Price discovery using a regime-sensitive cointegration approach

This work proposes a method to examine variations in the cointegration relation between preferred and common stocks in the Brazilian stock market via Markovian regime switches. It aims on contributing for future works in "pairs trading" and, more specifically, to price discovery, given that, conditional on the state, the system is assumed stationary. This implies there exists a (conditional) moving average representation from which measures of "information share" (IS) could be extracted. For identification purposes, the Markov error correction model is estimated within a Bayesian MCMC framework. Inference and capability of detecting regime changes are shown using a Montecarlo experiment. I also highlight the necessity of modeling financial effects of high frequency data for reliable inference.

A Numerical method for the semilinear stochastic transport equation

Trabalho apresentado no XXXV CNMAC, Natal-RN, 2014.

Computer simulation of the stochastic transport equation

Trabalho apresentado no 37th Conference on Stochastic Processes and their Applications - July 28 - August 01, 2014 -Universidad de Buenos Aires

Method of numerical correction of errors occasioned by delay of records during the monitoring of environmental variables of interest for animal production

As condições de ambiente térmico e aéreo, no interior de instalações para animais, alteram-se durante o dia, devido à influência do ambiente externo. Para que análises estatísticas e geoestatísticas sejam representativas, uma grande quantidade de pontos distribuídos espacialmente na área da instalação deve ser monitorada. Este trabalho propõe que a variação no tempo das variáveis ambientais de interesse para a produção animal, monitoradas no interior de instalações para animais, pode ser modelada com precisão a partir de registros discretos no tempo. O objetivo deste trabalho foi desenvolver um método numérico para corrigir as variações temporais dessas variáveis ambientais, transformando os dados para que tais observações independam do tempo gasto durante a aferição. O método proposto aproximou os valores registrados com retardos de tempo aos esperados no exato momento de interesse, caso os dados fossem medidos simultaneamente neste momento em todos os pontos distribuídos espacialmente. O modelo de correção numérica para variáveis ambientais foi validado para o parâmetro ambiental temperatura do ar, sendo que os valores corrigidos pelo método não diferiram pelo teste Tukey, a 5% de probabilidade dos valores reais registrados por meio de dataloggers.

Acute phase proteins: a potential approach for diagnosing chronic infection by Trypanosoma vivax

O objetivo do presente estudo foi verificar possíveis alterações nas proteínas de fase aguda em ovinos infectados experimentalmente com Trypanosoma vivax. Para tanto, foram utilizados oito ovinos machos, sendo quatro usados como controle e quatro infectados com 10(5) tripomastigotas de T. vivax. Colheram-se amostras de sangue em dois tempos antes da infecção e, posteriormente, aos 5, 7, 9, 11, 13, 15, 20, 30, 45, 60, 75, 90, 105 e 120 dias após a infecção (dpi); após centrifugação e aliquotização das amostras. As proteínas de fase aguda foram separadas por eletroforese em gel de acrilamida, contendo dodecil sulfato de sódio, e suas concentrações foram determinadas através de densitometria computadorizada. A dosagem de proteína total foi realizada pelo método colorimétrico do biureto. A contagem dos tripanossomas foi realizada diariamente, utilizando-se uma alíquota de 5 µL de sangue disperso em lâmina de microscopia, sob lamínula de 22 × 22 mm, contando-se os parasitos em 100 campos microscópicos, com objetiva de 40×, multiplicados pelo fator de correção do microscópio, e o resultado expresso em parasitos por mL de sangue. Para a análise estatística, empregou-se o teste de Wilcoxon a 5% de probabilidade. Foi observada a diminuição de diversas proteínas de fase aguda e aumento de antitripsina e transferrina que podem ser utilizadas para auxiliar no diagnóstico da infecção por T. vivax, principalmente na fase crônica da infecção.

Short-term temporal changes of bare soil CO2 fluxes after tillage described by first-order decay models

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

Time-periodic perturbation of a Lienard equation with an unbounded homoclinic loop

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

On the Generalized Mittag-Leffler Function and its Application in a Fractional Telegraph Equation

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

On anomalous diffusion and the fractional generalized Langevin equation for a harmonic oscillator

The fractional generalized Langevin equation (FGLE) is proposed to discuss the anomalous diffusive behavior of a harmonic oscillator driven by a two-parameter Mittag-Leffler noise. The solution of this FGLE is discussed by means of the Laplace transform methodology and the kernels are presented in terms of the three-parameter Mittag-Leffler functions. Recent results associated with a generalized Langevin equation are recovered.

