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.

Use of diffusive gradients in thin films and tangential flow ultrafiltration for fractionation of Al(III) and Cu(II) in organic-rich river waters

Diffusive gradients in thin films (DGT) and tangential-flow ultrafiltration (TF-UF) were combined for fractionation of Al and Cu in river water containing high content of dissolved organic carbon. A procedure based on ultrafiltration data is proposed to determine diffusion coefficients of the analytes in water samples and model solutions containing both free metal (M) and complex (metal - humic substance). Aiming to evaluate the accuracy of the proposed approach, the DGT results were compared with those from a protocol for determination of labile Al and Cu based on solid phase extraction (SPE). Good agreement between data from DGT and SPE were attained for model solutions. For analysis of real organic-rich water samples, differences between DGT and SPE measurements were consistent with the time-scales of the techniques. The concentration of labile Al determined by DGT were lower than the total dissolved concentrations (determined by inductively coupled plasma mass spectrometry) and exceeded the ultrafiltered concentration, indicating that inorganic Al species (species small enough to pass through 1 kDa membrane) were minor species as compared with Al organic complexes. For both Al and Cu, there were species not measured by DGT as they are not sufficiently labile. (C) 2007 Elsevier B.V. All rights reserved.

Nonmodal energetics of resistive drift waves

The modal and nonmodal linear properties of the Hasegawa-Wakatani system are examined. This linear model for plasma drift waves is nonnormal in the sense of not having a complete set of orthogonal eigenvectors. A consequence of nonnormality is that finite-time nonmodal growth rates can be larger than modal growth rates. In this system, the nonmodal time-dependent behavior depends strongly on the adiabatic parameter and the time scale of interest. For small values of the adiabatic parameter and short time scales, the nonmodal growth rates, wave number, and phase shifts (between the density and potential fluctuations) are time dependent and differ from those obtained by normal mode analysis. On a given time scale, when the adiabatic parameter is less than a critical value, the drift waves are dominated by nonmodal effects while for values of the adiabatic parameter greater than the critical value, the behavior is that given by normal mode analysis. The critical adiabatic parameter decreases with time and modal behavior eventually dominates. The nonmodal linear properties of the Hasegawa-Wakatani system may help to explain features of the full system previously attributed to nonlinearity.

Magnetothermal instabilities in magnetized anisotropic plasmas

Using the 16-moment transport equations for an ideal anisotropic collisionless plasma we analyze the influence of pressure anisotropy on the magnetothermal (MTI) and heat-flux-driven buoyancy (HBI) instabilities. We calculate the dispersion relation and the growth rates for these instabilities in the presence of a background heat flux and for configurations with static pressure anisotropy, finding that when the frequency at which heat conduction acts is much larger than any other frequency in the system (i.e. weak magnetic field) the pressure anisotropy has no effect on the MTI/HBI, provided the degree of anisotropy is small. In contrast, when this ordering of timescales does not apply the instability criteria depend on pressure anisotropy.

A comparative study of aquifer systems occurring at the Paraná sedimentary basin, Brazil: U-isotopes contribution

The radioactivity due to 238U and 234U in three aquifer systems occurring within the Paraná sedimentary basin, South America, has been investigated. Uranium is much less dissolved from fractured igneous rocks than from the porous sedimentary rocks as indicated by the U-mobility coefficients between 7. 6 × 10-6 and 1. 2 × 10-3 g cm-3. These values are also compatible with the U preference ratios relative to Na, K, Ca, Mg and SiO2, which showed that U is never preferentially mobilized in the liquid phase during the flow occurring in cracks, fissures, fractures and faults of the igneous basaltic rocks. Experimental dissolution of diabase grains on a time-scale laboratory has demonstrated that the U dissolution appeared to be a two-stage process characterized by linear and second-order kinetics. The U dissolution rate was 8 × 10-16 mol m-2 s-1 that is within the range of 4 × 10-16-3 × 10-14 mol m-2 s-1 estimated for other rock types. The 234U/238U activity ratio of dissolved U in solutions was higher than unity, a typical result expected during the water-rock interactions when preferential 234U-leach from the rock surfaces takes place. Some U-isotopes data allowed estimating 320 ka for the groundwater residence time in a sector of a transect in São Paulo State. A modeling has been also realized considering all U-isotopes data obtained in Bauru (35 samples), Serra Geral (16 samples) and Guarani (29 samples) aquifers. The results indicated that the Bauru aquifer waters may result from the admixture of waters from Guarani (1. 5 %) and Serra Geral (98. 5 %) aquifers. © 2012 Springer-Verlag.

