Time-dependent or state-dependent pricing? Evidence from firms’ response to inflation shocks

This paper proposes a test for distinguishing between time-dependent and state-dependent pricing based on whether the timing of pricing changes is affected by realized or expeted inflation. Using Brazilian data and exploring a large discrepancy between realized and expected inflation in 2002-3, we obtain a strong relation between expected inflation and duration of price spells, but little effect of inflation shocks on the frequency of price adjustment. The results thus support models with timedependent pricing, where the timing for following changes is optimally chosen whenever firms adjust prices

Pricing the cost of an election: the impact of the 2014 elections on stock markets

Qual o efeito de eleições em ativos reais? É possível mensurar diretamente a diferença de preços mesmo que só possamos enxergar um dos resultados potenciais? Essa dissertação estima esses efeitos utilizando metodologia baseada em opções sobre ações. O modelo aqui desenvolvido adaptção tradicional Black-Scholes para incorporar dois novos parâmetros: um salto no preço do ativo perfeitamente antecipado e uma série de probabilidades diárias refletindo as crenças sobre quem venceria a corrida eleitoral. Aplicamos esse método para o caso brasileiro das Eleições Presidenciais de 2014 e a Petrobras - uma importante companhia do setor petrolífero do país -utilizando dados de bolsa do segundo turno das eleições. Os resultados encontrados mostram uma diferença de 65-77% para o valor da companhia, dependendo de quem vencesse nas urnas. Isso é equivalente a aproximadamente 2.5% do PIB de 2014 do país.

Testing option pricing with the Edgeworth expansion

There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying asset is a Gaussian distribution. However, it is observed in the market that this hypothesis is flawed, leading to the introduction of a fudge factor, the so-called volatility smile. Therefore, it would be interesting to explore extensions of the Black-Scholes theory to non-Gaussian distributions. In this paper, we provide an explicit formula for the price of an option when the distributions of the returns of the underlying asset is parametrized by an Edgeworth expansion, which allows for the introduction of higher independent moments of the probability distribution, namely skewness and kurtosis. We test our formula with options in the Brazilian and American markets, showing that the volatility smile can be reduced. We also check whether our approach leads to more efficient hedging strategies of these instruments. (C) 2004 Elsevier B.V. All rights reserved.

Location and contract pricing of distributed generation using a genetic algorithm

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Post-selection and return of foraged material by Acromyrmex subterraneus brunneus (Hymenoptera: Formicidae)

Two colonies of Acromyrmex subterraneus brunneus Forel (Hymenoptera: Formicidae) were studied regarding their behavior during cultivation of the fungus garden to determine a) the existence of post-selection of foraged material by the workers, and b) if present, the mechanism of this discrimination and how this material is returned. Many studies on plant processing by leaf-cutting ants have been carried out, but none of them has investigated the decision-making process of workers in the case of erroneous food selection. For this purpose, material with different degrees of moisture and hardness (floral sponge, polystyrene, plastic and clay) were individually offered to the colonies and the tasks performed by the different size categories were carefully recorded. Three tasks, i.e., foraging, cultivation of the fungus garden and return of the foraged material, were studied and subdivided into 14 subtasks. Analysis of all inert materials as a whole showed the presence of post-selection of foraged material through the return of material inadequate for the workers and the fungus. Discrimination of the inert material was observed at the time of shredding, probably based on parameters such as physical resistance to cutting and moisture content. A. s. brunneus workers showed flexibility in their activities during substrate processing. The observed post-selection of foraged material provides strong evidence for the cognitive abilities of worker ants and of the colony as a whole. Polymorphism and a complex society represent vital characteristics for the ecological success of this species.

Reactive power support pricing of distributed generators with primary energy source uncertainty

In this paper, a novel methodology to price the reactive power support ancillary service of Distributed Generators (DGs) with primary energy source uncertainty is shown. The proposed methodology provides the service pricing based on the Loss of Opportunity Costs (LOC) calculation. An algorithm is proposed to reduce the uncertainty present in these generators using Multiobjective Power Flows (MOPFs) implemented in multiple probabilistic scenarios through Monte Carlo Simulations (MCS), and modeling the time series associated with the generation of active power from DGs through Markov Chains (MC). © 2011 IEEE.

