Analysis of the Bovespa Futures and Spot Indexes With High Frequency Data. Chinese Business Review

Data from the World Federation of Exchanges show that Brazil’s Sao Paulo stock exchange is one of the largest worldwide in terms of market value. Thus, the objective of this study is to obtain univariate and bivariate forecasting models based on intraday data from the futures and spot markets of the BOVESPA index. The interest is to verify if there exist arbitrage opportunities in Brazilian financial market. To this end, three econometric forecasting models were built: ARFIMA, vector autoregressive (VAR), and vector error correction (VEC). Furthermore, it presents the results of a Granger causality test for the aforementioned series. This type of study shows that it is important to identify arbitrage opportunities in financial markets and, in particular, in the application of these models on data of this nature. In terms of the forecasts made with these models, VEC showed better results. The causality test shows that futures BOVESPA index Granger causes spot BOVESPA index. This result may indicate arbitrage opportunities in Brazil.

Risque de prix et décisions de production et d'exportation : le cas de l'agriculture au Québec

Cette thèse porte sur l’effet du risque de prix sur la décision des agriculteurs et les transformateurs québécois. Elle se divise en trois chapitres. Le premier chapitre revient sur la littérature. Le deuxième chapitre examine l’effet du risque de prix sur la production de trois produits, à savoir le maïs grain, la viande de porc et la viande d’agneau dans la province Québec. Le dernier chapitre est centré sur l’analyse de changement des préférences du transformateur québécois de porc pour ce qui est du choix de marché. Le premier chapitre vise à montrer l’importance de l’effet du risque du prix sur la quantité produite par les agriculteurs, tel que mis en évidence par la littérature. En effet, la littérature révèle l’importance du risque de prix à l’exportation sur le commerce international. Le deuxième chapitre est consacré à l’étude des facteurs du risque (les anticipations des prix et la volatilité des prix) dans la fonction de l’offre. Un modèle d’hétéroscédasticité conditionnelle autorégressive généralisée (GARCH) est utilisé afin de modéliser ces facteurs du risque. Les paramètres du modèle sont estimés par la méthode de l’Information Complète Maximum Vraisemblance (FIML). Les résultats empiriques montrent l’effet négatif de la volatilité du prix sur la production alors que la prévisibilité des prix a un effet positif sur la quantité produite. Comme attendu, nous constatons que l’application du programme d’assurance-stabilisation des revenus agricoles (ASRA) au Québec induit une plus importante sensibilité de l’offre par rapport au prix effectif (le prix incluant la compensation de l’ASRA) que par rapport au prix du marché. Par ailleurs, l’offre est moins sensible au prix des intrants qu’au prix de l’output. La diminution de l’aversion au risque de producteur est une autre conséquence de l’application de ce programme. En outre, l’estimation de la prime marginale relative au risque révèle que le producteur du maïs est le producteur le moins averse au risque (comparativement à celui de porc ou d’agneau). Le troisième chapitre consiste en l’analyse du changement de préférence du transformateur québécois du porc pour ce qui est du choix de marché. Nous supposons que le transformateur a la possibilité de fournir les produits sur deux marchés : étranger et local. Le modèle théorique explique l’offre relative comme étant une fonction à la fois d’anticipation relative et de volatilité relative des prix. Ainsi, ce modèle révèle que la sensibilité de l’offre relative par rapport à la volatilité relative de prix dépend de deux facteurs : d’une part, la part de l’exportation dans la production totale et d’autre part, l’élasticité de substitution entre les deux marchés. Un modèle à correction d’erreurs est utilisé lors d’estimation des paramètres du modèle. Les résultats montrent l’effet positif et significatif de l’anticipation relative du prix sur l’offre relative à court terme. Ces résultats montrent donc qu’une hausse de la volatilité du prix sur le marché étranger par rapport à celle sur le marché local entraine une baisse de l’offre relative sur le marché étranger à long terme. De plus, selon les résultats, les marchés étranger et local sont plus substituables à long terme qu’à court terme.

Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

PET e PET/CT com FDG: comparação de duas bases de dados de referência do normal com SUV

Mestrado em Medicina Nuclear - Área de especialização: Tomografia por Emissão de Positrões

Price transmission dynamics between ADRs and their underlying foreign security: The case of Banco de Colombia S.A.- Bancolombia.

This paper analyzes the dynamics ofthe American Depositary Receipt (ADR) of a Colombian bank (Bancolombia) in relation to its pricing factors (underlying (preferred) shares price, exchange rate and the US market index). The aim is to test if there is a long-term relation among these variables that would imply predictability. One cointegrating relation is found allowing the use of a vector error correction model to examine the transmission of shocks to the underlying prices, the exchange rate, and the US market index. The main finding of this paper is that in the short run, the underlying share price seems to adjust after changes in the ADR price, pointing to the fact that the NYSE (trading market for the ADR) leads the Colombian market. However, in the long run, both, the underlying share price and the ADR price, adjust to changes in one another.