Chaotic diffusion caused by close encounters with several massive asteroids: II. the regions of (10) Hygiea, (2) Pallas, and (31) Euphrosyne

Context. Close encounters with (1) Ceres and (4) Vesta, the two most massive bodies in the main belt, are known to be a mechanism of dynamical mobility able to significantly alter proper elements of minor bodies, and they are the main source of dynamical mobility for medium-sized and large asteroids (D > 20 km, approximately). Recently, it has been shown that drift rates caused by close encounters with massive asteroids may change significantly on timescales of 30 Myr when different models (i.e., different numbers of massive asteroids) are considered. Aims. So far, not much attention has been given to the case of diffusion caused by the other most massive bodies in the main belt: (2) Pallas, (10) Hygiea, and (31) Euphrosyne, the third, fourth, and one of the most massive highly inclined asteroids in the main belt, respectively. Since (2) Pallas is a highly inclined object, relative velocities at encounter with other asteroids tend to be high and changes in proper elements are therefore relatively small. It was thus believed that the scattering effect caused by highly inclined objects in general should be small. Can diffusion by close encounters with these asteroids be a significant mechanism of long-term dynamical mobility? Methods. By performing simulations with symplectic integrators, we studied the problem of scattering caused by close encounters with (2) Pallas, (10) Hygiea, and (31) Euphrosyne when only the massive asteroids (and the eight planets) are considered, and the other massive main belt asteroids and non-gravitational forces are also accounted for. Results. By finding relatively small values of drift rates for (2) Pallas, we confirm that orbital scattering by this highly inclined object is indeed a minor effect. Unexpectedly, however, we obtained values of drift rates for changes in proper semi-major axis a caused by (10) Hygiea and (31) Euphrosyne larger than what was previously found for scattering by (4) Vesta. These high rates may have repercussions on the orbital evolution and age estimate of their respective families. © 2013 ESO.

Modelo de Marcus, elementos de matriz de tunelamento, efeitos de solvente e controle nuclear em reações de transferência de elétrons

This paper aims to give an initial presentation to physics students of the area of electron transfer, addressing its major aspects. The subject is then presented in an introductory way, highlighting and discussing the key points. Primarily, the problem is approached in a simplified manner through a two-state system, and aspects of calculating the matrix-element are discussed. Then, the electron transfer problem, influenced by nuclear reaction coordinates, is addressed and treated by the Marcus theory. Time scales and the concepts of adiabatic and nonadiabatic phenomena are discussed in the context of electron transfer. The classical, semi-classical and quantum formalisms of for the nuclear reactions coordinates are presented, and aspects of solvents are also discussed. Finally, we conclude by examining some recent examples of problems discussed in the literature.

Distribuição estatística de um indexo econômico em mercado emergente - Bolsa de valores de São Paulo (IBOVESPA)

Pós-graduação em Física - IGCE

Existência de soluções de inclusões diferenciais em escalas temporais

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Detecção de mudança e sedimentação no estuário do Rio Coreaú

O uso de novas técnicas para estudar a evolução e preenchimento de vales incisos tem fornecido, ao longo dos anos, importantes resultados para entendermos como foi a evolução costeira brasileira. Neste contexto, esta tese teve como objetivo estudar a evolução do estuário do rio Coreaú, localizado no estado do Ceará, em diferentes escalas temporais, seja “Eventual” (meses, anos), “Engenharia” anos, decádas) e Geológica” (centenas, séculos, milênios), proposta por Cowell et al. (2003), com intuíto de avaliar se as transformações/alterações ao longo dos anos foram significativas ou não. Como resultados, obteve-se no primeiro objetivo, utilizando técnicas de sensoriamento remoto, a partir de imagens dos sensores TM, ETM⁺ e OLI do satélite Landsat 5,7 e 8 e LISS-3 do satélite ResourceSat-1 de 1985 a 2013, uma alteração mínima em relação a transformações morfológicas ao longo do estuário nos últimos 28 anos (entre as escalas Eventual e de Engenharia), houve neste período um acréscimo de 0,236 km² (3%) de área, não trazendo sigificativas mudanças para o estuário. Em relação a taxa de sedimentação, correspondente ao segundo bjetivo, a partir da coleta de 9 testemunhos, de até 1 m de profundidade e utilizando o radionuclídeo ²¹⁰Pb, ao longo do estuário, obteve-se uma taxa que variou de 0,33 cm/ano a 1 cm/ano (escalas entre Engenharia e Geológica) próximo a foz do estuário, e com uma rápida sedimentação percebida na margem leste do rio, onde encontram-se sedimentos mais recentes em relação a margem oeste. Em relação ao preenchimento, terceiro e último objetivo, a partir da amostragem de testemunhos de até 18 m de profundidade, utilzando o amostrador Rammkernsonden (RKS), foram gerados perfis e seções estratigráficas que ajudaram a entender o preenchimento do vale inciso do estuário do rio Coreaú e entender que trata-se de um estuário fluvio-marinho, preenchendo os vales formados no Grupo Barreiras nos últimos 10.000 anos antes do presente. Estas análises e resultados servirão como base para comparação com outros estuários, sejam fluviais, fluvio-marinhos ou marinhos, para entendermos melhor quais os possíveis eventos que dominaram a sedimentação ao longo da costa brasileira em diferentes escalas.

