Are price limits on futures markets that cool? evidence from the brazilian merchantile & futures exchange

This paper investigates the impact of price limits on the Brazil- ian future markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. Our main finding is that price limits drive back prices as they approach the lower limit. There is a strong cool-off effect of the lower limit on the conditional mean, whereas the upper limit seems to entail a weak magnet effect on the conditional variance. We then build a trading strategy that accounts for the cool-off effect so as to demonstrate that the latter has not only statistical, but also economic signifi- cance. The resulting Sharpe ratio indeed is way superior to the buy-and-hold benchmarks we consider.

Are price limits on futures markets that cool?: evidence from the Brazilian Mercantile and Futures Exchange

This paper investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the S˜ao Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. The results indicate that the conditional mean features a floor cool-off effect, whereas the conditional variance significantly increases as the price approaches the upper limit. We then build a trading strategy that accounts for the cool-off effect in the conditional mean so as to demonstrate that the latter has not only statistical, but also economic significance. The in-sample Sharpe ratio indeed is way superior to the buy-and-hold benchmarks we consider, whereas out-of-sample results evince similar performances.

On the limits of cheap talk for public good provision

This article studies a model where, as a consequence of private information, agents do not have incentive to invest in a desired joint project, or a public good, when they are unable to have prior discussion with their partners. As a result, the joint project is never undertaken and inefficiency is observed. Agastya, Menezes and Sengupta (2007) prove that with a prior stage of communication, with a binary message space, it is possible to have some efficiency gain since "all ex-ante and interim efficient equilibria exhibit a simple structure". We show that any finite message space does not provide efficiency gain on the simple structure discussed in that article. We use laboratory experiments to test these results. We find that people do contribute, even without communication, and that any kind of communication increases the probability of project implementation. We also observed that communication reduces the unproductive contribution, and that a large message space cannot provide efficiency gain relative to the binary one.

Public debt and the limits of fiscal policy to increase economic growth

Research that seeks to estimate the effects of fiscal policies on economic growth has ignored the role of public debt in this relationship. This study proposes a theoretical model of endogenous growth, which demonstrates that the level of the public debt-to-gross domestic product (GDP) ratio should negatively impact the effect of fiscal policy on growth. This occurs because government indebtedness extracts part of the savings of the young to pay interest on the debts of the older generation, who are no longer saving. Therefore, the payment of debt interest assumes an allocation exchange role between generations that is similar to a pay-as-you-go pension system, which results in changes in the savings rate of the economy. The major conclusions of the theoretical model were tested using an econometric model to provide evidence for the validity of this conclusion. Our empirical analysis controls for timeinvariant, country-specific heterogeneity in the growth rates. We also address endogeneity issues and allow for heterogeneity across countries in the model parameters and for cross-sectional dependence.

Voice over IP 2.0: an analysis of limits and potential of IP2IP telecommunication

Internet Telephony (VoIP) is changing the telecommunication industry. Oftentimes free, VoIP is becoming more and more popular amongst users. Large software companies have entered the market and heavily invest into it. In 2011, for instance, Microsoft bought Skype for 8.5bn USD. This trend increasingly impacts the incumbent telecommunication operators. They see their main source of revenue – classic telephony – under siege and disappear. The thesis at hand develops a most-likely scenario in order to determine how VoIP is evolving further and it predicts, based on a ten-year forecast, the impact it will have on the players in the telecommunication industry.The paper presents a model combining Rogers’ diffusion and Christensen’s innovation research. The model has the goal of explaining the past evolution of VoIP and to isolate the factors that determine the further diffusion of the innovation. Interviews with industry experts serve to assess how the identified factors are evolving.Two propositions are offered. First, VoIP operators are becoming more important in international, corporate, and mobile telephony. End-to-end VoIP (IP2IP) will exhibit strong growth rates and increasingly cannibalize the telephony revenues of the classic operators. Second, fix-net telephony in SMEs and at home will continue to be dominated by the incumbents. Yet, as prices for telephony fall towards zero also they will implement IP2IP in order to save costs. By 2022, up to 90% of the calls will be IP2IP. The author recommends the incumbents and VoIP operators to proactively face the change, to rethink their business strategies, and to even be open for cooperation.

