Pairs trading : aplicação no mercado acionário brasileiro

Esta dissertação estuda a aplicação da estratégia Pairs Trading no mercado acionário brasileiro. Envolve basicamente a identificação de pares de ações que tenham movimentos de preço semelhantes e posteriormente a operação do diferencial entre seus preços. É possível observar no mercado a existência de um valor de equilíbrio de longo prazo para alguns pares de ações e quando o diferencial divergir de certa quantidade pré-definida opera-se o diferencial no intuito de que o mesmo retorne ao seu valor de equilíbrio de longo prazo, ou seja, espera-se que ocorra uma reversão à média do diferencial. A metodologia para a identificação desses pares de ações que descrevem movimentos semelhantes vem do conceito de cointegração. Essa metodologia é aplicada sobre as ações do índice Bovespa de 04-Jan-1993 a 30-Jun-2005. Inicialmente é feita uma pré-seleção dos pares de ações via correlação, ou medida de distância. Para a seleção final é feito o teste de cointegração, onde é utilizado o método de Dickey-Fuller aumentado (Augmented Dickey-Fuller test – ADF) para verificar a existência de raiz unitária da série de resíduo da combinação linear do logaritmo dos preços. Após a seleção, os pares são simulados historicamente (backtesting) para se analisar a performance dos retornos dos pares de ações, incluindo também os custos operacionais.

Pairs trading: uma aplicação ao mercado acionário brasileiro

Neste trabalho, verificamos viabilidade de aplicação da estratégia de pairs trading no mercado acionário brasileiro. Diferentemente de outros estudos do mesmo tema, construímos ativos sintéticos a partir de uma combinação linear de preços de ações. Conforme Burgeois e Minko (2005), utilizamos a metodologia de Johansen para a formação dos pares a serem testados. Após a identificação de pares cointegrados, para assegurar a estacionaridade do ativo sintético contruído a partir da relação linear de preços das ações, utilizamos os testes DF-GLS e KPSS e filtramos àqueles que apresentavam raiz unitária em sua série de tempo. A seguir, simulamos a estratégia (backtesting) com os pares selecionados e para encontrar os melhores parâmetros, testamos diferentes períodos de formação dos pares, de operação e de parâmetros de entrada, saída e stop-loss. A fim de realizarmos os testes de forma mais realista possível, incluímos os custos de corretagem, de emolumentos e de aluguel, além de adicionar um lag de um dia para a realização das operações

Calculable lepton masses, seesaw relations, and four neutrino mixings in a 3-3-1 model with an extra U(1) symmetry

We propose a scheme in which the masses of the heavier leptons obey seesaw type relations. The light lepton masses, except the electron and the electron neutrino ones, are generated by one loop level radiative corrections. We work in a version of the 3-3-1 electroweak model that predicts singlets (charged and neutral) of heavy leptons beyond the known ones. An extra U(1)(Omega) symmetry is introduced in order to avoid the light leptons getting masses at the tree level. The electron mass induces an explicit symmetry breaking at U(1)(Omega). We discuss also the mixing matrix among four neutrinos. The new energy scale required is not higher than a few TeV.

X-chromosome inactivation patterns in monozygotic twins and sib pairs discordant for nonsyndromic cleft lip and/or palate

Nonsyndromic clefts of the lip and/or palate are common birth defects with a strong genetic component. Based on unequal gender ratios for clefting phenotypes, evidence for linkage to the X chromosome and the occurrence of several X-linked clefting syndromes, we investigated the role of skewed X chromosome inactivation (XCI) in orofacial clefts. Our samples consisted of female monozygotic (MZ) twins (n = 8) and sister pairs (n = 152) discordant for nonsyndromic clefting. We measured the XCI pattern in peripheral blood lymphocyte DNA using a methylation based androgen receptor gene assay. Skewing of XCI was defined as the deviation in inactivation pattern from a 50:50 ratio. Our analysis revealed no significant difference in the degree of skewing between twin pairs (P = 0.3). However, borderline significant differences were observed in the sister pairs (P = 0.02), with the cleft lip with cleft palate group showing the most significant result (P=0.01). We did not find evidence for involvement of skewed XCI in the discordance for clefting in our sample of female MZ twins. However, results from the paired sister study suggest the potential contribution of skewed XCI to orofacial clefting, particularly cleft lip and palate. (C) 2007 Wiley-Liss, Inc.

