid profile, anthropometric and clinical data were used in the models of Pearson correlation and linear regression, considering the sexual maturation. The variance ratio of the diet was calculated from the component-person variance, determined by analysis of variance (ANOVA). The definition of the number of days to estimate the usual intake of each nutrient was obtained by taking the hypothetical correlation (r) ≥ 0.9, between nutrient intake and the true observed. We used the principal component analysis as a method of extracting factors that 129 accounted for the dependent variables and known cardiovascular risk obtained from the lipid profile, the index for Castelli I and II, non-HDL cholesterol, BMI, and WC the WHR. Dietary patterns and lifestyle were obtained from the independent variables, based on nutrients consumed and physical activity weekly. In the study of principal component analysis (PCA) was investigated associations between the patterns of cardiovascular risk factors in dietary patterns and lifestyle, age and positive family history of CVD, through bivariate and multiple logistic regression adjusted for sexual maturation. The low HDL-C dyslipidemia was most prevalent (50.5%) for adolescents. Significant correlations were observed between hypercholesterolemia and positive family history of CVD (r = 0.19, p <0.01) and hypertriglyceridemia with BMI (r = 0.30, p <0.01), with the CC (r = 0.32, p <0.01) and WHR (r = 0.33, p <0.01). The linear model constructed with sexual maturation, age and BMI explained about 1 to 10.4% of the variation in the lipid profile. The sources of variance between individuals were greater for all nutrients in both sexes. The reasons for variances were  1 for all nutrients were higher in females. The results suggest that to assess the diet of adolescents with greater precision, 2 days would be enough to R24h consumption of energy, carbohydrates, fiber, saturated and monounsaturated fatty acids. In contrast, 3 days would be recommended for protein, lipid, polyunsaturated fatty acids and cholesterol. Two cardiovascular risk factors as have been extracted in the ACP, referring to the dependent variables: the standard lipid profile (HDL-C and non-HDL cholesterol) and "standard anthropometric index (BMI, WC, WHR) with a power explaining 75% of the variance of the original data. The factors are representative of two independent variables led to dietary patterns, "pattern 130 western diet" and "pattern protein diet", and one on the lifestyle, "pattern energy balance". Together, these patterns provide an explanation power of 67%. Made adjustment for sexual maturation in males remained significant variables: the associations between puberty and be pattern anthropometric indicator (OR = 3.32, CI 1.34 to 8.17%), and between family history of CVD and the pattern lipid profile (OR = 2.62, CI 1.20 to 5.72%). In females adolescents, associations were identified between age after the first stage of puberty with anthropometric pattern (OR = 3.59, CI 1.58 to 8.17%) and lipid profile (OR = 0.33, CI 0.15 to 0.75%). Conclusions: The low HDL-C was the most prevalent dyslipidemia independent of sex and nutritional status of adolescents. Hypercholesterolemia was influenced by family history of CVD and sexual maturation, in turn, hypertriglyceridemia was closely associated with anthropometric indicators. The variance between the diets was greater for all nutrients. This fact reflected in a variance ratio less than 1 and consequently in a lower number of days requerid to estimate the usual diet of adolescents considering gender. The two dietary patterns were extracted and the pattern considered unhealthy lifestyle as healthy. The associations were found between the patterns of CVD risk with age and family history of CVD in the studied adolescents

Validação de questionário quantitativo de freqüência alimentar para crianças de 5 a 10 anos

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

A simple and portable instrument for determination of captopril in pharmaceutical formulations

