Utilização de mercados artificiais com formadores de mercado para análise de estratégias

Na modelagem de sistemas complexos, abordagens analíticas tradicionais com equações diferenciais muitas vezes resultam em soluções intratáveis. Para contornar este problema, Modelos Baseados em Agentes surgem como uma ferramenta complementar, onde o sistema é modelado a partir de suas entidades constituintes e interações. Mercados Financeiros são exemplos de sistemas complexos, e como tais, o uso de modelos baseados em agentes é aplicável. Este trabalho implementa um Mercado Financeiro Artificial composto por formadores de mercado, difusores de informações e um conjunto de agentes heterogêneos que negociam um ativo através de um mecanismo de Leilão Duplo Contínuo. Diversos aspectos da simulação são investigados para consolidar sua compreensão e assim contribuir com a concepção de modelos, onde podemos destacar entre outros: Diferenças do Leilão Duplo Contínuo contra o Discreto; Implicações da variação do spread praticado pelo Formador de Mercado; Efeito de Restrições Orçamentárias sobre os agentes e Análise da formação de preços na emissão de ofertas. Pensando na aderência do modelo com a realidade do mercado brasileiro, uma técnica auxiliar chamada Simulação Inversa, é utilizada para calibrar os parâmetros de entrada, de forma que trajetórias de preços simulados resultantes sejam próximas à séries de preços históricos observadas no mercado.

Medidas de risco extraídas de opções sobre petróleo

Bali, Cakici e Chabi-Yo (2011) introduziram uma nova medida de risco, englobando as medidas de risco de Aumann e Serrano (2008) e Foster e Hart (2009). Trata-se de um modelo de medida de risco implícito de opções baseado na distribuição neutra ao risco dos retornos de ativos financeiros. Este trabalho se propõe a calcular a medida de risco de Bali, Cakici e Chabi-Yo (2011) com base nas opções de petróleo, a commodity mais importante da economia mundial. Como os preços das opções incorporam a expectativa do mercado, a medida de risco calculada é considerada forward-looking. Desta forma, esse trabalho também analisa a significância dessa medida em prever a atividade econômica futura. Os resultados indicaram poder preditivo em relação ao índice VIX, o qual representa a incerteza do mercado financeiro, e ao índice CFNAI, indicador da atividade econômica norte-americana.

Knowledge disclosure as a weapon in technological change battles: straight shot or backfire?

This work aims at evaluating how effective is knowledge disclosure in attenuating institutional negative reactions caused by uncertainties brought by firms’ new strategies that respond to novel technologies. The empirical setting is from an era of technological ferment, the period of the introduction of the voice over internet protocol (VoIP) in the USA in the early 2000’s. This technology led to the convergence of the wireline telecommu- nications and cable television industries. The Institutional Brokers’ Estimate System (also known as the I/B/E/S system) was used to capture reactions of securities analysts, a revealed important source of institutional pressure on firms’ strategies. For assessing knowledge disclosure, a coding technique and a established content analysis framework were used to quantitatively measure the non-numerical and unstructured data of transcripts of business events occurred at that time. Eventually, several binary response models were tested in order to assess the effect of knowledge disclosure on the probability of institutional positive reactions. The findings are that the odds of favorable institutional reactions increase when a specific kind of knowledge is disclosed. It can be concluded that knowledge disclosure can be considered as a weapon in technological changes situations, attenuating adverse institutional reactions to the companies’ strategies in environments of technological changes.

Ensaios sobre mercados artificiais com dois ativos utilizando algoritmos genéticos

A abordagem de Modelos Baseados em Agentes é utilizada para trabalhar problemas complexos, em que se busca obter resultados partindo da análise e construção de componentes e das interações entre si. Os resultados observados a partir das simulações são agregados da combinação entre ações e interferências que ocorrem no nível microscópico do modelo. Conduzindo, desta forma, a uma simulação do micro para o macro. Os mercados financeiros são sistemas perfeitos para o uso destes modelos por preencherem a todos os seus requisitos. Este trabalho implementa um Modelo de Mercado Financeiro Baseado em Agentes constituído por diversos agentes que interagem entre si através de um Núcleo de Negociação que atua com dois ativos e conta com o auxílio de formadores de mercado para promover a liquidez dos mercados, conforme se verifica em mercados reais. Para operação deste modelo, foram desenvolvidos dois tipos de agentes que administram, simultaneamente, carteiras com os dois ativos. O primeiro tipo usa o modelo de Markowitz, enquanto o segundo usa técnicas de análise de spread entre ativos. Outra contribuição deste modelo é a análise sobre o uso de função objetivo sobre os retornos dos ativos, no lugar das análises sobre os preços.

