Long memory in return structures from developed markets

[En]The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When return series exhibit long memory, the series realizations are not independent over time and past returns can help predict future returns, thus violating the market efficiency hypothesis. It poses a serious challenge to the supporters of random walk behavior of the stock returns indicating a potentially predictable component in the series dynamics. We computed Hurst-Mandelbrot’s Classical R/S statistic, Lo’s statistic and semi parametric GPH statistic using spectral regression. The findings suggest existence of long memory in volatility and random walk for logarithmic return series in general for all the selected stock market indices. Findings are in line with the stylized facts of financial time series.

La labor del equipo TRACE: metodología descriptiva de la censura en traducción

Raquel Merino Álvarez, José Miguel Santamaría, Eterio Pajares (eds.)

Markets and microstructure

This document contains three papers examining the microstructure of financial interaction in development and market settings. I first examine the industrial organization of financial exchanges, specifically limit order markets. In this section, I perform a case study of Google stock surrounding a surprising earnings announcement in the 3rd quarter of 2009, uncovering parameters that describe information flows and liquidity provision. I then explore the disbursement process for community-driven development projects. This section is game theoretic in nature, using a novel three-player ultimatum structure. I finally develop econometric tools to simulate equilibrium and identify equilibrium models in limit order markets.

In chapter two, I estimate an equilibrium model using limit order data, finding parameters that describe information and liquidity preferences for trading. As a case study, I estimate the model for Google stock surrounding an unexpected good-news earnings announcement in the 3rd quarter of 2009. I find a substantial decrease in asymmetric information prior to the earnings announcement. I also simulate counterfactual dealer markets and find empirical evidence that limit order markets perform more efficiently than do their dealer market counterparts.

In chapter three, I examine Community-Driven Development. Community-Driven Development is considered a tool empowering communities to develop their own aid projects. While evidence has been mixed as to the effectiveness of CDD in achieving disbursement to intended beneficiaries, the literature maintains that local elites generally take control of most programs. I present a three player ultimatum game which describes a potential decentralized aid procurement process. Players successively split a dollar in aid money, and the final player--the targeted community member--decides between whistle blowing or not. Despite the elite capture present in my model, I find conditions under which money reaches targeted recipients. My results describe a perverse possibility in the decentralized aid process which could make detection of elite capture more difficult than previously considered. These processes may reconcile recent empirical work claiming effectiveness of the decentralized aid process with case studies which claim otherwise.

In chapter four, I develop in more depth the empirical and computational means to estimate model parameters in the case study in chapter two. I describe the liquidity supplier problem and equilibrium among those suppliers. I then outline the analytical forms for computing certainty-equivalent utilities for the informed trader. Following this, I describe a recursive algorithm which facilitates computing equilibrium in supply curves. Finally, I outline implementation of the Method of Simulated Moments in this context, focusing on Indirect Inference and formulating the pseudo model.

An integrated design approach to power systems : from power flows to electricity markets

Power system is at the brink of change. Engineering needs, economic forces and environmental factors are the main drivers of this change. The vision is to build a smart electrical grid and a smarter market mechanism around it to fulfill mandates on clean energy. Looking at engineering and economic issues in isolation is no longer an option today; it needs an integrated design approach. In this thesis, I shall revisit some of the classical questions on the engineering operation of power systems that deals with the nonconvexity of power flow equations. Then I shall explore some issues of the interaction of these power flow equations on the electricity markets to address the fundamental issue of market power in a deregulated market environment. Finally, motivated by the emergence of new storage technologies, I present an interesting result on the investment decision problem of placing storage over a power network. The goal of this study is to demonstrate that modern optimization and game theory can provide unique insights into this complex system. Some of the ideas carry over to applications beyond power systems.