Dinâmica das transições quiral e de desconfinamento da cromodinâmica quântica com o modelo Polyakov-Nambu-Jona-Lasinio

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Dynamical evolution of V-type asteroids in the central main belt

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

The intrinsic growth rate as a predictor of population viability under climate warming

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

A new probabilistic canopy dynamics model (SLCD) that is suitable for evergreen and deciduous forest ecosystems

There are strong uncertainties regarding LAI dynamics in forest ecosystems in response to climate change. While empirical growth & yield models (G&YMs) provide good estimations of tree growth at the stand level on a yearly to decennial scale, process-based models (PBMs) use LAI dynamics as a key variable for enabling the accurate prediction of tree growth over short time scales. Bridging the gap between PBMs and G&YMs could improve the prediction of forest growth and, therefore, carbon, water and nutrient fluxes by combining modeling approaches at the stand level.Our study aimed to estimate monthly changes of leaf area in response to climate variations from sparse measurements of foliage area and biomass. A leaf population probabilistic model (SLCD) was designed to simulate foliage renewal. The leaf population was distributed in monthly cohorts, and the total population size was limited depending on forest age and productivity. Foliage dynamics were driven by a foliation function and the probabilities ruling leaf aging or fall. Their formulation depends on the forest environment.The model was applied to three tree species growing under contrasting climates and soil types. In tropical Brazilian evergreen broadleaf eucalypt plantations, the phenology was described using 8 parameters. A multi-objective evolutionary algorithm method (MOEA) was used to fit the model parameters on litterfall and LAI data over an entire stand rotation. Field measurements from a second eucalypt stand were used to validate the model. Seasonal LAI changes were accurately rendered for both sites (R-2 = 0.898 adjustment, R-2 = 0.698 validation). Litterfall production was correctly simulated (R-2 = 0.562, R-2 = 0.4018 validation) and may be improved by using additional validation data in future work. In two French temperate deciduous forests (beech and oak), we adapted phenological sub-modules of the CASTANEA model to simulate canopy dynamics, and SLCD was validated using LAI measurements. The phenological patterns were simulated with good accuracy in the two cases studied. However, IA/max was not accurately simulated in the beech forest, and further improvement is required.Our probabilistic approach is expected to contribute to improving predictions of LAI dynamics. The model formalism is general and suitable to broadleaf forests for a large range of ecological conditions. (C) 2014 Elsevier B.V. All rights reserved.

Long-term dynamics of Methone, Anthe and Pallene

We numerically investigate the long-term dynamics of the Saturn's small satellites Methone (S/2004 S1), Anthe (S/2007 S4) and Pallene (S/2004 S2). In our numerical integrations, these satellites are disturbed by non-spherical shape of Saturn and the six nearest regular satellites. The stability of the small bodies is studied here by analyzing long-term evolution of their orbital elements.We show that long-term evolution of Pallene is dictated by a quasi secular resonance involving the ascending nodes (12) and longitudes of pericentric distances (pi) of Mimas (subscript 1) and Pallene (subscript 2), which critical argument is pi(2) - pi(1) - Omega(1) + Omega(2) Long-term orbital evolution of Methone and Anthe are probably chaotic since: i) their orbits randomly cross the orbit of Mimas in time scales of thousands years); ii) long-term numerical simulations involving both small satellites are strongly affected by small changes in the initial conditions.