Modeling and predicting the CBOE market volatility index

This paper performs a thorough statistical examination of the time-series properties of the daily market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies not only on the widespread consensus that the VIX is a barometer of the overall market sentiment as to what concerns investors' risk appetite, but also on the fact that there are many trading strategies that rely on the VIX index for hedging and speculative purposes. Preliminary analysis suggests that the VIX index displays long-range dependence. This is well in line with the strong empirical evidence in the literature supporting long memory in both options-implied and realized variances. We thus resort to both parametric and semiparametric heterogeneous autoregressive (HAR) processes for modeling and forecasting purposes. Our main ndings are as follows. First, we con rm the evidence in the literature that there is a negative relationship between the VIX index and the S&P 500 index return as well as a positive contemporaneous link with the volume of the S&P 500 index. Second, the term spread has a slightly negative long-run impact in the VIX index, when possible multicollinearity and endogeneity are controlled for. Finally, we cannot reject the linearity of the above relationships, neither in sample nor out of sample. As for the latter, we actually show that it is pretty hard to beat the pure HAR process because of the very persistent nature of the VIX index.

Ecological efficiency and thermoeconomic analysis of a cogeneration system at a hospital

This work aims with an approach for cogeneration plants evaluation based on thermoeconomic functional diagram analysis. The second law of thermodynamics is used to develop a methodology to analyse cogeneration systems, based on exergoeconomics evaluation. The thermoeconomic optimisation method developed is applied to allow a better configuration of the cogeneration plant associated to a university hospital. Also ecological efficiency is evaluated. The method was efficient and contributes for thermoeconomics modelling and analysis and can be applied to any sort of thermal system, especially those with combined heat and power in thermal parity. (C) 2012 Elsevier Ltd. All rights reserved.

Determination of jet energy calibration and transverse momentum resolution in CMS

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Performance of tau-lepton reconstruction and identification in CMS

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Sea waves generated by extratropical cyclones in the South Atlantic Ocean: Hindcast and validation against altimeter data

This work presents analyses of the atmospheric conditions and the hindcast of the surface wave field when six extratropical cyclones formed and displaced over the South Atlantic Ocean (10degreesN, 60degreesS; 75degreesW, 15degreesE) between April and September 1999. These events caused high sea waves associated with hazardous conditions along the south and southeast coast of Brazil. The meteorological composite fields for these cyclones show a strong near-surface wind velocity (up to 14 m s(-1)) during its mature phase. The sea-state wave hindcast was obtained using a third-generation wave model forced by the 10-m above ground level wind field from the National Centers for Environmental Prediction-National Center for Atmospheric Research reanalysis dataset. Closer to the south and southeast Brazilian coast, the hindcast results showed significant wave heights of up to 5 m in some of the events. The wave hindcast results for the significant wave height were compared against satellite altimeter data at 6 h intervals. The statistical index showed a systematic underestimation of the significant wave height by 0.5 m. The correlation between wave hindcast and altimeter measurements was greater than 90%, showing a good phase reproduction by the wave model.

Toxoplasma gondii: Comparison of a rhoptry-ELISA with IFAT and MAT for antibody detection in sera of experimentally infected pigs

