Commodity Future Price Premiums – Case EU ETS

The purpose of this thesis was to study commodity future price premiums and their nature on emission allowance markets. The EUA spot and future contracts traded on the secondary market during EU ETS Phase 2 and Phase 3 were selected for empirical testing. The cointegration of spot and future prices was examined with Johansen cointegration methodology. Daily interest rates with a similar tenor to the future contract maturity were used in the cost-of-carry model to calculate the theoretical future prices and to estimate the deviation from the fair value of future contracts, assumed to be explained by the convenience yield. The time-varying dependence of the convenience yield was studied by regression testing the correlation between convenience yield and the time to maturity of the future contract. The results indicated cointegration between spot and future prices, albeit depending on assumptions on linear trend and intercept in cointegration vector Dec-14 and Dec-15 contracts. The convenience yield correlates positively with the time-to-maturity of the future contract during Phase 2, but negatively during Phase 3. The convenience yield featured positive correlation with spot price volatility and negative correlation with future price volatility during both Phases 2 and 3.

Comparison of Pavlovian serial conditional discrimination in rats and hamsters in the same experimental situation

The present study compares behavioral changes between two distinct rodent groups, hamsters (Mesocricetus auratus) and Wistar rats, when submitted in the same homogeneous experimental situations to a serial conditional discrimination procedure which involves water deprivation and the processing of temporal variables. Both hamsters and rats acquired serial positive conditional discrimination as indicated by higher frequencies of magazine-oriented behavior during the tone followed by reinforcement (T+) and preceded by the feature stimulus light (L) and during the empty interval, than during the tone alone not followed by reinforcement (T-). Rats' frequencies of magazine-oriented behavior were high during T+ and T-, initially during training, and decreased during T- as the training progressed. However, the hamsters' frequencies of magazine-oriented behavior started very low and increased only during T+ as the training progressed. Comparison of the frequencies of magazine-oriented behavior during the empty interval in relation to the frequencies during the preceding L period showed that rats' frequencies remained very high and hamsters' frequencies increased during training. These results suggest that rats and hamsters have different behavioral strategies for the acquisition of a conditional discrimination. The results of the comparisons made in these experiments support the view of the importance of an ecological psychology approach to the understanding of complex learning in animals.

Forecasting financial weather - can we foresee market sentiment? Spectrum of stock price behavior - NYSE case study

The desire to create a statistical or mathematical model, which would allow predicting the future changes in stock prices, was born many years ago. Economists and mathematicians are trying to solve this task by applying statistical analysis and physical laws, but there are still no satisfactory results. The main reason for this is that a stock exchange is a non-stationary, unstable and complex system, which is influenced by many factors. In this thesis the New York Stock Exchange was considered as the system to be explored. A topological analysis, basic statistical tools and singular value decomposition were conducted for understanding the behavior of the market. Two methods for normalization of initial daily closure prices by Dow Jones and S&P500 were introduced and applied for further analysis. As a result, some unexpected features were identified, such as a shape of distribution of correlation matrix, a bulk of which is shifted to the right hand side with respect to zero. Also non-ergodicity of NYSE was confirmed graphically. It was shown, that singular vectors differ from each other by a constant factor. There are for certain results no clear conclusions from this work, but it creates a good basis for the further analysis of market topology.

Regime-Switching in the Impact of Oil Price Shocks on Stock Market Volatility: Evidence from Oil-Importing and Oil-Exporting Countries

Research has highlighted the adequacy of Markov regime-switching model to address dynamic behavior in long term stock market movements. Employing a purposed Extended regime-switching GARCH(1,1) model, this thesis further investigates the regime dependent nonlinear relationship between changes in oil price and stock market volatility in Saudi Arabia, Norway and Singapore for the period of 2001-2014. Market selection is prioritized to national dependency on oil export or import, which also rationalizes the fitness of implied bivariate volatility model. Among two regimes identified by the mean model, high stock market return-low volatility regime reflects the stable economic growth periods. The other regime characterized by low stock market return-high volatility coincides with episodes of recession and downturn. Moreover, results of volatility model provide the evidence that shocks in stock markets are less persistent during the high volatility regime. While accelerated oil price rises the stock market volatility during recessions, it reduces the stock market risk during normal growth periods in Singapore. In contrast, oil price showed no significant notable impact on stock market volatility of target oil-exporting countries in either of the volatility regime. In light to these results, international investors and policy makers could benefit the risk management in relation to oil price fluctuation.

