Predicting stock index volatility: can market volume help?

This paper explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the NYSE. An application of linear and non-linear Granger causality tests highlights evidence of bidirectional causality, although the relationship is stronger from volatility to volume than the other way around. The out-of-sample forecasting performance of various linear, GARCH, EGARCH, GJR and neural network models of volatility are evaluated and compared. The models are also augmented by the addition of a measure of lagged volume to form more general ex-ante forecasting models. The results indicate that augmenting models of volatility with measures of lagged volume leads only to very modest improvements, if any, in forecasting performance.

Gaussian anamorphosis in the analysis step of the EnKF: a joint state-variable/observation approach

The analysis step of the (ensemble) Kalman filter is optimal when (1) the distribution of the background is Gaussian, (2) state variables and observations are related via a linear operator, and (3) the observational error is of additive nature and has Gaussian distribution. When these conditions are largely violated, a pre-processing step known as Gaussian anamorphosis (GA) can be applied. The objective of this procedure is to obtain state variables and observations that better fulfil the Gaussianity conditions in some sense. In this work we analyse GA from a joint perspective, paying attention to the effects of transformations in the joint state variable/observation space. First, we study transformations for state variables and observations that are independent from each other. Then, we introduce a targeted joint transformation with the objective to obtain joint Gaussianity in the transformed space. We focus primarily in the univariate case, and briefly comment on the multivariate one. A key point of this paper is that, when (1)-(3) are violated, using the analysis step of the EnKF will not recover the exact posterior density in spite of any transformations one may perform. These transformations, however, provide approximations of different quality to the Bayesian solution of the problem. Using an example in which the Bayesian posterior can be analytically computed, we assess the quality of the analysis distributions generated after applying the EnKF analysis step in conjunction with different GA options. The value of the targeted joint transformation is particularly clear for the case when the prior is Gaussian, the marginal density for the observations is close to Gaussian, and the likelihood is a Gaussian mixture.

Speculative bubbles and the cross-sectional variation in stock returns

Evidence suggests that rational, periodically collapsing speculative bubbles may be pervasive in stock markets globally, but there is no research that considers them at the individual stock level. In this study we develop and test an empirical asset pricing model that allows for speculative bubbles to affect stock returns. We show that stocks incorporating larger bubbles yield higher returns. The bubble deviation, at the stock level as opposed to the industry or market level, is a priced source of risk that is separate from the standard market risk, size and value factors. We demonstrate that much of the common variation in stock returns that can be attributable to market risk is due to the co-movement of bubbles rather than being driven by fundamentals.

PAR(2) and Temporomandibular Joint Inflammation in the Rat

The proteinase-activated receptor 2 (PAR(2)) is a putative therapeutic target for arthritis. We hypothesized that the early pro-inflammatory effects secondary to its activation in the temporomandibular joint (TMJ) are mediated by neurogenic mechanisms. Immunofluorescence analysis revealed a high degree of neurons expressing PAR(2) in retrogradely labeled trigeminal ganglion neurons. Furthermore, PAR(2) immunoreactivity was observed in the lining layer of the TMJ, co-localizing with the neuronal marker PGP9.5 and substance-P-containing peripheral sensory nerve fibers. The intra-articular injection of PAR(2) agonists into the TMJ triggered a dose-dependent increase in plasma extravasation, neutrophil influx, and induction of mechanical allodynia. The pharmacological blockade of natural killer 1 (NK(1)) receptors abolished PAR(2)-induced plasma extravasation and inhibited neutrophil influx and mechanical allodynia. We conclude that PAR(2) activation is proinflammatory in the TMJ, through a neurogenic mechanism involving NK(1) receptors. This suggests that PAR(2) is an important component of innate neuro-immune response in the rat TMJ.

Disruption of the 2-methylcitric acid cycle and evaluation of poly-3-hydroxybutyrate-co-3-hydroxyvalerate biosynthesis suggest alternate catabolic pathways of propionate in Burkholderia sacchari

The objective of the present work was to evaluate the relevance of the 2-methylcitric acid cycle (2MCC) to the catabolism of propionate in Burkholderia sacchari. Two B. sacchari mutants unable to grow on propionate were obtained: one disrupted in acnM, and the other in acnM and prpC deleted. An operative 2MCC significantly reduces the bacterial ability to incorporate 3-hydroxyvalerate (3HV) into a biodegradable copolyester accumulated from carbohydrates plus propionate. The efficiency of the mutants in converting propionate to 3HV units (Y(3HV/prp)) increased from 0.09 g.g(-1) to 0.81-0.96 g.g(-1), indicating that acnM and prpC are both essential for growth on propionate. None of the mutations resulted in achievement of the maximum theoretical Y(3HV/prp) (1.35 g.g(-1)). When increasing concentrations of propionate were supplied, decreasing values of Y(3HV/prp) were observed. The results obtained corroborate the hypothesis of the presence of other propionate catabolic pathways in B. sacchari. The 2MCC would be the more operative pathway, but a second pathway, which remains to be elucidated, would assume more importance under propionate concentrations of 1 g.L(-1) or higher. The efficiency in converting propionate to 3HV units can be improved by decreasing the propionate concentrations, owing to the role of the 2MCC.