Enforcing international financial standards in Brazil: limits and possibilities for adoption of IOSCO principles

Foreign capital and institutional investors play a key role in the Brazilian capital and financial markets. Internationally promoted regulatory patterns, especially IOSCO principles, have been increasingly influencing administrative rule making by the Brazilian Securities and Exchange Commission (CVM) as well as the adoption of transnational rules in Brazil by means of self-regulatory activity. Even though there is a certain level of convergence of market regulatory standards at the transnational level, implementation and enforcement of rules remains essentially domestic. We analyze two case studies regarding the transposition of international standards into the Brazilian legal system, which illustrate this tension between the transnational and domestic dimensions of financial markets regulation. The first case concerns a CVM rule on disclosure of executive compensation and the its interpretation by local courts. The second case refers to the adoption of suitability rules.

The impact of property rights and its limits

The empirical evaluation of the effect of land property rights typically suffers from selection problems. The allocation of property rights across households is usually not random but based on wealth, family characteristics, political clientelism, or other mechanisms built on differences between the groups that acquire property rights and the groups that do not. In this paper, we address this selection concern exploiting a natural experiment in the allocation of property rights. Twenty years ago, a homogenous group of squatters occupied a piece of privately owned land in a suburban area of Buenos Aires, Argentina. When the Congress passed an expropriation law transferring the land from the former owners to the squatters, some of the former owners surrendered the land (and received a compensation), while others decide to sue in the slow Argentine courts. These different decisions by the former owners generated an allocation of property rights that is exogenous to the characteristics of the squatters. We take advantage of this natural experiment to evaluate the effect of the allocation of urban land property rights. Our preliminary results show significant effects on housing investment, household size, and school attrition. Contradicting De Soto's hypotheses, we found nonsignificant effects on labor income and access to credit markets.

Otimização da medida Omega de um portfolio de ações com a utilização de opções do Índice Bovespa

O uso de opções no mercado financeiro tem ganhado relevância devido ao seu payoff não-linear e a possibilidade de alterar o perfil da distribuição de retornos de um portfolio. Existem diversas estratégias que são adequadas para cada cenário que o investidor acredita estar exposto, mas como o conjunto de cenários forma uma distribuição de retornos, devemos utilizar uma medida adequada para trabalhar com este tipo de informação. Assim, foi utilizada a medida Omega, que é uma medida capaz de capturar todos os momentos de uma distribuição, dado um limiar de retornos. Este trabalho se propõe a desenvolver uma metodologia que possibilite otimizar a medida Omega de um portfolio, através do uso de opções sobre o IBOVESPA. Para a geração das distribuições de retornos foi utilizada simulação de Monte Carlo, com jumps e volatilidade estocástica. Finalmente, foram feitas diversas análises sobre os resultados obtidos, afim de comparar a estratégia otimizada com diversas estratégias aleatórias, e também, realizado um backtest para avaliar a eficácia da implementação da estratégia otimizada.

The Limits of political compromise: debt ceilings and political competition

We study the desirability of limits on the public debt and of political competition in an economy where political parties alternate in office. Due to rent-seeking motives, incumbents have an incentive to set public expenditures above the socially optimal level. Parties cannot commit to future policies, but they can forge a political compromise where each party curbs excessive spending when in office if it expects future governments to do the same. In contrast to the received literature, we find that strict limits on government borrowing can exacerbate political-economy distortions by rendering a political compromise unsustainable. This tends to happen when political competition is limited. Conversely, a tight limit on the public debt fosters a compromise that yields the efficient outcome when political competition is vigorous, saving the economy from immiseration. Our analysis thus suggests a legislative tradeoff between restricting political competition and constraining the ability of governments to issue debt.

The limits of human development and the use of energy and natural resources

The development of nations is an unquestionable requirement. A lot of challenges concerning health, education and economy are present. A discussion on these development models has occupied the minds of decision makers in recent years. When energy supply and demand is considered, the situation becomes critical and the crucial question is: how to improve the quality of life of developing countries based on available models of development that are related to the life style of developed countries, for which the necessary use and waste of energy are present? How much energy is essential to humanity for not so as to endangering the survival conditions of future generations? the human development index (HDI) establishes the relationship among energy use, economic growth and social growth. Here it can be seen that 75% of the world population has a significant energy consumption potential. This is a strong reason to consider that the sustainable development concepts on energy policies are strategic to the future of the planet. This paper deals with the importance of seeking alternative development models for human development balance, natural resources conservation and environment through rational energy use concepts. (c) 2004 Elsevier Ltd. All rights reserved.