Estimativa do custo médio ponderado de capital em produtos agrícolas

Pós-graduação em Agronomia (Energia na Agricultura) - FCA

Confidence and the Stock Market: An Agent-Based Approach

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Proposta metodológica para a correção do coeficiente de retorno de esgoto sanitário em unidades com sistemas de aproveitamento de água pluvial

The use of rainwater for non-potable purposes generates a reduction in the consumption of treated water, however, this reduction is not observed in the generation of wastewater, as this is independent of the water source. In Brazil, the pricing on the services of collection and treatment of sewage, in general, is based on the coefficient of return of the sewage disposal system, which has a relation sewer / water proportional to the consumption of treated water measured at the consumer unit. The use of rainwater originating from utilization systems infer on the coefficient, underestimating the volume of wastewater generated. Therefore, this study presents a methodology for setting the coefficient of return. Different roof areas, reservoir volumes and rates of water consumption situations were simulated. The behavior of adjustment of the coefficient of return were also analyzed for the average area per capita roof (m² / inhabitant) of Rio Claro - SP. As a result, it can be seen that the adjustment of the coefficient of return is directly proportional to the increase of the roof areas and the volumes of reservoirs, and inversely proportional to the total water demand. The corrected coefficient of return showed the minimum value of 0.83 and a maximum value of 1.45, this variation corresponds to the maximum ratio between the demands of total water and rainwater, since the exploitation of rain water should be used only for non-potable uses, according to NBR 15527 / 07. To the municipality of Rio Claro - SP was noted an adjustment of the coefficient of return ranging from 0.99 to 6.61

Classification of histological images based on the stationary wavelet transform

Non-Hodgkin lymphomas are of many distinct types, and different classification systems make it difficult to diagnose them correctly. Many of these systems classify lymphomas only based on what they look like under a microscope. In 2008 the World Health Organisation (WHO) introduced the most recent system, which also considers the chromosome features of the lymphoma cells and the presence of certain proteins on their surface. The WHO system is the one that we apply in this work. Herewith we present an automatic method to classify histological images of three types of non-Hodgkin lymphoma. Our method is based on the Stationary Wavelet Transform (SWT), and it consists of three steps: 1) extracting sub-bands from the histological image through SWT, 2) applying Analysis of Variance (ANOVA) to clean noise and select the most relevant information, 3) classifying it by the Support Vector Machine (SVM) algorithm. The kernel types Linear, RBF and Polynomial were evaluated with our method applied to 210 images of lymphoma from the National Institute on Aging. We concluded that the following combination led to the most relevant results: detail sub-band, ANOVA and SVM with Linear and RBF kernels.

Estimativa da correção do coeficiente de retorno de esgoto sanitário em habitações com sistemas de aproveitamento de água pluvial: estudo de caso da cidade de Bauru (SP)

Pós-graduação em Engenharia Civil e Ambiental - FEB

An Extended Kernel for Generalized Multiple-Instance Learning

The multiple-instance learning (MIL) model has been successful in areas such as drug discovery and content-based image-retrieval. Recently, this model was generalized and a corresponding kernel was introduced to learn generalized MIL concepts with a support vector machine. While this kernel enjoyed empirical success, it has limitations in its representation. We extend this kernel by enriching its representation and empirically evaluate our new kernel on data from content-based image retrieval, biological sequence analysis, and drug discovery. We found that our new kernel generalized noticeably better than the old one in content-based image retrieval and biological sequence analysis and was slightly better or even with the old kernel in the other applications, showing that an SVM using this kernel does not overfit despite its richer representation.