Financial Futures Markets and Their Impact on the Real Economy in Middle and Low Income Countries

This project analyses the influence of the futures market on middle and low income countries. In it, I attempt to show that investments made by large investment funds in this market, as well as by certain pension plans, bring major consequences whose effects are more evident in less developed countries. The cornerstones of the work are as follows; to attempt to see the existing relationship between the commodity futures market and its underlying assets; analysing products such as wheat, rice and corn in-depth, because these are the most basic foodstuffs at a global level; to determine how an increase in trading in these markets can affect the lives of people in the poorest countries; to analyse investor concern regarding the consequences that their investments may have. Throughout the project we will see how large speculators use production forecasting models to determine the shortage of a commodity in order to take a position in the futures market to profit from it. In addition we will see how an increase in trading in this market causes an increase in the price of the underlying asset in the spot market. As for investor concern, I can say it is negligible, but the idea of running pension plans or investment funds that follow some social criteria has been welcomed by those interviewed, which makes me think that different legislation is possible. This legislation will only come into existence if it is demanded by the people. A fact that now becomes complicated because without a minimum financial basis, they cannot even know how the large investment funds trade with hunger in the world. The day when most people understand how large speculators profit from famine will be the day to put pressure on governments to begin to put limits on speculation. This makes financial awareness necessary in order to achieve a curb in excessive speculation.

Análise de Economias de Escala na Produção de Leite

Este trabalho procurou analisar o sistema produtivo da atividade leiteira em Minas Gerais, identificando a capacidade dos produtores em permanecer no negócio, a longo prazo, através da estimação da função custo translogarítmica. O estudo demonstrou que os produtores analisados ainda praticam altos custos por unidade produzida, sugerindo baixa eficiência dos estabelecimentos e falhas na administração do empreendimento. Os resultados econométricos revelam a possibilidade de ganhos de escala, no que se refere à alocação e melhor aproveitamento dos recursos, ou seja, as propriedades apresentam economias de escala. No entanto, retornos crescentes de escala não são compatíveis com a existência de mercados competitivos, sinalizando que os produtores enfrentam restrições geradas pelas imperfeições de mercado. O conhecimento dessas imperfeições é essencial à formulação de políticas econômicas e de organizações privadas que visem ao desenvolvimento econômico deste mercado, que atualmente é o sexto maior do mundo. Além disso, os resultados das elasticidades mostram que o produtor é mais sensível às variações de preços na mão-de-obra do que às variações nos demais fatores, reduzindo em maior proporção o uso do trabalho na produção, à medida que seu preço aumenta. Isto evidencia a principal característica regional da produção leiteira no país, que é o uso intensivo do fator trabalho. Também foi identificado que o os medicamentos, alimentos e energia, denominados no estudo de fator dispêndio, são os mais difíceis é o mais difícil de serem substituídos na produção, devido às particularidades no uso dos componentes deste insumo. Por fim, os valores positivos encontrados para as elasticidades parciais de substituição de Allen confirmam a substitutibilidade entre os fatores.

Seasonality, labor and integration of aquaculture into southern African smallhold farming systems

Fish production on Malawian smallholdings is generally limited by the quantity and quality of inputs to the pond (Brummett and Noble 1995). The timing of labor availability and other farm activities limit the amount farmers put into their ponds resulting in lower growth rates and yields. There is potential for improving production and yields through modifications of production schedules to accommodate other farming activities. Limited material and labor inputs among farming system enterprises can be better allocated by considering seasonal availability of inputs and adapting the pond and fish farming technology to the farming system. This case from Malawi demonstrates that aquaculture technology that neglects the annual cycle of events and constraints on the farm will not be easily integrated into the farming system. Focusing on technology that maximizes fish production rather than facilitation of adoption and integration has been a feature of the majority of African smallholder agriculture/aquaculture projects. Farming Systems Research (FSR) must identify niches and opportunities for system improvement for it to be worth supporting as a development intervention.

New Products and Markets for Menhaden, Brevoortia spp.

Although menhaden, Brevoortia spp., represent 23.5 percent of United States commercial fishery landings, they represent only about 2.6 percent of the total landed value of fishery products. New food products and markets are needed to increase the economic value of the menhaden resource. This paper describes investigations of menhaden as a raw material for both traditional and new forms of food products. Canned menhaden is a logical food product, but the production of a menhaden surimi with good functionality has recently been demonstrated. The U.S. Food and Drug Administration has placed partially hydrogenated menhaden oil on the GRAS list of ingredients for food products, but a decision on the status of nutritionally beneficial refined menhaden oil is not yet available. Refined menhaden oil is currently the raw material for biomedical test materials being used in research approved by the National Institutes of Health to determine the health benefits of fish oils and omega-3 fatty acids. The test materials are being produced, with strict quality controls, at the NMFS Charleston Laboratory.