Essays on regulation and risk

In this thesis, we investigate some aspects of the interplay between economic regulation and the risk of the regulated firm. In the first chapter, the main goal is to understand the implications a mainstream regulatory model (Laffont and Tirole, 1993) have on the systematic risk of the firm. We generalize the model in order to incorporate aggregate risk, and find that the optimal regulatory contract must be severely constrained in order to reproduce real-world systematic risk levels. We also consider the optimal profit-sharing mechanism, with an endogenous sharing rate, to explore the relationship between contract power and beta. We find results compatible with the available evidence that high-powered regimes impose more risk to the firm. In the second chapter, a joint work with Daniel Lima from the University of California, San Diego (UCSD), we start from the observation that regulated firms are subject to some regulatory practices that potentially affect the symmetry of the distribution of their future profits. If these practices are anticipated by investors in the stock market, the pattern of asymmetry in the empirical distribution of stock returns may differ among regulated and non-regulated companies. We review some recently proposed asymmetry measures that are robust to the empirical regularities of return data and use them to investigate whether there are meaningful differences in the distribution of asymmetry between these two groups of companies. In the third and last chapter, three different approaches to the capital asset pricing model of Kraus and Litzenberger (1976) are tested with recent Brazilian data and estimated using the generalized method of moments (GMM) as a unifying procedure. We find that ex-post stock returns generally exhibit statistically significant coskewness with the market portfolio, and hence are sensitive to squared market returns. However, while the theoretical ground for the preference for skewness is well established and fairly intuitive, we did not find supporting evidence that investors require a premium for supporting this risk factor in Brazil.

Lobectomia por carcinoma brônquico : análise das co-morbidades e o seu impacto na morbi-mortalidade pós-operatória

Objetivo: Analisar o impacto das co-morbidades no desempenho pós-operatório de lobectomia por carcinoma brônquico. Pacientes e Métodos: Entre Janeiro de 1998 e Dezembro de 2004, foram estudados retrospectivamente 493 pacientes submetidos à lobectomia por carcinoma brônquico, dentre os quais 305 preencheram os critérios de inclusão. Todos os pacientes foram submetidos à lobectomias com técnica cirúrgica semelhante. Foi realizada análise das co-morbidades de forma a categorizar os pacientes nas escalas de Torrington-Henderson (PORT) e de Charlson, estabelecendo-se assim grupos de risco para complicações e óbito. Resultados: a mortalidade operatória foi 2,9% e o índice de complicações de 44%. O escape aéreo prolongado foi a complicação mais freqüente (20.6%). A análise univariada mostrou que sexo, idade, tabagismo, terapia neoadjuvante e diabetes apresentaram impacto significativo na incidência de complicações. O índice de massa corporal (23,8 ± 4,4), o VEF1 (74,1±24%), bem como a relação VEF1/CVF (0,65 ± 0,1) foram fatores preditivos da ocorrência de complicações. Ambas as escalas de Charlson e PORT foram eficazes na identificação de grupos de risco e na relação com a morbi-mortalidade (p=0,001 e p<0,001). A análise multivariada identificou que o IMC e o índice de Charlson foram os principais determinantes de complicações, enquanto que o escape aéreo prolongado foi o principal fator envolvido na mortalidade (p=0,01). Conclusão: Valores reduzidos de VEF1, VEF1/CVF e IMC baixo, assim como graus 3-4 de Charlson, e 3 de PORT estão associados a maior número de complicações após lobectomias por carcinoma brônquico. Nesta amostra, o escape aéreo persistente esteve fortemente associado à mortalidade.

Role of the oblique ligament in the integrity of the medial collateral ligament of the canine elbow joint

Foram estudados o arranjo e o diâmetro médio das fibrilas colágenas do ligamento colateral medial da articulação do cotovelo do cão, isolado ou associado ao ligamento oblíquo e tracionado até a ruptura. Dezoito articulações foram divididas em três grupos. O primeiro grupo teve o ligamento colateral medial coletado, mas não tracionado; o segundo grupo teve o ligamento colateral medial tracionado isoladamente; o terceiro grupo teve os ligamentos colateral medial e oblíquo tracionados associadamente. O ligamento colateral medial não submetido ao ensaio de tração apresentou um padrão ondulado das fibras colágenas, o qual não foi totalmente destruído quando foi tracionado, associado ao ligamento oblíquo, e perdeu totalmente o padrão reticular das fibras colágenas quando testado isoladamente. Quando o ligamento colateral medial foi submetido à tensão isoladamente, o diâmetro médio das fibrilas colágenas aumentou em relação ao grupo não submetido à tensão. Associado ao ligamento oblíquo, o diâmetro médio das fibrilas colágenas foi o maior na região de inserção e o menor na região média, em relação aos outros grupos. Concluiu-se que o ligamento oblíquo pode favorecer a integridade da região de inserção do ligamento colateral medial, aumentando a eficácia de sua reconstrução após a lesão.

