Time series analysis for minority game simulations of financial markets

The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolution. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

Implications of groundwater weathered profile interactions to the mobilization of radionuclides

This study reports the nature and extent of open-system interaction between groundwater and a weathered profile developed in the high grade thorium and REE ore body in Morro do Ferro, Pocos de Caldas plateau. The radioelement mobility in the shallow oxidizing environment was considered by using chemical data in conjunction with U-234/U-238, Ra-226/Th-230, Th-230/U-234, Th-228/Th-232, Ra-228/Th-232 and Th-230/Ra-228 activity ratios (AR's) for borehole spoil and groundwater samples.Recharging groundwater from the studied borehole has low salinity values, with total dissolved solids content of 14.7 mg/l and total ionic strength of 0.00018. The ratio of the weight of dissolved radioelement per unit volume of solution to the weight of radioelement in solid phase per unit weight of solid phase showed that the radioelement solubility in the studied waters varied according to the following order: radium> uranium >thorium.U-234/U-238 AR's less than 1 were measured in solid phase and can justify the enhancement of U-234 in solution. Ra-226/Th-230 AR's greater than 1 and Th-230/U-234 AR'S less than 1 were evaluated between 20 and 27 m in depth, where a 2.1-m thick magnetite dike was intersected. These ratios could be justified by deposition of U and Ra associated with Fe-Mn oxides and kaolinite, where mineral saturation indices evaluated from the available data confirm this possibility. Covariations among disequilibria involving Th-228/(228) Ra and Ra-228/Th-232 AR's showed the preferential removal of Ra-228 relative to Tn isotopes, Th-228 and Th-232. The recent deposition of radium within the timescale of at least the last 35 years also is suggested. (C) 1998 Elsevier B.V. Ltd. All rights reserved.

Spatial and temporal distribution of fishing resources exploited by the Manaus fishing fleet, Amazonas, Brazil

Recursos pesqueiros são importantes fontes de renda e alimento para as populações rurais e urbanas na Amazônia. O presente trabalho avalia a pesca e as variáveis ambientais que determinam a produção de pescarias que desembarcam em Manaus, e avalia também a abundância relativa de recursos pesqueiros em diferentes subsistemas na Amazônia Central. A informação coletada no porto de desembarque de pescado de Manaus foi utilizada para testar um novo índice de captura obtido a partir de um modelo de covariância que apresentou as seguintes variáveis significativas: número de pescadores/dia (dias de pesca vezes número de pescadores por viagem); distância do pesqueiro até Manaus; quantidade de gelo que usou durante a viagem; e nível de rio. Não houve nenhuma diferença significativa entre valores médios de captura entre os subsistemas do Purus, Madeira e de Juruá. Estes resultados sugerem que os tributários da margem direita são similares e mais produtivos em termos comerciais. Concluiu-se que a produção corrente varia de acordo com a magnitude de esforço pesqueiro, por variações ambientais, assim como por aspectos operacionais da pesca, particularmente o consumo de gelo.

Children's labour as a risky pathways to resilience: children's growth in contexts of poor resources

Nesse artigo, analisamos a questão do trabalho infantil como um fenômeno complexo, englobando fatores de risco por um lado e possíveis resultados positivos por outro. Baseados na teoria da resiliência e a partir de uma revisão de literatura, centrada em pesquisas que analisam a própria experiência de crianças sobre o trabalho desenvolvido, mostramos que quando inseridos em ecologias socialmente e fisicamente pobres em recursos, crianças associam sua experiência de trabalho como um caminho para assegurar recursos próprios para superação de adversidades. A compreensão de aspectos subjetivos da experiência de crianças trabalhadores nos permite considerar o trabalho como uma construção culturalmente embasada. Apesar da exploração de crianças não se configurar como o melhor para elas, há evidências de que elas usam quaisquer oportunidades disponíveis, incluindo o trabalho, para navegar em busca de recursos que necessitam e negociam por uma identidade associada à resiliência. Implicações para políticas públicas e intervenções também são discutidas.

Exploitation of floral resources on Sparattosperma leucanthum (Bignoniaceae): foraging activity of the pollinators and the nectar and pollen thieves

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Preliminary Overview of the Economies of Latin America and the Caribbean 2002

Includes bibliography

The globalization of financial volatility: challenges for emerging economies

Includes bibliography

An analysis of financial and monetary cooperation in Africa

Includes bibliography

Inventory and evaluation of natural resources for regional agricultural planning

Includes bibliography

The impact of financial globalization on transition economies

Includes bibliography

The responsibility of financial actors

Includes bibliography

Globalization of financial markets: implications for the Caribbean

Includes bibliography

New directions for development banking in the Caribbean: financing to take advantage of unlimited supplies of labour skills and entrepreneurship

Includes bibliography

La formación de recursos humanos en el desarrollo económico y social de América Latina = The training of human resources in the economic and social development of Latin America

Incluye Bibliografía