Heterologous microsatellite primer pairs informative for the whole genus Arachis

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

Asymptotics for Gegenbauer-Sobolev orthogonal polynomials associated with non-coherent pairs of measures

Inner products of the type < f, g >(S) = < f, g >psi(0) + < f', g'>psi(1), where one of the measures psi(0) or psi(1) is the measure associated with the Gegenbauer polynomials, are usually referred to as Gegenbauer-Sobolev inner products. This paper deals with some asymptotic relations for the orthogonal polynomials with respect to a class of Gegenbauer-Sobolev inner products. The inner products are such that the associated pairs of symmetric measures (psi(0), psi(1)) are not within the concept of symmetrically coherent pairs of measures.

Zeros of Gegenbauer-Sobolev Orthogonal Polynomials: Beyond Coherent Pairs

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Asymptotics for Jacobi-Sobolev orthogonal polynomials associated with non-coherent pairs of measures

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

On pairs of regular foliations in R(3) and singularities of map-germs

We study germs of pairs of codimension one regular foliations in R(3) . We show that the discriminant of the pair determines the topological type of the pair. We also consider various classifications of the singularities of the discriminant.

Lepton masses from a TeV scale in a 3-3-1 model

In this work, using the fact that in 3-3-1 models the same leptonic bilinear contributes to the masses of both charged leptons and neutrinos, we develop an effective operator mechanism to generate mass for all leptons. The effective operators have dimension five for the case of charged leptons and dimension seven for neutrinos. By adding extra scalar multiplets and imposing the discrete symmetry Z(9)xZ(2) we are able to generate realistic textures for the leptonic mixing matrix. This mechanism requires new physics at the TeV scale.

Measurement of the t(t)over-bar production cross section in p(p)over-bar collisions at root s=1.96 TeV using kinematic characteristics of lepton plus jets events

We present a measurement of the top quark pair production cross section in p (p) over bar collisions at root s=1.96 TeV utilizing 425 pb(-1) of data collected with the D0 detector at the Fermilab Tevatron Collider. We consider the final state of the top quark pair containing one high-p(T) electron or muon and at least four jets. We exploit specific kinematic features of t (t) over bar events to extract the cross section. For a top quark mass of 175 GeV, we measure sigma(t (t) over bar)=6.4(-1.2)(+1.3)(stat)+/- 0.7(syst)+/- 0.4(lum) pb, in good agreement with the standard model prediction.

Discrete symmetries, invisible axion, and lepton number symmetry in an economic 3-3-1 model

We show that Peccei-Quinn and lepton number symmetries can be a natural outcome in a 3-3-1 model with right-handed neutrinos after imposing a Z(11)circle timesZ(2) symmetry. This symmetry is suitably accommodated in this model when we augment its spectrum by including merely one singlet scalar field. We work out the breaking of the Peccei-Quinn symmetry, yielding the axion, and study the phenomenological consequences. The main result of this work is that the solution to the strong CP problem can be implemented in a natural way, implying an invisible axion phenomenologically unconstrained, free of domain wall formation, and constituting a good candidate for the cold dark matter.

Measurement of the t(t)over-bar production cross section in p(p)over-bar collisions at root s=1.96 TeV using lepton plus jets events with lifetime b-tagging

We present a measurement of the top quark pair (t (t) over bar) production cross section (sigma(t (t) over bar)) in pp collisions at root s = 1.96 TeV using 230 pb(-1) of data collected by the DO experiment at the Fermilab Tevatron Collider. We select events with one charged lepton (electron or muon), missing transverse energy, and jets in the final state. We employ lifetime-based b-jet identification techniques to further enhance the t F purity of the selected sample. For a top quark mass of 175 GeV, we measure sigma(t (t) over bar) 8.6(-1.5)(+1.6) (stat. + syst.) +/- 0.6(lumi.) pb, in agreement with the standard model expectation. (c) 2005 Published by Elsevier B.V.