Indirect ELISA and IFAT have been reported to be more sensitive and specific than agglutination tests. However, MAT is cheaper, easier than the others and does not need special equipment. The purpose of this study was to compare an enzyme linked immunosorbent assay using crude rhoptries of Toxoplasma gondii as coating wells (r-ELISA) with indirect fluorescence antibody test (IFAT) and modified agglutination test (MAT) to detect anti-T. gondii antibodies in sera of experimentally infected pigs. Ten mixed breed pigs between 6.5 and 7.5 weeks old were used. All pigs were negative for the presence of T. gondii antibodies by IFAT (titre < 16), r-ELISA (OD < 0.295) and MAT (titre < 16). Animals received 7 × 107 viable tachyzoites of the RH strain by intramuscular (IM) route at day 0. Serum samples were collected at days -6, 0, 7, 14, 21, 28, 35, 42, 50, and 57. IFAT detected anti-T. gondii antibodies earlier than r-ELISA and MAT. The average of antibody levels was higher at day 35 in IFAT (Log10 = 2.9) and in MAT (Log10 = 3.5), and at day 42 in r-ELISA (OD = 0.797). The antibody levels remained high through the 57th day after inoculation in MAT, and there was a decrease tendency in r-ELISA and IFAT. IFAT was used as gold standard and r-ELISA demonstrated a higher prevalence (73.3%), sensitivity (94.3%), negative predictive value (83.3%), and accuracy (95.6%) than MAT. Kappa agreements among tests were calculated, and the best results were shown by r-ELISA × IFAT (κ = 0.88, p < 0.001). Cross-reaction with Sarcocystis miescheriana was investigated in r-ELISA and OD mean was 0.163 ± 0.035 (n = 65). Additionally, none of the animals inoculated with Sarcocystis reacted positively in r-ELISA. Our results indicate that r-ELISA could be a good method for serological detection of T. gondii infection in pigs. © 2005 Elsevier Inc. All rights reserved.

Construction and validation of the brazilian questionário de respostas socialmente habilidosas segundo relato de professores (QRSH-PR)

Behavioral problems in preschool children are one of the most frequent motives for seeking psychological care by parents and caregivers. Instruments are considered necessary, created from a Social Skills Training theoretical-practical perspective, which may systematically assist the identification of social skills and behavioral deficits, helping professionals in the prevention and/or reduction of behavioral problems. The purpose of this study was to test the psychometric validity and reliability of an instrument for evaluation of Socially Skilled Responses, from a teacher's perspective (QRSH-PR For this purpose, 260 preschool children were evaluated, differentiated in subgroups without and without behavioral difficulties, based on the Child Behavior Scale (Escala de Comportamento Infantil/ECI-Professor Studies were conducted for construct, discrimination, concurrent and predictive validity. The Cronbach Alpha was calculated to evaluate internal consistency. The obtained results pointed to positive indicators in reference to construct, discrimination, and predictive validity, and even for good internal consistency, indicating that the items consistently measure the construct of social skills, and differentiated children with and without behavioral problems. The questionnaire is considered to be gauged for evaluation of socially skilled responses from preschool children, and applicable in educational and clinical environments. Copyright 2009 by The Spanish Journal of Psychology.

The climatic rhythm and blooms of cyanobacteria in a tropical reservoir in São Paulo, Brazil

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

Complexation between darunavir ethanolate and beta cyclodextrin: experimental and theoretical studies

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

Comparison of predicted and experimental DSC curves for vegetable oils

We compare experimental and predicted differential scanning calorimetry (DSC) curves for palm oil (PO), peanut oil (PeO) and grapeseed oil (GO). The predicted curves are computed from the solid-liquid equilibrium modelling and direct minimization of the Gibbs free energy. For PO, the lower the scan rate, the better the agreement. The temperature transitions of PeO and GO were predicted with an average deviation of -0.72 degrees C and -1.29 degrees C respectively, in relation to experimental data from literature. However, the predicted curves showed other peaks not reported experimentally, as computed DSC curves correspond to equilibrium hypothesis which is reached experimentally for an infinitely small scan rate. The results revealed that predicted transitions temperatures using equilibrium hypotheses can be useful in pre-experimental evaluation of vegetable oils formulations seeking for desired melting profiles. (C) 2012 Elsevier B.V. All rights reserved.

A contribution for developing more efficient dynamic modelling algorithms of parallel robots

Parallel kinematic structures are considered very adequate architectures for positioning and orienti ng the tools of robotic mechanisms. However, developing dynamic models for this kind of systems is sometimes a difficult task. In fact, the direct application of traditional methods of robotics, for modelling and analysing such systems, usually does not lead to efficient and systematic algorithms. This work addre sses this issue: to present a modular approach to generate the dynamic model and through some convenient modifications, how we can make these methods more applicable to parallel structures as well. Kane’s formulati on to obtain the dynamic equations is shown to be one of the easiest ways to deal with redundant coordinates and kinematic constraints, so that a suitable c hoice of a set of coordinates allows the remaining of the modelling procedure to be computer aided. The advantages of this approach are discussed in the modelling of a 3-dof parallel asymmetric mechanisms.