Evolutionary Changes in the Complexity of the Tectum of Nontetrapods: A Cladistic Approach

Background: The tectum is a structure localized in the roof of the midbrain in vertebrates, and is taken to be highly conserved in evolution. The present article assessed three hypotheses concerning the evolution of lamination and citoarchitecture of the tectum of nontetrapod animals: 1) There is a significant degree of phylogenetic inertia in both traits studied (number of cellular layers and number of cell classes in tectum); 2) Both traits are positively correlated accross evolution after correction for phylogeny; and 3) Different developmental pathways should generate different patterns of lamination and cytoarchitecture.Methodology/Principal Findings: The hypotheses were tested using analytical-computational tools for phylogenetic hypothesis testing. Both traits presented a considerably large phylogenetic signal and were positively associated. However, no difference was found between two clades classified as per the general developmental pathways of their brains.Conclusions/Significance: The evidence amassed points to more variation in the tectum than would be expected by phylogeny in three species from the taxa analysed; this variation is not better explained by differences in the main course of development, as would be predicted by the developmental clade hypothesis. Those findings shed new light on the evolution of an functionally important structure in nontetrapods, the most basal radiations of vertebrates.

About the Use of the HdHr Algorithm Group in Integrating the Movement Equation with Nonlinear Terms

This work summarizes the HdHr group of Hermitian integration algorithms for dynamic structural analysis applications. It proposes a procedure for their use when nonlinear terms are present in the equilibrium equation. The simple pendulum problem is solved as a first example and the numerical results are discussed. Directions to be pursued in future research are also mentioned. Copyright (C) 2009 H.M. Bottura and A. C. Rigitano.

A novel approach based on recurrent neural networks applied to nonlinear systems optimization

This paper presents an efficient approach based on recurrent neural network for solving nonlinear optimization. More specifically, a modified Hopfield network is developed and its internal parameters are computed using the valid subspace technique. These parameters guarantee the convergence of the network to the equilibrium points that represent an optimal feasible solution. The main advantage of the developed network is that it treats optimization and constraint terms in different stages with no interference with each other. Moreover, the proposed approach does not require specification of penalty and weighting parameters for its initialization. A study of the modified Hopfield model is also developed to analyze its stability and convergence. Simulation results are provided to demonstrate the performance of the proposed neural network. (c) 2005 Elsevier B.V. All rights reserved.

Position-dependent effective mass Dirac equations with PT-symmetric and non-PT-symmetric potentials

We present a new procedure to construct the one-dimensional non-Hermitian imaginary potential with a real energy spectrum in the context of the position-dependent effective mass Dirac equation with the vector-coupling scheme in 1 + 1 dimensions. In the first example, we consider a case for which the mass distribution combines linear and inversely linear forms, the Dirac problem with a PT-symmetric potential is mapped into the exactly solvable Schrodinger-like equation problem with the isotonic oscillator by using the local scaling of the wavefunction. In the second example, we take a mass distribution with smooth step shape, the Dirac problem with a non-PT-symmetric imaginary potential is mapped into the exactly solvable Schrodinger-like equation problem with the Rosen-Morse potential. The real relativistic energy levels and corresponding wavefunctions for the bound states are obtained in terms of the supersymmetric quantum mechanics approach and the function analysis method.

Bound states of the Duffin-Kemmer-Petiau equation with a mixed minimal-nonminimal vector cusp potential

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Alumina porous ceramics: mathematical behavior at different commercial starch concentration

Several researches have been developed in order to verify the porosity effect over the ceramic material properties. The starch consolidation casting (SCC) allows to obtain porous ceramics by using starch as a binder and pore forming element. This work is intended to describe the porous mathematical behavior and the mechanical resistance at different commercial starch concentration. Ceramic samples were made with alumina and potato and corn starches. The slips were prepared with 10 to 50 wt% of starch. The specimens were characterized by apparent density measurements and three-point flexural test associated to Weibull statistics. Results indicated that the porosity showed a first-order exponential equation e(-x/c) increasing in both kinds of starches, so it was confirmed that the alumina ceramic porosity is related to the kind of starch used. The mechanical resistance is represented by a logarithmic expression R = A + B/1+10((Log(x0)-P)C).