PAR(2) and Temporomandibular Joint Inflammation in the Rat

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

Comparison of the Accuracy of Plastic and Metal Stock Trays for Implant Impressions

Purpose: This in vitro study evaluated the dimensional accuracy of two impression techniques (tapered and splinted) with two stock trays (plastic and metal) for implant-supported prostheses. Materials and Methods: A master cast with four parallel abutment analogs and a passive framework were fabricated. Polyvinyl siloxane impression material was used for all impressions with two metal stock trays and two plastic stock trays (closed and open trays). Four groups (tapered plastic, splinted plastic, tapered metal, and splinted metal) and a control group (master cast) were tested (n = 5 for each group). After the framework was seated on each of the casts, one abutment screw was tightened, and the marginal gap between the abutment and framework on the other side was measured with a stereomicroscope. The measurements were analyzed with the Kruskal-Wallis one-way analysis of variance on ranks test followed by the Dunn method. Results: The mean values (+/- standard deviations) for the abutment/framework interface gaps were: master cast, 32 +/- 2 mu m; tapered metal, 44 +/- 10 mu m; splinted metal, 69 +/- 28 mu m; tapered plastic, 164 +/- 58 mu m; splinted plastic, 128 +/- 47 mu m. No significant difference was detected between the master cast, tapered metal, and splinted metal groups or between the tapered and splinted plastic groups. Conclusions: In this study, the rigidity of the metal stock tray ensured better results than the plastic stock tray for implant impressions with a high-viscosity impression material (putty). Statistically similar results were obtained using tapered impression copings and splinted squared impression copings. The tapered impression copings technique and splinted squared impression copings technique with a metal stock tray produced precise casts with no statistically significant difference in interface gaps compared to the master cast. INT J ORAL MAXILLOFAC IMPLANTS 2012;27:544-550.

On homoclinic chaos and a control chaos strategy applied to a free-joint nonholonomic manipulator

In this work, the occurrence of chaos (homoclinic scene) is verified in a robotic system with two degrees of freedom by using Poincare-Mel'nikov method. The studied problem was based on experimental results of a two-joint planar manipulator-first joint actuated and the second joint free-that resides in a horizontal plane. This is the simplest model of nonholonomic free-joint manipulators. The purpose of the present study is to verify analytically those results and to suggest a control strategy.

Ruptura do ligamento cruzado em cães: estudo retrospectivo da reconstituição com fascia lata

Trata-se de um estudo retrospectivo de 35 casos de ruptura de ligamento cruzado atendidos pelo Serviço de Cirurgia de Pequenos Animais da FMVZ-UNESP-Campus de Botucatu, no período janeiro de 1991 a junho de 1997. Os cães foram submetidos à técnica de PAATSAMA (1952), modificada para reconstituição do ligamento cruzado, que consistiu na passagem do retalho de fascia lata através da articulação do joelho e fixação no côndilo medial da tíbia e epicôndilo medial do fêmur. Pelos resultados obtidos, concluiu-se que esta técnica permite boa estabilização das superfícies articulares, com trans e pós operatório sem complicações, e permite recuperação completa da capacidade funcional do membro afetado.

Avaliação ultraestrutural do colágeno do ligamento colateral medial associado ao ligamento oblíquo da articulaç ão do cotovelo de cão SRD após ensaio de tração

Ultrastructural evaluation of the collagen of the mongrel dog medial collateral ligament associated to the oblique ligament after strain. The present work aimed to observe the disposition of the collagen fibres of the medial collateral ligament of the elbow joint of the dog, when associated to the oblique ligament. Thus, 18 articulations were used, divided in three groups. A group had the medial collateral ligament collected and not stretched, other group had the collateral medial ligament stretched separately and the other group had both ligaments (medial collateral and oblique) stretched associately. The medial collateral ligament examined by scanning electron microscopy presented a wavy and reticular pattern of the collagen fibres when not submitted to strain, which was not totally destroyed when it was associated to the oblique ligament. When stretched separately, the medial collateral ligament after strain totally loses the reticular pattern, demonstrating the waste of the fibres to resist to the tension.