Objective: This article describes the application and the performance of a cheap, simple and portable device that can be used for colorimetric quantitative determination of captopril (CPT) in pharmaceutical preparations. Methods: The sensor is a light detector resistor (LDR) placed into a black PTFE cell and coupled to a low cost multimeter (Ohmmeter). The instrument has been tested and is easy and fast to use. The quantitative study is based mainly on reduction of ammonium molybdate by captopril, in the presence of sulphuric acid, producing a green-yellow compound (max 407 nm). The calibration curves were obtained by plotting the electric resistance of the LDR against the CPT concentration on the range of 4.60 x 10-4 to 1.84 x 10-3 mol l-1 with a good coefficient of determination (R2 = 0.9962). Results: Statistical analysis of the obtained results showed no significant difference between the proposed methodology and the official reported method as evident from the t-test and variance ratio at 95% confidence level. Conclusion: The results of this study demonstrate that the instrument can be used for simple, accurate, precise, fast, in situ and low-cost colorimetric analysis of captopril in pharmaceuticals products.

Fenologia reprodutiva e distribuição espacial de Oeceoclades maculata (Lindl.) Lindl. (Orchidaceae) em Cerrado do município de Mogi Guaçu, São Paulo, Brasil

Oeceoclades aculate (Lindl.) Lindl., an invasive orchid, was analyzed as to its reproductive phenology and spatial distribution, correlation between abundance of mature and immature individuals, and verifying these with microclimate patterns in the Cerrado (savanna-like vegetation) of Mogi Guacu, Sao Paulo State, Brazil. For the reproductive phenology 100 plants were followed and the distribution pattern was identified by the Morisita Index (MI) and the Variance Ratio/Average (R) in 20 plots of 20x10m, reduced to 10x10m afterwards. The phenology presented seasonality, with flowering from November to February, fructification from February to June, and dehiscence from June to July. Mature and immature individuals aggregated and correlated to each other, indicating dependence between the ontogenetic stages. The luminosity was the preponderant microclimatic factor in the allocation of plants. Seasonal climatic changes and intensity of anthropogenic disturbances seem to be more important for the establishment of the species than microclimate.

Changes in species composition in alpine snowbeds with climate change inferred from small-scale spatial patterns

Alpine snowbeds are characterised by a very short growing season. However, the length of the snow-free period is increasingly prolonged due to climate change, so that snowbeds become susceptible to invasions from neighbouring alpine meadow communities. We hypothesised that spatial distribution of species generated by plant interactions may indicate whether snowbed species will coexist with or will be out-competed by invading alpine species – spatial aggregation or segregation will point to coexistence or competitive exclusion, respectively. We tested this hypothesis in snowbeds of the Swiss Alps using the variance ratio statistics. We focused on the relationships between dominant snowbed species, subordinate snowbed species, and potentially invading alpine grassland species. Subordinate snowbed species were generally spatially aggregated with each other, but were segregated from alpine grassland species. Competition between alpine grassland and subordinate snowbed species may have caused this segregation. Segregation between these species groups increased with earlier snowmelt, suggesting an increasing importance of competition with climate change. Further, a dominant snowbed species (Alchemilla pentaphyllea) was spatially aggregated with subordinate snowbed species, while two other dominants (Gnaphalium supinum and Salix herbacea) showed aggregated patterns with alpine grassland species. These dominant species are known to show distinct microhabitat preferences suggesting the existence of hidden microhabitats with different susceptibility to invaders. These results allow us to suggest that alpine snowbed areas are likely to be reduced as a consequence of climate change and that invading species from nearby alpine grasslands could outcompete subordinate snowbed species. On the other hand, microhabitats dominated by Gnaphalium or Salix seem to be particularly prone to invasions by non-snowbed species.

An empirical analysis on the efficiency of the microfinance investment market

This paper empirically analyzes the market efficiency of microfinance investment funds. For the empirical analysis, we use an index of the microfinance investment funds and apply two kinds of variance ratio tests to examine whether or not this index follows a random walk. We use the entire sample period from December 2003 to June 2010 as well as two sub-samples which divide the entire period before and after January 2007. The empirical evidence demonstrates that the index does not follow a random walk, suggesting that the market of the microfinance investment funds is not efficient. This result is not affected by changes in either empirical techniques or sample periods.