Avaliação do impacto da lei de aviso recebimento sobre o mercado de crédito

No Brasil, diversos bureaux de crédito têm o papel de proporcionar a troca de informações de inadimplência dos consumidores para o mercado financeiro. Tal troca beneficia o mercado no sentido de reduzir a assimetria de informação entre tomadores de empréstimo e instituições financeiras. Recentemente as leis 15.659/15 e 10.272/15 de dois estados brasileiros passaram a proteger o consumidor no sentido de impedir inclusão de informação negativa dos mesmos em bureaux caso desconhecessem suas dívidas. O consumidor poderia apropriar-se de seus benefícios para deixar de honrar suas dívidas e consequentemente o mercado poderia sofrer uma retração no crédito. Diante disso, este trabalho propõe desenvolver uma estratégia empírica para verificar se há aumento de seleção adversa e risco moral para os estados em que a lei foi aplicada. Concluímos que o efeito tem sinal consistente com o esperado no sentido de aumento de inadimplência, mas não apresentou significância estatística.

A organização industrial das bolsas de valores: uma resenha da literatura e o caso brasileiro

O mercado de capitais brasileiro não é representativo do tamanho de sua economia. Nos últimos anos, o crescimento observado nas áreas de serviços, indústria, agronegócio, e outras, não foi acompanhado pelo mercado financeiro. A estrutura verticalizada e o posicionamento monopolista da BM&F Bovespa, única bolsa de valores em atuação no mercado local, vão de encontro ao cenário encontrado em mercados internacionais. O advento da eletronificação e a atuação dos agentes reguladores proporcionaram que os mercados internacionais operassem em ambientes com múltiplas bolsas, incentivando a competitividade e trazendo benefícios para o investidor final, como redução de custos explícitos e implícitos, melhoria dos serviços prestados, diversidade de produtos, etc. Artigos recentes comprovam o benefício da fragmentação de ordens, e podem ser usados como referência no incentivo à quebra do monopólio que existe hoje no mercado brasileiro.

Mortalidade por câncer de boca e condição sócio-econômica no Brasil

BORGES,D. M. L.et al. Mortalidade por câncer de boca e condição sócio-econômica no Brasil.Cad. Saúde Pública, Rio de Janeiro, v.25,n.2, p.321-327, fev, 2009

Impacto da variabilidade de peso no controle matebólico de pacientes transplantados cardíacos

Heart transplantation (HT) represents one of the greatest advances in medicine over the last decades. It is indicated for patients with severe heart disease unresponsive to clinical treatment and conventional surgery, poor short-term prognosis and a 1- year mortality rate over 40%. HT has improved survival worldwide (80% in the first year, 70% in five years and 60% in ten years). However, the procedure has been associated with weight change and increased risk of secondary conditions such as diabetes, hypertension, dyslipidemia and obesity due to immunosuppressive therapy following transplantation. The objective of this study was to determine the impact of weight change on the metabolic stability of HT patients. The study was retrospective with data collected from the records of 82 adult patients (83% male; average age 45.06±12.04 years) submitted to HT between October 1997 and December 2005 at a transplantation service in Ceará (Brazil). The selected outcome variables (biopathological profile, weight and body mass index―BMI) were related to biochemical and metabolic change. The results were expressed in terms of frequency, measures of central tendency, Student s t test and Pearson s correlation coefficients. The analysis showed that following HT the average global BMI increased from 23.77±3.68kg/m2 to 25.48±3.92kg/m2 in the first year and to 28.38±4.97kg/m2 in the fifth. Overweight/obese patients (BMI ≥ 25 kg/m2) had higher average levels of glucose, total cholesterol, low-density lipoprotein and triglycerides than patients with eutrophy/malnutrition (BMI < 25 kg/m2). In conclusion, overweight/obese patients were likely to present higher average levels of glucose, triglycerides, total cholesterol and fractions than patients with eutrophy/malnutrition, indicating a direct and significant relation between nutritional status and weight change in the metabolic profile of HT patients

Prevalência e fatores associados à dor em bailarinos profissionais

To investigate the prevalence and factors associated to painful symptomatology in professional ballet dancers. Methodos: An analytical transversal cut study was performed with 141 professional ballet dancers in the main capital cities of the Brazilian Northeast. McGill`s Pain Questionnaire and the Wisconsin Brief Pain Inventory, both validated for Portuguese, were used to assess painful symptomatology. Descriptive statistical analysis of the results was carried out, followed by Student`s t-test and Pearson s correlation with pvalue < 0.05. Results: High pain tolerance levels were observed in 70.2% of the subjects, where the intensity varied from moderate to severe. Pain in the lumbar region was present in 85.8% of the individuals. Positive correlations were verified between the degree of pain intensity and activities how to dance (60,3%), general activities (32,6%), sleep (28,4%), mood (27,7%), march (20,6%) and relations with others (16,3%). Conclusions: High pain prevalence was found in professional ballet dancers in the main capital cities of the northeast, and the most affected area was the lumbar followed by knees, neck, hip and feet, with substantial interference of pain symptoms in several activities of the personal and professional lives of these people

Chromic oxide as a digestibility marker for dogs - A comparison of methods of analysis