Research in Global Groundfish Markets: An Exercise in International Cooperation

Over roughly the last decade, most of the fishery resources of the continental shelf and nearshore areas of the world's oceans have come under the control of coastal nations. One consequence of this extension of fisheries jurisdiction (EFJ) by any individual state has been the expansion of its production possibilities. That is, with strengthened property rights in the ocean resources off its shores, a coastal nation experiences increased opportunities to produce goods and services from its newly enlarged pool of resources. Such a nation, then, would appear to be a potential gainer from EFJ.

O ensino médio integrado no Instituto Federal de Educação, Ciência e Tecnologia Sul-rio-grandense: perspectivas contra-hegemônicas num campo em disputas

O presente trabalho tem como tema as disputas que ocorrem no interior de uma instituição (IFSul) da Rede Federal de Educação Profissional, Científica e Tecnológica a respeito da pertinência e da concepção dos cursos técnicos integrados. Para tanto, discute as transformações que ocorrem no mundo do trabalho e suas especificidades no Brasil, bem como as implicações das novas relações de produção sobre as necessidades de formação humana. Aproxima as propostas de Gramsci para a escola unitária da realidade educacional brasileira e da proposta que se constrói como travessia para uma educação integral ou omnilateral o ensino médio integrado , além de apontar os espaços de contradição existentes na instituição estudada e que permitem avanços em direção à politecnia ou educação tecnológica. Utilizou-se da ampla bibliografia já existente para as formulações referentes às transformações no mundo do trabalho; à situação social, política e econômica brasileira; às opções ontológico-históricas, filosóficas e epistemológicas que constroem a proposta de ensino médio integrado. Para as análises das disputas no interior do instituto, utilizou-se de entrevistas semi-estruturadas e de um método de análise inspirado na metodologia da análise textual discursiva. Foram entrevistados 20 professores/gestores de três campi do IFSul, escolhidos por terem sido criados em diferentes momentos históricos. Tais professores ocupam os cargos de responsáveis pelo ensino do campus ou de coordenadores de cursos técnicos integrados ou de áreas do conhecimento do ensino médio. Foram escolhidos por catalizarem as opiniões de seus pares nos processos decisórios que se referem à oferta e ao currículo dos cursos. Na execução da análise, este trabalho utilizou-se das ferramentas do materialismo histórico e dialético. Partiu da análise mais geral das disputas de rumos, baseadas em projetos societários diferenciados, no interior do IFSul. Ao mesmo tempo, procurou ambientar o leitor com a instituição e o processo investigativo percorrido pelo autor. Em um segundo momento buscou aprofundar a análise, estudando as mudanças que ocorrem no mundo a partir da crise que se inicia na década de 1970 e que trouxe grandes transformações nos processos produtivos, além da financeirização dos mercados. Seguindo este processo de ida às categorias mais abstratas que organizam o todo social, manifestou as dificuldades históricas do modelo desenvolvimentista que se aplica no Brasil e apresentou as novas necessidades formativas na visão hegemônica e na visão dos trabalhadores, ao propor reformas educacionais que apontem numa perspectiva revolucionária. Assim, voltando ao concreto pensado, aprofundou algumas discussões a respeito da concepção de ensino médio integrado. Mesmo partindo do pressuposto de que a debilidade da formulação burguesa para a educação que se articula com o trabalho dificulta a formulação de um discurso contra-hegemônico, por parte da classe trabalhadora, este trabalho verificou as potencialidades de rupturas existentes neste processo histórico que vivemos. A concepção de politecnia se caracteriza como uma possibilidade de superação da polivalência perseguida pelo discurso educacional hegemônico. Tal superação, tarefa nas mãos da classe trabalhadora, poderá contribuir para a superação do capitalismo dependente brasileiro, resultado insólito das limitações revolucionárias de nossa burguesia