Statnote 5: Is one set of data more variable than another?

There may be circumstances where it is necessary for microbiologists to compare variances rather than means, e,g., in analysing data from experiments to determine whether a particular treatment alters the degree of variability or testing the assumption of homogeneity of variance prior to other statistical tests. All of the tests described in this Statnote have their limitations. Bartlett’s test may be too sensitive but Levene’s and the Brown-Forsythe tests also have problems. We would recommend the use of the variance-ratio test to compare two variances and the careful application of Bartlett’s test if there are more than two groups. Considering that these tests are not particularly robust, it should be remembered that the homogeneity of variance assumption is usually the least important of those considered when carrying out an ANOVA. If there is concern about this assumption and especially if the other assumptions of the analysis are also not likely to be met, e.g., lack of normality or non additivity of treatment effects then it may be better either to transform the data or to carry out a non-parametric test on the data.

Likelihood ratio tests for variance components in linear mixed models

Although the asymptotic distributions of the likelihood ratio for testing hypotheses of null variance components in linear mixed models derived by Stram and Lee [1994. Variance components testing in longitudinal mixed effects model. Biometrics 50, 1171-1177] are valid, their proof is based on the work of Self and Liang [1987. Asymptotic properties of maximum likelihood estimators and likelihood tests under nonstandard conditions. J. Amer. Statist. Assoc. 82, 605-610] which requires identically distributed random variables, an assumption not always valid in longitudinal data problems. We use the less restrictive results of Vu and Zhou [1997. Generalization of likelihood ratio tests under nonstandard conditions. Ann. Statist. 25, 897-916] to prove that the proposed mixture of chi-squared distributions is the actual asymptotic distribution of such likelihood ratios used as test statistics for null variance components in models with one or two random effects. We also consider a limited simulation study to evaluate the appropriateness of the asymptotic distribution of such likelihood ratios in moderately sized samples. (C) 2008 Elsevier B.V. All rights reserved.

Genetic (co)variance components for ratio of lamb weight to ewe metabolic weight as an indicator of ewe efficiency

Data from a multibreed commercial flock located at Mid-West of Brazil, supported by Programa de Melhoramento Genético de Caprinos e Ovinos de Corte (GENECOC), were used to estimate genetic parameters of traits related to ewe productivity by Average Information Restricted Maximum Likelihood method applied to an animal model. The analyzed traits were litter weight at birth (LWB) and at weaning (LWW), ewe weight at weaning (EW) and ewe production efficiency, estimated by WEE=LWW/EW 0.75. The heritabilities were 0.26±0.05, 0.32±0.06, 0.37±0.03 and 0.10±0.02 for LWB, LWW, EW and WEE, respectively. Significant effects for direct heterosis were observed for LWW and EW. Recombination losses were important for EW and WEE. Genetic correlations of LWB with LWW, EW and WEE were 0.68, 0.37 and 0.15, respectively; of LWW with EW and WEE were 0.30 and 0.34, respectively; and between EW and WEE was -0.25. Even though it is a low heritability trait, WEE can be indicated as a selection criteria for improving the ewe productivity without increasing the mature weight of animals due to its genetic correlations with LWW and other traits. © 2011 Elsevier B.V.

Quantitative Trait Loci for CD4:CD8 Lymphocyte Ratio Are Associated with Risk of Type 1 Diabetes and HIV-1 Immune Control