Mercury toxicity in the Amazon: contrast sensitivity and color discrimination of subjects exposed to mercury

We measured visual performance in achromatic and chromatic spatial tasks of mercury-exposed subjects and compared the results with norms obtained from healthy individuals of similar age. Data were obtained for a group of 28 mercury-exposed subjects, comprising 20 Amazonian gold miners, 2 inhabitants of Amazonian riverside communities, and 6 laboratory technicians, who asked for medical care. Statistical norms were generated by testing healthy control subjects divided into three age groups. The performance of a substantial proportion of the mercury-exposed subjects was below the norms in all of these tasks. Eleven of 20 subjects (55%) performed below the norms in the achromatic contrast sensitivity task. The mercury-exposed subjects also had lower red-green contrast sensitivity deficits at all tested spatial frequencies (9/11 subjects; 81%). Three gold miners and 1 riverine (4/19 subjects, 21%) performed worse than normal subjects making more mistakes in the color arrangement test. Five of 10 subjects tested (50%), comprising 2 gold miners, 2 technicians, and 1 riverine, performed worse than normal in the color discrimination test, having areas of one or more MacAdam ellipse larger than normal subjects and high color discrimination thresholds at least in one color locus. These data indicate that psychophysical assessment can be used to quantify the degree of visual impairment of mercury-exposed subjects. They also suggest that some spatial tests such as the measurement of red-green chromatic contrast are sufficiently sensitive to detect visual dysfunction caused by mercury toxicity.

Operant serial feature-positive conditional discrimination with composite features and different topography responses

In a serial feature-positive conditional discrimination procedure the properties of a target stimulus A are defined by the presence or not of a feature stimulus X preceding it. In the present experiment, composite features preceded targets associated with two different topography operant responses (right and left bar pressing); matching and non-matching-to-sample arrangements were also used. Five water-deprived Wistar rats were trained in 6 different trials: X-R®Ar and X-L®Al, in which X and A were same modality visual stimuli and the reinforcement was contingent to pressing either the right (r) or left (l) bar that had the light on during the feature (matching-to-sample); Y-R®Bl and Y-L®Br, in which Y and B were same modality auditory stimuli and the reinforcement was contingent to pressing the bar that had the light off during the feature (non-matching-to-sample); A- and B- alone. After 100 training sessions, the animals were submitted to transfer tests with the targets used plus a new one (auditory click). Average percentages of stimuli with a response were measured. Acquisition occurred completely only for Y-L®Br+; however, complex associations were established along training. Transfer was not complete during the tests since concurrent effects of extinction and response generalization also occurred. Results suggest the use of both simple conditioning and configurational strategies, favoring the most recent theories of conditional discrimination learning. The implications of the use of complex arrangements for discussing these theories are considered.

Discrimination of Brazilian red wines according to the viticultural region, varietal, and winery origin

This work evaluated the physicochemical composition of 171 red Brazilian wines from the 2006 vintage, which were represented by 21 varietals. These wines were produced by 58 Brazilian wineries in different regions of the country, with latitudes varying from 9º to 31º South. Physicochemical wine analysis was performed in the same year and discrimination in the viticultural regions, varietal wines, and wineries was performed by means of the principal component analysis (PCA). The main results show that wines from São Joaquim had higher values of A420, A520, A620, color intensity, total phenolic compounds, anthocyanins, and dry extracts, while those from Toledo had lower values of these variables; those from Vale do São Francisco had higher values of potassium, pH, density, and volatile acidity; from Serra do Nordeste A, they had higher titratable acidity; and from Planalto Superior B, higher hue. Regarding the varietal wines, PCA mainly discriminated the wines produced from the varieties Ancellotta, Teroldego, Egiodola, Refosco, Marselan, Cabernet Sauvignon, Pinotage, Pinot Noir, Malbec, Arinarnoa, Barbera, and Alfrocheiro. In relation to wineries, twenty two of them were discriminated by their higher values of some variables, i.e., three were characterized by color intensity; three by hue; eight by alcohol content; six by potassium, dry extract, density, and pH; and two by titratablel acidity.

