Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics. (c) 2005 Elsevier B.V. All rights reserved.

A NEW CU-BASED SMA WITH EXTREMELY HIGH MARTENSITIC-TRANSFORMATION TEMPERATURES

A new series of high temperature copper based shape memory alloys has recently been patented. These alloys contain 8-20 wt% Al, 1-20 wt% Ag, 0-2 wt% of a minor element (preferably Co), balance copper. The martensitic start transformation temperatures of these alloys are above 200 degrees C and, in some cases, they have good high temperature stability and may be useful in commercial applications where higher operating temperatures than those obtained from Cu-Zn-Al and Cu-Al-Ni shape memory alloys are required.

Structural and microstructural characterization of SrBi2(Ta0.5Nb0.48W0.02)(2)O-9 powders

SrBi2(Ta0.5Nb0.48W0.02)(2)O-9 powders (SBTN-W) were prepared by the polymeric precursor method. The influence of annealing temperature on the phase formation and specific surface area was evaluated. TG/DTA associated with X-ray diffraction (XRD) analyses showed the formation of perovskite phase at around 500-600 degrees C. An orthorhombic structure with A21am space group was identified by Rietveld refinement. BET analysis revealed that the specific surface area reduces with increasing thermal annealing. SEM micrographies showed grains in an almost-spherical morphology with the presence of agglomerates. (C) 2006 Elsevier B.V. All rights reserved.

Human leukocyte antigen-G expression after kidney transplantation is associated with a reduced incidence of rejection

HLA-G is a non-classic Human Leukocyte Antigen (HLA-G) Class I of low polymorphism and restricted tissue distribution that displays tolerogenic functions. In heart transplantation and in combined liver/renal allograft transplantation, the expression of HLA-G has been associated with a lower incidence of acute graft rejection episodes and absence of chronic dysfunction. Since the expression of HLA-G in renal biopsies has been investigated only in few patients who received a combined kidney and liver transplant, in this study we performed a cross-sectional study, systematically comparing the expression of HLA-G in post-transplanted renal grafts, stratifying patients according to the presence or absence of rejection.Patients and Methods: Seventy-three renal specimens (10 with acute rejection and 13 with chronic allograft nephropathy, and 50 with no signs of rejection) were immunohistochemically evaluated for HLA-G expression.Results: In the group as a whole, HLA-G molecules were detected in 40 cases (54.8%). Among specimens that presented HLA-G expression, 2 out of 40 (5%) exhibited acute rejection, 2 (5%) exhibited chronic allograft nephropathy, and the remaining 36 (90%) exhibited no signs of rejection. The comparison between patients with rejection and those without rejection showed that the expression of HLA-G was significantly increased in specimens exhibiting no signs of rejection (p<0.0001). Considering only patients with acute rejection, 8 out of 10 patients showed no HLA-G expression in their kidney biopsies when compared to patients exhibiting no signs of rejection and absence of HLA-G was observed in 14 out of 50 (p=0.0032). Similarly, considering only patients with chronic allograft nephropathy, absence of HLA-G expression was observed in I I out of 13 specimens, whereas in patients without rejection absence of HLA-G was observed in 14 out of 50 (p=0.003). Therapy with tacrolimus was significantly associated with the expression of HLA-G and a better graft prognosis. Conclusions: Our results suggest that HLA-G expression in the kidney allograft and the use of tacrolimus are associated with a lower frequency of acute renal rejection and chronic allograft nephropathy. (c) 2007 Elsevier B.V. All rights reserved.

Homogeneity assessment of a station climate series (1933-2005) in the Metropolitan Area of São Paulo: instruments change and urbanization effects

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

PLANINDEX: 02-001

Contiene resumenes bibliograficos de documentos sobre planificacion y desarrollo en America Latina, recogidos y procesados en el marco del Sistema de Informacion para la Planificacion en America Latina y el Caribe (INFOPLAN).

Influência do treinamento aeróbio periodizado em natação com ratos induzidos à obesidade exógena: estudo histomorfométrico do tecido cardíaco

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

O Sítio Arqueológico Lagoa São Paulo - 02: uma Análise Geoarqueológica de uma Ocupação Pré-Histórica do Oeste Paulista

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Inovações do Código de Processo Civil e seus reflexos no Direito Processual do Trabalho: uma análise crítica das leis n.10352/01, n.10358/01, n.10444/02, n.11187/05, 11232/05, n.11276/06, n.11277/06, n.11280/06 e n.11382/06

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Demanda latinoamericana de equipo petrolero durante el lapso 1984-1990

Incluye Bibliografía

Prevalência de sintomas depressivos e de déficit cognitivo na população de sessenta anos e mais em um município de médio porte do interior paulista

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Deficiência auditiva referida em inquérito de saúde no município de Botucatu, ISA-SP, 2001-02

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)