Decreased oxidative stress in patients with ulcerative colitis supplemented with fish oil omega-3 fatty acids

OBJECTIVE: the potential pathogenicity of free radicals may have a pivotal role in ulcerative colitis. Fish oil omega-3 fatty acids exert anti-inflammatory effects on patients with ulcerative colitis (UC), but the precise mechanism of the action of fish oil on oxidative stress is still controversial. The aim of the present work was to verify the blood oxidative stress in patients with UC and determine whether the association of sulfasalazine to fish oil omega-3 fatty acids is more effective than isolated use of sulfasalazine to reduce the oxidative stress.METHODS:, Nine patients (seven female and two male; me. an age = 40 +/- 11 y) with mild or moderate active UC were studied in a randomized crossover design. In addition to their usual medication (2 g/d of sulfasalazine), they received fish oil omega-3 fatty acids (4.5 g/d) or placebo for 2-mo treatment periods that were separated by 2 mo, when they only received sulfasalazine. Nine healthy individuals served as control subjects to study the oxidative stress status. Disease activity was assessed by laboratory indicators (C-reactive protein, alpha(1)-acid glycoprotein, alpha(1)-antitrypsin, erythrocyte sedimentation rate, albumin, hemoglobin, and platelet count), sigmoidoscopy, and histology scores. Analysis of oxidative stress was assessed by plasma chemiluminescence and erythrocyte lipid peroxidation, both induced by tert butyl hydroperoxide (t-BuOOH) and by plasma malondialdehyde. Antioxidant status was assayed by total plasma antioxidant capacity (TRAP) and microsomal lipid peroxidation inhibition (LPI). Superoxide dismutase (SOD) and catalase erythrocyte enzymatic activities were also determined.RESULTS: No significant changes were observed in any laboratory indicator or in the sigmoidoscopy or histology scores, with the exception of erythrocyte sedimentation rate, which decreased with both treatments. Oxidative stress was demonstrated by significant decreases in TRAP and LPI levels, increased chemiluminescence induced by t-BuOOH, and higher SOD activity in patients with UC. Treatment with fish oil omega-3 fatty acids reverted the chemiluminescence induced by t-BuOOH and LPI to baseline levels but that did not occur when patients received only sulfasalazine. Levels of plasma malondialdehyde, erythrocyte lipid peroxidation, and catalase were not different from those in the control group.CONCLUSIONS: the results indicated that plasma oxidative stress occurs in patients with UC, and there was a significant decrease when the patients used sulfasalazine plus fish oil omega-3 fatty acids. However, there was no improvement in most laboratory indicators, sigmoidoscopy, and histology scores. The results suggested that omega-3 fatty acids may act as free radical scavengers protecting the patients against the overall effect of oxidative stress. (C)Elsevier B.V. 2003.

Comparison of omega-3 fatty acids and sulfasalazine in ulcerative colitis

Fish oil omega-3 fatty acids exert antiinflammatory effects on patients with ulcerative colitis. However, a comparative study in patients with mild to moderate ulcerative colitis receiving only sulfasalazine or omega-3 fatty acids has not been performed. We sought to detect changes in the inflammatory disease activity with the use of either fish oil omega-3 fatty acids or sulfasalazine in patients with ulcerative colitis. Ten patients (five male, five female; mean age = 48 +/- 12 y) with mild to moderate active ulcerative colitis were investigated in a randomized cross-over design. They received either sulfasalazine (2 g/d) or omega-3 fatty acids (5.4 g/d) for 2 mo. Disease activity was assessed by clinical and laboratory indicators, sigmoidoscopy, histology, and whole-body protein turnover (with N-15-glycine). Treatment with w-3 fatty acids resulted in greater disease activity as detected by a significant increase in platelet count, erythrocyte sedimentation rate, C-reactive protein, and total fecal nitrogen excretion. No major changes in protein synthesis and breakdown were observed during either treatment. In conclusion, treatment with sulfasalazine is superior to treatment with omega-3 fatty acids in patients with mild to moderate active ulcerative colitis. Nutrition 2000;16:87-901 (C) Elsevier B.V. 2000.