Testing the Markov property with ultra high frequency financial data

This paper develops a framework to test whether discrete-valued irregularly-spaced financial transactions data follow a subordinated Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some discrete level. This framework is convenient for it accommodates not only the irregular spacing of transactions data, but also price discreteness. Further, it turns out that, under such an observation rule, the current price duration is independent of previous price durations given the current price realization. A simple nonparametric test then follows by examining whether this conditional independence property holds. Finally, we investigate whether or not bid-ask spreads follow Markov processes using transactions data from the New York Stock Exchange. The motivation lies on the fact that asymmetric information models of market microstructures predict that the Markov property does not hold for the bid-ask spread. The results are mixed in the sense that the Markov assumption is rejected for three out of the five stocks we have analyzed.

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.

The impact of the 2008 economic recession on three residential property type investments: a case study of five diverse zip codes in Washington DC, USA

There has been 47 recessions in the United States of America (US) since 1790. US recessions have increasingly affected economies of other countries in the world as nations become more and more interdependent on each other. The worst economic recession so far was the “Great Depression” – an economic recession that was caused by the 1929 crash of the stock market in the US. The 2008 economic recession in the US was a result of the burst of the “housing bubble” created by predatory lending. The economic recession resulted in increased unemployment (according to NBER 8.7 million jobs were lost from Feb. 2008 to Feb. 2010); decrease in GDP by 5.1%; increase in poverty level from 12.1% (2007) to 16.0% (2008) (NBER) This dissertation is an attempt to research the impact of the 2008 economic recession on different types of residential investments: a case study of five (5) diverse neighborhoods/zip codes in Washington DC, USA The main findings were that the effect of the 2008 economic depression on the different types of residential properties was dependent on the location of the property and the demographics/socio-economic factors associated with that location.

Fractal correlation property of heart rate variability in chronic obstructive pulmonary disease

Background: It was reported that autonomic nervous system function is altered in subjects with chronic obstructive pulmonary disease (COPD). We evaluated short-and long-term fractal exponents of heart rate variability (HRV) in COPD subjects.Patients and methods: We analyzed data from 30 volunteers, who were divided into two groups according to spirometric values: COPD (n = 15) and control (n = 15). For analysis of HRV indices, HRV was recorded beat by beat with the volunteers in the supine position for 30 minutes. We analyzed the linear indices in the time (SDNN [standard deviation of normal to normal] and RMSSD [root-mean square of differences]) and frequency domains (low frequency [LF], high frequency [HF], and LF/HF), and the short-and long-term fractal exponents were obtained by detrended fluctuation analysis. We considered P < 0.05 to be a significant difference.Results: COPD patients presented reduced levels of all linear exponents and decreased short-term fractal exponent (alpha-1: 0.899 +/- 0.18 versus 1.025 +/- 0.09, P = 0.026). There was no significant difference between COPD and control groups in alpha-2 and alpha-1/alpha-2 ratio.Conclusion: COPD subjects present reduced short-term fractal correlation properties of HRV, which indicates that this index can be used for risk stratification, assessment of systemic disease manifestations, and therapeutic procedures to monitor those patients.

In vitro and in vivo evaluation of a primaquine prodrug without red blood cell membrane destabilization property

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

Crystal structure, DNA binding studies, nucleolytic property and topoisomerase I inhibition of zinc complex with 1,10-phenanthroline and 3-methyl-picolinic acid

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Amor como medida de satisfação marital

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior

Effect of polyol excess on the electrical property of vegetable-polyurethane film

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

Chemopreventive property of dietary ginger in rat urinary bladder chemical carcinogenesis

The modifying potential of ginger on the development of preneoplasia and tumors in the male Wistar rat urinary bladder was investigated in a 36-week-long initiation-promotion assay for chemical carcinogenesis. Groups G1 to G3 were given 0.05% N-butyl-N-(4-hydroxybutyl)-nitrosamine (BBN) in drinking water for 5 weeks and a 3% uracil meal for the subsequent 3 weeks. Groups G4 and G5 were treated with 3% uracil only for the same period. After these steps, groups G2, and G3 and G4 were fed for 26 weeks a ginger extract mixed at 0.5 and 1.0% in a basal diet, respectively. Thirty six weeks after the beginning of the experiment all rats were killed. The multiplicity of urothelial lesions (hyperplasia and neoplasia) was significantly lower (P = 0.013) in group G3 than in groups G1 and G2. The results suggest that 1.0% ginger meal exerts a protective effect on the post-initiation stage of rat chemically-induced urothelial carcinogenesis.

The effect of long-term disinfection procedures on hardness property of resin denture teeth

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

Enhanced electrical property of nanostructured Sb-doped SnO2 thin film processed by soft chemical method

The effect of the Sb addition on the microstructural and electrical conductivity of the SnO2 thin film was studied in this work. Experimental results show that the Sb addition allowed to control the grain size and electrical conductivity of the SnO2 thin film, resulting in a nanostructured material. The nanostructured Sb-doped SnO2 thin films present high electrical conductivity, even in the presence of high porosity, supporting the hypothesis that nanostructured material must possess strong electrical conductivity. This work involves important aspects that can be applied to the development of high performance transparent conducting thin film. (C) 2003 Elsevier B.V. All rights reserved.

Photoluminescent property of mechanically milled BaWO4 powder

Crystalline BaWO4 (BWO) powder obtained by the polymeric precursor method was structurally disordered by means of high-energy mechanical milling. For the first time a strong and broad photoluminescence (PL) has been measured at room temperature for mechanically milled BWO powder and interpreted by ground-state quantum mechanical calculations in the density functional theory framework. Two periodic models have been studied; one representing the crystalline form and the other one representing the disordered BWO powder. These models allowed the calculation of electronic properties, which are consistent with the experimental results, showing that structural disorder in the lattice is an important condition to generate an intense and broad PL band. (c) 2006 Elsevier B.V. All rights reserved.

BaZrO3 Photoluminescence Property: An Ab Initio Analysis of Structural Deformation and Symmetry Changes

This article reports a theoretical study based on experimental results for barium zirconate, BaZrO3 (BZ) thin films, using periodic mechanic quantum calculations to analyze the symmetry change in a structural order-disorder simulation. Four periodic models were simulated using CRYSTAL98 code to represent the ordered and disordered BZ structures. The results were analyzed in terms of the energy level diagrams and atomic orbital distributions to explain and understand the BZ photoluminescence properties (PL) at room temperature for the disordered structure based on structural deformation and symmetry changes. (C) 2009 Wiley Periodicals, Inc. Int J Quantum Chem 111: 694-701, 2011