Abnormal expansion or depletion of particular lymphocyte subsets is associated with clinical manifestations such as HIV progression to AIDS and autoimmune disease. We sought to identify genetic predictors of lymphocyte levels and reasoned that these may play a role in immune-related diseases. We tested 2.3 million variants for association with five lymphocyte subsets, measured in 2538 individuals from the general population, including CD4+ T cells, CD8+ T cells, CD56+ natural killer (NK) cells, and the derived measure CD4:CD8 ratio. We identified two regions of strong association. The first was located in the major histocompatibility complex (MHC), with multiple SNPs strongly associated with CD4:CD8 ratio (rs2524054, p = 2.1 × 10−28). The second region was centered within a cluster of genes from the Schlafen family and was associated with NK cell levels (rs1838149, p = 6.1 × 10−14). The MHC association with CD4:CD8 replicated convincingly (p = 1.4 × 10−9) in an independent panel of 988 individuals. Conditional analyses indicate that there are two major independent quantitative trait loci (QTL) in the MHC region that regulate CD4:CD8 ratio: one is located in the class I cluster and influences CD8 levels, whereas the second is located in the class II cluster and regulates CD4 levels. Jointly, both QTL explained 8% of the variance in CD4:CD8 ratio. The class I variants are also strongly associated with durable host control of HIV, and class II variants are associated with type-1 diabetes, suggesting that genetic variation at the MHC may predispose one to immune-related diseases partly through disregulation of T cell homeostasis.

Population structure and variance effective size of red snapper (Lutjanus campechanus) in the northern Gulf of Mexico*

We assayed allelic variation at 19 nuclear-encoded microsatellites among 1622 Gulf red snapper (Lutjanus campechanus) sampled from the 1995 and 1997 cohorts at each of three offshore localities in the northern Gulf of Mexico (Gulf). Localities represented western, central, and eastern subregions within the northern Gulf. Number of alleles per microsatellite per sample ranged from four to 23, and gene diversity ranged from 0.170 to 0.917. Tests of conformity to Hardy-Weinberg equilibrium expectations and of genotypic equilibrium between pairs of micro-satellites were generally nonsignificant following Bonferroni correction. Significant genic or genotypic heterogeneity (or both) among samples was detected at four microsatellites and over all microsatellites. Levels of divergence among samples were low (FST ≤0.001). Pairwise exact tests revealed that six of seven “significant” comparisons involved temporal rather than spatial heterogeneity. Contemporaneous or variance effective size (NeV) was estimated from the temporal variance in allele frequencies by using a maximum-likelihood method. Estimates of NeV ranged between 1098 and >75,000 and differed significantly among localities; the NeV estimate for the sample from the northcentral Gulf was >60 times as large as the estimates for the other two localities. The differences in variance effective size could ref lect differences in number of individuals successfully reproducing, differences in patterns and intensity of immigration, or both, and are consistent with the hypothesis, supported by life-history data, that different “demographic stocks” of red snapper are found in the northern Gulf. Estimates of NeV for red snapper in the northern Gulf were at least three orders of magnitude lower than current estimates of census size (N). The ratio of effective to census size (Ne/N) is far below that expected in an ideal population and may reflect high variance in individual reproductive success, high temporal and spatial variance in productivity among subregions or a combination of the two.

Coastal climate reflected in carbon-13/carbon-12 ratio of organic carbon in varved sediment from Santa Barbara basin

A 1844-1987 time-series of carbon stable isotope ratios from dated sedimentary total organic carbon from the center of the Santa Barbara basin is compared with historical climate and oceanographic records. Carbon derived from carbon-13-depleted phytoplankton and carbon-13-enriched kelp appear responsible for a large part of the isotopic variance in sedimentary total organic carbon. El Niño/Southern Oscillation events are recorded by the isotopic response of marine organic carbon in sediments.

Signal-to-Noise Ratio Analysis for Nonlinear N-ary Phase Filters

The problem of recognising targets in non-overlapping clutter using nonlinear N-ary phase filters is addressed. Using mathematical analysis, expressions were derived for an N-ary phase filter and the intensity variance of an optical correlator output. The N-ary phase filter was shown to consist of an infinite sum of harmonic terms whose periodicity was determined by N. For the intensity variance, it was found that under certain conditions the variance was minimised due to a hitherto undiscovered phase quadrature effect. Comparison showed that optimal real filters produced greater SNR values than the continuous phase versions as a consequence of this effect.