Analytical characteristics and discrimination of Brazilian commercial grape juice, nectar, and beverage

The production and commercialization of Brazilian grape juice is increasing annually, mainly due to its typicality, quality, and nutritional value. The present research was carried out in view of the great significance of Brazilian grape juice for the grape and wine industry. The purpose of this study, therefore, was to assess its composition as well as the discrimination between grape juice and other beverages. Twenty four samples of whole, sweetened, and reprocessed grape juices, grape nectar, and grape beverage were evaluated. Classical variables were analyzed by means of physicochemical methods; tartaric and malic acids, by HPLC; methanol, by gas chromatography; minerals, by atomic absorption spectrophotometry. These products were discriminated by the Principal Component Analysis (PCA). Results show that whole and sweetened grape juices were discriminated from other grape products because they featured higher values of total soluble solids, tartaric and malic acids, most minerals, phenolic compounds, and K/Na ratio, whereas grape nectar and grape beverage presented higher values of ºBrix/titratable acidity ratio. Reprocessed juice was discriminated due to its higher concentrations of Li and Na and lower hue.

Relationship between the price of fish and its quality attributes: a study within a community at the University of São Paulo, Brazil

The aim of this study was to evaluate the associations between the products' market price and attributes related to fish purchase and consumption within a university community in Brazil. A structured questionnaire consisting of a five-point Likert scale was used. It was previously tested and made available to the university community via the Internet. The sample comprised 1966 voluntaries including university students and faculty and staff members. A descriptive analysis of data was performed using Spearman's correlation analysis. The results showed that the majority of the respondents (56%) consume fish at home; some consume fish at restaurants (39%), and 5% at family or friends' houses, reinforcing the idea that variables such as culture and reference groups are fundamental determinants of purchase and consumption behavior. It was identified a significant (p < 0.001) and very strong correlation between the attributes price and nutritional value (r = 0.92); price and availability at the usual places of purchase (r = 0.92); price and packaging (r = 0.92); price and brand name (r = 0.91); and price and of the Federal Inspection stamp (r = 0.91) and a low positive correlation (p < 0.001) between the price variable and the initiative for fish traceability (r = 0.16). This study demonstrated that the price of fish is associated with the quality of the product and the attributes related to it such as packaging, nutritional value, and availability of the product in the market.

Sequence-characterized amplified region (SCAR) technique used for variety discrimination in vinca (Catharanthus roseus (L.) G.Don)

Sequence-Characterized Amplified Region (SCAR) appears as a useful technique for genetic purity testing and variety discrimination, applicable to species in which some other techniques have failed. In particular, this technique is very attractive with species in which RAPD results were not consistent. The RAPD polymorphic bands were cloned, sequenced and from the sequence information, primers pairs for normal PCR were developed. Since the probability of obtaining successful SCAR primers from RAPD polymorphic bands was about 50%, a larger number of RAPD polymorphic bands are needed to develop sufficient SCAR primers for varietal discrimination in vinca. In addition, the efficiency of the SCAR technique is strongly affected by the quality of DNA extracted from seeds. The SCAR banding patterns obtained from vinca seed were consistent and repeatable making the results reliable for genetic purity testing and variety discrimination. The SCAR technique is simple, fast, relatively inexpensive and allows the use of DNA extracted from dry seeds, which is very important in a seed-quality evaluating program

Tariff discrimination on Brazil's soluble coffee: an economic analysis

This article evaluates the impacts of the imposition of tariffs on the Brazilian soluble coffee mainly by European countries as of the 1990s. More particularly, it verifies whether the imposition of discriminatory trade tariffs by the European Union and of non-discriminatory ones by some Eastern European countries reflects on the international demand for this commodity. For this purpose, dynamic models of global demand for Brazilian soluble coffee were estimated for the 1995-2003 period using data from the International Coffee Organization. Findings suggest that existing tariffs significantly account for the reduction of Brazilian share of soluble in the world market.