Injecting multiple upsets a SEU tolerant 8051 micro-controller

International audience

Formalizing operator task analysis

Human operators are unique in their decision making capability, judgment and nondeterminism. Their sense of judgment, unpredictable decision procedures, susceptibility to environmental elements can cause them to erroneously execute a given task description to operate a computer system. Usually, a computer system is protected against some erroneous human behaviors by having necessary safeguard mechanisms in place. But some erroneous human operator behaviors can lead to severe or even fatal consequences especially in safety critical systems. A generalized methodology that can allow modeling and analyzing the interactions between computer systems and human operators where the operators are allowed to deviate from their prescribed behaviors will provide a formal understanding of the robustness of a computer system against possible aberrant behaviors by its human operators. We provide several methodology for assisting in modeling and analyzing human behaviors exhibited while operating computer systems. Every human operator is usually given a specific recommended set of guidelines for operating a system. We first present process algebraic methodology for modeling and verifying recommended human task execution behavior. We present how one can perform runtime monitoring of a computer system being operated by a human operator for checking violation of temporal safety properties. We consider the concept of a protection envelope giving a wider class of behaviors than those strictly prescribed by a human task that can be tolerated by a system. We then provide a framework for determining whether a computer system can maintain its guarantees if the human operators operate within their protection envelopes. This framework also helps to determine the robustness of the computer system under weakening of the protection envelopes. In this regard, we present a tool called Tutela that assists in implementing the framework. We then examine the ability of a system to remain safe under broad classes of variations of the prescribed human task. We develop a framework for addressing two issues. The first issue is: given a human task specification and a protection envelope, will the protection envelope properties still hold under standard erroneous executions of that task by the human operators? In other words how robust is the protection envelope? The second issue is: in the absence of a protection envelope, can we approximate a protection envelope encompassing those standard erroneous human behaviors that can be safely endured by the system? We present an extension of Tutela that implements this framework. The two frameworks mentioned above use Concurrent Game Structures (CGS) as models for both computer systems and their human operators. However, there are some shortcomings of this formalism for our uses. We add incomplete information concepts in CGSs to achieve better modularity for the players. We introduce nondeterminism in both the transition system and strategies of players and in the modeling of human operators and computer systems. Nondeterministic action strategies for players in \emph{i}ncomplete information \emph{N}ondeterministic CGS (iNCGS) is a more precise formalism for modeling human behaviors exhibited while operating a computer system. We show how we can reason about a human behavior satisfying a guarantee by providing a semantics of Alternating Time Temporal Logic based on iNCGS player strategies. In a nutshell this dissertation provides formal methodology for modeling and analyzing system robustness against both expected and erroneous human operator behaviors.

Corrective feedback in oral interaction: A comparison of a CLIL and an EFL classroom

[EN] Since Long's Interaction Hypothesis (Long, 1983) multiple studies have suggested the need of oral interaction for successful second language learning. Within this perspective, a great deal of research has been carried out to investigate the role of corrective feedback in the process of acquiring a second language, but there are still varied open debates about this issue. This comparative study seeks to contribute to the existing literature on corrective feedback in oral interaction by exploring teachers' corrective techniques and students' response to these corrections. Two learning contexts were observed and compared: a traditional English as a foreign language (EFL) classroom and a Content and Language Integrated Learning (CLIL) classroom .The main aim was to see whether our data conform to the Counterbalance Hypothesis proposed by Lyster and Mori (2006). Although results did not show significant differences between the two contexts, a qualitative analysis of the data shed some light on the differences between these two language teaching settings. The findings point to the need for further research on error correction in EFL and CLIL contexts in order to overcome the limitations of the present study.

Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

Estudo da função da proteína Mob1 na estrutura dos centrossomas

Dissertação de Mestrado, Oncobiologia - Mecanismos Moleculares do Cancro, Departamento de Ciências Biomédicas e Medicina, Universidade do Algarve, 2016

Structural brain connectivity and cognitive ability differences: A multivariate distance matrix regression analysis

Neuroimaging research involves analyses of huge amounts of biological data that might or might not be related with cognition. This relationship is usually approached using univariate methods, and, therefore, correction methods are mandatory for reducing false positives. Nevertheless, the probability of false negatives is also increased. Multivariate frameworks have been proposed for helping to alleviate this balance. Here we apply multivariate distance matrix regression for the simultaneous analysis of biological and cognitive data, namely, structural connections among 82 brain regions and several latent factors estimating cognitive performance. We tested whether cognitive differences predict distances among individuals regarding their connectivity pattern. Beginning with 3,321 connections among regions, the 36 edges better predicted by the individuals' cognitive scores were selected. Cognitive scores were related to connectivity distances in both the full (3,321) and reduced (36) connectivity patterns. The selected edges connect regions distributed across the entire brain and the network defined by these edges supports high-order cognitive processes such as (a) (fluid) executive control, (b) (crystallized) recognition, learning, and language processing, and (c) visuospatial processing. This multivariate study suggests that one widespread, but limited number, of regions in the human brain, supports high-level cognitive ability differences. Hum Brain Mapp, 2016. © 2016 Wiley Periodicals, Inc.