On the lifecycle of aerosol particles : Sources and dispersion over Scandinavia

Aerosol particles are likely important contributors to our future climate. Further, during recent years, effects on human health arising from emissions of particulate material have gained increasing attention. In order to quantify the effect of aerosols on both climate and human health we need to better quantify the interplay between sources and sinks of aerosol particle number and mass on large spatial scales. So far long-term, regional observations of aerosol properties have been scarce, but argued necessary in order to bring the knowledge of regional and global distribution of aerosols further. In this context, regional studies of aerosol properties and aerosol dynamics are truly important areas of investigation. This thesis is devoted to investigations of aerosol number size distribution observations performed through the course of one year encompassing observational data from five stations covering an area from southern parts of Sweden up to northern parts of Finland. This thesis tries to give a description of aerosol size distribution dynamics from both a quantitative and qualitative point of view. The thesis focuses on properties and changes in aerosol size distribution as a function of location, season, source area, transport pathways and links to various meteorological conditions. The investigations performed in this thesis show that although the basic behaviour of the aerosol number size distribution in terms of seasonal and diurnal characteristics is similar at all stations in the measurement network, the aerosol over the Nordic countries is characterised by a typically sharp gradient in aerosol number and mass. This gradient is argued to derive from geographical locations of the stations in relation to the dominant sources and transport pathways. It is clear that the source area significantly determine the aerosol size distribution properties, but it is obvious that transport condition in terms of frequency of precipitation and cloudiness in some cases even more strongly control the evolution of the number size distribution. Aerosol dynamic processes under clear sky transport are however likewise argued to be highly important. Southerly transport of marine air and northerly transport of air from continental sources is studied in detail under clear sky conditions by performing a pseudo-Lagrangian box model evaluation of the two type cases. Results from both modelling and observations suggest that nucleation events contribute to integral number increase during southerly transport of comparably clean marine air, while number depletion dominates the evolution of the size distribution during northerly transport. This difference is largely explained by different concentration of pre-existing aerosol surface associated with the two type cases. Mass is found to be accumulated in many of the individual transport cases studied. This mass increase was argued to be controlled by emission of organic compounds from the boreal forest. This puts the boreal forest in a central position for estimates of aerosol forcing on a regional scale.

The impact of different surface parameterizations and vertical resolutions on the simulation of seabreeze episodes at the island of Fuerteventura

[EN] On 8-10 April 2007, several episodes of intense sea-breeze fronts were registered at the island of Fuerteventura (Canary Islands). The sea-breeze circulation was primary driven by daytime heating contrasts between land and the Atlantic Ocean during a period of weak trade winds. Numerical simulations of these events were carried out using the 3.1.1 version of the Weather Research and Forecasting (WRF) Model. Two different domains with 6.6-km and 2.2-km horizontal grid spacing and two sets with 27 and 51 vertical sigma levels were defined. The simulation was performed using two-way interactive nesting between the first and the second domain, using different land surface model parameterizations (Thermal diffusion, Noah LSM and RUC) for comparison. Initial conditions were provided by the NCAR Dataset analysis from April 2007, which were improved using surface and upper-air observations. The poster is focused on the 9 April episode.

Mesh Generation and Isogeometric Analysis

[EN]We present advances of the meccano method [1,2] for tetrahedral mesh generation and volumetric parameterization of solids. The method combines several former procedures: a mapping from the meccano boundary to the solid surface, a 3-D local refinement algorithm and a simultaneous mesh untangling and smoothing. The key of the method lies in defining a one-to-one volumetric transformation between the parametric and physical domains. Results with adaptive finite elements will be shown for several engineering problems. In addition, the application of the method to T-spline modelling and isogeometric analysis [3,4] of complex geometries will be introduced…