The study reported compared coefficients of apparent digestibility (CAD) obtained by total collection (TC) and by chromic oxide (Cr2O3) determined by visible absorption spectrometry (VIS) and flame atomic absorption spectrophotometry (FAAS). These quantification methods were also investigated to assess their precision. Nineteen adult dogs housed in individual digestibility cages were fed three commercial diets, each test including five or seven animals. The experiment was carried out in a completely randomized design with three among-subjects factors (foods) and three within-subject factors (methods), and the dogs were the experimental unit. Estimated CAD for all dietary components in the three diets by either chromium quantification methods did not differ and showed fair agreement with TC results (P > 0.05). Coefficients of chromic oxide recoveries in feces were 1.06 +/- 0.044 and 1.01 +/- 0.045 for VIS and FAAS, respectively, values significantly different (P < 0.05), indicating better recovery for FAAS. Significant differences (P<0.05) were found in the mean concentration of Cr2O3 for diets and feces (17 +/- 0.6 and 19 +/- 0.8g/kg for VIS and FAAS, respectively). Coefficient of variation for FAAS was 1.69% and 1.77% for VIS, which did not differ significantly (P > 0.05). Pearson's correlation coefficient (r=0.99; P < 0.01) indicated positive and significant association among the results for VIS and FASS, indicating reasonable precision and agreement of chromic oxide contents determined by these methods. Therefore, FAAS and VIS can be used successfully to determine Cr2O3 in dog foods and feces. (c) 2006 Elsevier B.V. All rights reserved.

Comparison between two methods for cardiac output measurement in propofol-anesthetized dogs: thermodilution and Doppler

ObjectiveTo compare cardiac output (CO) measured by Doppler echocardiography and thermodilution techniques in spontaneously breathing dogs during continuous infusion of propofol. To do so, CO was obtained using the thermodilution method (CO(TD)) and Doppler evaluation of pulmonary flow (CO(DP)) and aortic flow (CO(DA)).Study designProspective cohort study.AnimalsEight adult dogs weighing 8.3 +/- 2.0 kg.MethodsPropofol was used for induction (7.5 +/- 1.9 mg kg-1 IV) followed by a continuous rate infusion at 0.7 mg kg-1 minute-1. The animals were positioned in left lateral recumbency on an echocardiography table that allowed for positioning of the transducer at the 3rd and 5th intercostal spaces of the left hemithorax for Doppler evaluation of pulmonary and aortic valves, respectively. CO(DP) and CO(DA) were calculated from pulmonary and aortic velocity spectra, respectively. A pulmonary artery catheter was inserted via the jugular vein and positioned inside the lumen of the pulmonary artery in order to evaluate CO(TD). The first measurement of CO(TD), CO(DP) and CO(DA) was performed 30 minutes after beginning continuous infusion (T0) and then at 15-minute intervals (T15, T30, T45 and T60). Numeric data were submitted to two-way anova for repeated measurements, Pearson's correlation coefficient and Bland & Altman analysis. Data are presented as mean +/- SD.ResultsAt T0, CO(TD) was lower than CO(DA). CO(DA) was higher than CO(TD) and CO(DP) at T30, T45 and T60. The difference between the CO(TD) and CO(DP), when all data were included, was -0.04 +/- 0.22 L minute-1 and Pearson's correlation coefficient (r) was 0.86. The difference between the CO(TD) and CO(DA) was -0.87 +/- 0.54 L minute-1 and r = 0.69. For CO(TD) and CO(DP), the difference was -0.82 +/- 0.59 L minute-1 and r = 0.61.ConclusionDoppler evaluation of pulmonary flow was a clinically acceptable method for assessing the CO in propofol-anesthetized dogs.

Dinâmica populacional de Triozoida limbata, Costalimaita ferruginea e inimigos naturais em pomar orgânico e convencional de goiaba

We investigated the population dynamics of Triozoida limbata (Hemiptera: Triozidae) and Costalimaita ferruginea (Coleoptera: Chrysomelidae) and its correlation with the population of natural enemies in organic and conventional orchard of guava. The experiments were performed in two distinct orchards of guava in the 2010/2011 harvest. For monitoring pests and natural enemies, we installed five yellow sticky traps in each orchard. To obtain the correlation between population densities of pests with natural enemies, we used Pearson linear correlation analysis (SAS). The population density of T. limbata remained low, and reaches the top in October in organic orchard of guava. The main pest in conventional orchard of guava was T. limbata and population reaches the top several times. The damage caused by T. limbata in new leaves of guava was more pronounced in conventional orchard. There was a low population density of C. ferruginea in both orchards; however we observed that the population reaches the top in November in organic orchard. The species C. ferruginea caused higher damage in young leaves of guava tree in organic orchard. The highest population density of natural enemies was observed in organic orchard, which presented positive correlation between T. limbata and the coccinellid predator Scymnus spp.

Species Diversity of Myrmecofauna and Araneofauna Associated with Agroecosystem and Forest Fragments and their Interaction with Carabidae and Staphylinidae (Coleoptera)

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