Parameter recovery for a skew-normal IRT model under a Bayesian approach: hierarchical framework, prior and kernel sensitivity and sample size

Item response theory (IRT) comprises a set of statistical models which are useful in many fields, especially when there is an interest in studying latent variables (or latent traits). Usually such latent traits are assumed to be random variables and a convenient distribution is assigned to them. A very common choice for such a distribution has been the standard normal. Recently, Azevedo et al. [Bayesian inference for a skew-normal IRT model under the centred parameterization, Comput. Stat. Data Anal. 55 (2011), pp. 353-365] proposed a skew-normal distribution under the centred parameterization (SNCP) as had been studied in [R. B. Arellano-Valle and A. Azzalini, The centred parametrization for the multivariate skew-normal distribution, J. Multivariate Anal. 99(7) (2008), pp. 1362-1382], to model the latent trait distribution. This approach allows one to represent any asymmetric behaviour concerning the latent trait distribution. Also, they developed a Metropolis-Hastings within the Gibbs sampling (MHWGS) algorithm based on the density of the SNCP. They showed that the algorithm recovers all parameters properly. Their results indicated that, in the presence of asymmetry, the proposed model and the estimation algorithm perform better than the usual model and estimation methods. Our main goal in this paper is to propose another type of MHWGS algorithm based on a stochastic representation (hierarchical structure) of the SNCP studied in [N. Henze, A probabilistic representation of the skew-normal distribution, Scand. J. Statist. 13 (1986), pp. 271-275]. Our algorithm has only one Metropolis-Hastings step, in opposition to the algorithm developed by Azevedo et al., which has two such steps. This not only makes the implementation easier but also reduces the number of proposal densities to be used, which can be a problem in the implementation of MHWGS algorithms, as can be seen in [R.J. Patz and B.W. Junker, A straightforward approach to Markov Chain Monte Carlo methods for item response models, J. Educ. Behav. Stat. 24(2) (1999), pp. 146-178; R. J. Patz and B. W. Junker, The applications and extensions of MCMC in IRT: Multiple item types, missing data, and rated responses, J. Educ. Behav. Stat. 24(4) (1999), pp. 342-366; A. Gelman, G.O. Roberts, and W.R. Gilks, Efficient Metropolis jumping rules, Bayesian Stat. 5 (1996), pp. 599-607]. Moreover, we consider a modified beta prior (which generalizes the one considered in [3]) and a Jeffreys prior for the asymmetry parameter. Furthermore, we study the sensitivity of such priors as well as the use of different kernel densities for this parameter. Finally, we assess the impact of the number of examinees, number of items and the asymmetry level on the parameter recovery. Results of the simulation study indicated that our approach performed equally as well as that in [3], in terms of parameter recovery, mainly using the Jeffreys prior. Also, they indicated that the asymmetry level has the highest impact on parameter recovery, even though it is relatively small. A real data analysis is considered jointly with the development of model fitting assessment tools. The results are compared with the ones obtained by Azevedo et al. The results indicate that using the hierarchical approach allows us to implement MCMC algorithms more easily, it facilitates diagnosis of the convergence and also it can be very useful to fit more complex skew IRT models.

Simultaneous optical signal-to-noise ratio and differential group delay monitoring based on degree of polarization measurements in optical communications systems

We present a simultaneous optical signal-to-noise ratio (OSNR) and differential group delay (DGD) monitoring method based on degree of polarization (DOP) measurements in optical communications systems. For the first time in the literature (to our best knowledge), the proposed scheme is demonstrated to be able to independently and simultaneously extract OSNR and DGD values from the DOP measurements. This is possible because the OSNR is related to maximum DOP, while DGD is related to the ratio between the maximum and minimum values of DOP. We experimentally measured OSNR and DGD in the ranges from 10 to 30 dB and 0 to 90 ps for a 10 Gb/s non-return-to-zero signal. A theoretical analysis of DOP accuracy needed to measure low values of DGD and high OSNRs is carried out, showing that current polarimeter technology is capable of yielding an OSNR measurement within 1 dB accuracy, for OSNR values up to 34 dB, while DGD error is limited to 1.5% for DGD values above 10 ps. For the first time to our knowledge, the technique was demonstrated to accurately measure first-order polarization mode dispersion (PMD) in the presence of a high value of second-order PMD (as high as 2071 ps(2)). (C) 2012 Optical Society of America

Agricultural commodities pricing model applied to the Brazilian sugar market

This article suggests a pricing model for commodities used to produce biofuel. The model is based on the concept that the deterministic component of the Wiener process is not constant and depends on time and exogenous variables. The model, which incorporates theory of storage, the convenience yield and the seasonality of harvests, was applied in the Brazilian sugar market. After predictions were made with the Kalman filter, the model produced results that were statistically more accurate than those returned by the two-factor model available in the literature.