Essays on asset pricing

The first chapter provides evidence that aggregate Research and Development (R&D) investment drives a persistent component in productivity growth and that this embodies a risk priced in financial markets. In a semi-endogenous growth model, this component is identified by the R&D in excess of equilibrium levels and can be approximated by the Error Correction Term in the cointegration between R&D and Total Factor Productivity. Empirically, the component results being well defined and it satisfies all key theoretical predictions: it exhibits appropriate persistency, it forecasts productivity growth, and it is associated with a cross-sectional risk premium. CAPM is the most foundational model in financial economics, but is known to empirically underestimate expected returns of low-risk assets and overestimate those with high risk. The second chapter studies how risks omission and funding tightness jointly contribute to explaining this anomaly, with the former affecting the definition of assets’ riskiness and the latter affecting how risk is remunerated. Theoretically, the two effects are shown to counteract each other. Empirically, the spread related to binding leverage constraints is found to be significant at 2% yearly. Nonetheless, average returns of portfolios that exploit this anomaly are found to mostly reflect omitted risks, in contrast to their employment in previous literature. The third chapter studies how ‘sustainability’ of assets affect discount rates, which is intrinsically mediated by the risk profile of the assets themselves. This has implications for the assessment of the sustainability-related spread and for hedging changes in the sustainability concern. This mechanism is tested on the ESG-score dimension for US data, with inconclusive evidence regarding the existence of an ESG-related premium in the first place. Also, the risk profile of the long-short ESG portfolio is not likely to impact the sign of its average returns with respect to the sustainability-spread, for the time being.

Adjoint methods in data assimilation for estimating model error

Data assimilation aims to incorporate measured observations into a dynamical system model in order to produce accurate estimates of all the current (and future) state variables of the system. The optimal estimates minimize a variational principle and can be found using adjoint methods. The model equations are treated as strong constraints on the problem. In reality, the model does not represent the system behaviour exactly and errors arise due to lack of resolution and inaccuracies in physical parameters, boundary conditions and forcing terms. A technique for estimating systematic and time-correlated errors as part of the variational assimilation procedure is described here. The modified method determines a correction term that compensates for model error and leads to improved predictions of the system states. The technique is illustrated in two test cases. Applications to the 1-D nonlinear shallow water equations demonstrate the effectiveness of the new procedure.

New Approach for Correction of Error Associated With Keratometric Estimation of Corneal Power in Keratoconus

The aim of this study was to obtain the exact value of the keratometric index (nkexact) and to clinically validate a variable keratometric index (nkadj) that minimizes this error. Methods: The nkexact value was determined by obtaining differences (DPc) between keratometric corneal power (Pk) and Gaussian corneal power (PGauss c ) equal to 0. The nkexact was defined as the value associated with an equivalent difference in the magnitude of DPc for extreme values of posterior corneal radius (r2c) for each anterior corneal radius value (r1c). This nkadj was considered for the calculation of the adjusted corneal power (Pkadj). Values of r1c ∈ (4.2, 8.5) mm and r2c ∈ (3.1, 8.2) mm were considered. Differences of True Net Power with PGauss c , Pkadj, and Pk(1.3375) were calculated in a clinical sample of 44 eyes with keratoconus. Results: nkexact ranged from 1.3153 to 1.3396 and nkadj from 1.3190 to 1.3339 depending on the eye model analyzed. All the nkadj values adjusted perfectly to 8 linear algorithms. Differences between Pkadj and PGauss c did not exceed 60.7 D (Diopter). Clinically, nk = 1.3375 was not valid in any case. Pkadj and True Net Power and Pk(1.3375) and Pkadj were statistically different (P , 0.01), whereas no differences were found between PGauss c and Pkadj (P . 0.01). Conclusions: The use of a single value of nk for the calculation of the total corneal power in keratoconus has been shown to be imprecise, leading to inaccuracies in the detection and classification of this corneal condition. Furthermore, our study shows the relevance of corneal thickness in corneal power calculations in keratoconus.

The efficacy of the old way/new way methodology on the correction of an automated technical error and its impact on the athlete’s psychological skills : Case study in tennis

The aim of this study was to evaluated the efficacy of the Old Way/New Way methodology (Lyndon, 1989/2000) with regard to the permanent correction of a consolidated and automated technical error experienced by a tennis athlete (who is 18 years old and has been engaged in practice mode for about 6 years) in the execution of serves. Additionally, the study assessed the impact of intervention on the athlete’s psychological skills. An individualized intervention was designed using strategies that aimed to produce a) a detailed analysis of the error using video images; b) an increased kinaesthetic awareness; c) a reactivation of memory error; d) the discrimination and generalization of the correct motor action. The athlete’s psychological skills were measured with a Portuguese version of the Psychological Skills Inventory for Sports (Cruz & Viana, 1993). After the intervention, the technical error was corrected with great efficacy and an increase in the athlete’s psychological skills was verified. This study demonstrates the methodology’s efficacy, which is consistent with the effects of this type of intervention in different contexts.