Comportamento de pares de ações no mercado brasileiro sob a ótica da cointegração, para preços intra-diários

Esta dissertação estuda o movimento do mercado acionário brasileiro com o objetivo de testar a trajetória de preços de pares de ações, aplicada à estratégia de pair trading. Os ativos estudados compreendem as ações que compõem o Ibovespa e a seleção dos pares é feita de forma unicamente estatística através da característica de cointegração entre ativos, sem análise fundamentalista na escolha. A teoria aqui aplicada trata do movimento similar de preços de pares de ações que evoluem de forma a retornar para o equilíbrio. Esta evolução é medida pela diferença instantânea dos preços comparada à média histórica. A estratégia apresenta resultados positivos quando a reversão à média se efetiva, num intervalo de tempo pré-determinado. Os dados utilizados englobam os anos de 2006 a 2010, com preços intra-diários para as ações do Ibovespa. As ferramentas utilizadas para seleção dos pares e simulação de operação no mercado foram MATLAB (seleção) e Streambase (operação). A seleção foi feita através do Teste de Dickey-Fuller aumentado aplicado no MATLAB para verificar a existência da raiz unitária dos resíduos da combinação linear entre os preços das ações que compõem cada par. A operação foi feita através de back-testing com os dados intra-diários mencionados. Dentro do intervalo testado, a estratégia mostrou-se rentável para os anos de 2006, 2007 e 2010 (com retornos acima da Selic). Os parâmetros calibrados para o primeiro mês de 2006 puderam ser aplicados com sucesso para o restante do intervalo (retorno de Selic + 5,8% no ano de 2006), para 2007, onde o retorno foi bastante próximo da Selic e para 2010, com retorno de Selic + 10,8%. Nos anos de maior volatilidade (2008 e 2009), os testes com os mesmos parâmetros de 2006 apresentaram perdas, mostrando que a estratégia é fortemente impactada pela volatilidade dos retornos dos preços das ações. Este comportamento sugere que, numa operação real, os parâmetros devem ser calibrados periodicamente, com o objetivo de adaptá-los aos cenários mais voláteis.

Susceptibility of mosquito vectors to Dirofilaria immitis on Madeira Island, Portugal

Dirofilaria immitis (Leidy, 1856), an agent of heartworm disease, is an important parasite from both the veterinary standpoint and as a model to study human filariasis. It is a mosquito-borne filarial nematode which inhabits the right ventricle and pulmonary arteries of dogs. D. immitis is an important disease agent on Madeira Island with about 30% of dogs testing positive for this worm. Nevertheless, the vectors of this parasite in Madeira have never been studied, nor has the interaction between pathogen and vector, or the environmental variables that might influence heartworm transmission. Innate susceptibility to infection is only one component of vector competence, and field isolation of naturally infected mosquitoes has shown the capability of D. immitis to exploit a great diversity of vector species under natural conditions. The purpose of this work was to determine which mosquitoes are vectors of heartworm disease, the relation between population density and environment, and the association between immune response of the vector to the filarial parasite. Seasonal abundance of Culex theileri and Culex pipiens molestus was studied. Correlation and canonical correspondence analysis were performed using abundance data of these two species with selected weather variables, including mean temperature, relative humidity and accumulated precipitation. The most important factor determining Cx. theileri abundance was accumulated precipitation, while Cx. pipiens molestus abundance did not have any relationship with weather variables. Field studies were performed to verify whether Cx. theileri Theobald functions as a natural vector of D. immitis on Madeira Island, Portugal. Cx. theileri tested positive for D. immitis for the first time. The same study was made regarding Cx. p. molestus. Two abnormal L2 stage filarial worms were found in Malpighian tubules in field caught Cx. p. molestus. In the laboratory, two strains of Cx. p. molestus were studied for their susceptibility to D. immitis. None presented infective-stage larvae. Finally, because Cx. p. molestus is an autogenous mosquito, we evaluated the reproductive costs when this mosquito mounts an immune response against D. immitis in the absence of a blood meal. This mosquito showed an active immune response when inoculated intrathoracically with microfilariae (mf) of the heartworm. The ovaries from mosquitoes undergoing melanotic encapsulation developed more eggs than those which could not melanize the mf. This fact is contradictory with some previous studies of reproductive costs in Armigeres subalbatus and Ochlerotatus trivittatus, and it was the first time that an autogenous mosquito was used to study this subject.

Retrospective study of thoracolumbar ventral fenestration through intercostal thoracotomy and paracostal laparotomy in the dog

Foram analisados os resultados da fenestração ventral dos discos toracolombares em 29 cães agrupados segundo a raça, sexo, peso, idade, graus de déficits neurológicos, duração dos sinais, discos intervertebrais envolvidos, tempo para recuperação e porcentagem de sucesso. A raça Dachshund representou 55,18% (n = 16), cães sem raça definida, 13,8% (n = 4), Poodle e Basset Hound e Cocker Spaniel Inglês 6,89% cada (n = 6), e Pastor Alemão, Beagle e Pinscher, 3,45% cada (n = 3), sendo 51,72%, machos e 48,28%, fêmeas, com idade média de 68,03 meses. O grau de déficits neurológicos correspondeu a: 13,8% dos cães pertencentes ao GI (dor), 41,8% ao GII (paresia), 27,6% ao GIII (paraplegia com dor profunda presente) e 17,2% ao GIV (paraplegia com dor profunda ausente). Os sinais clínicos variaram em duração entre 2 e 60 dias, correspondendo às médias de 18,5 (GI), 12,3 (GII), 8,28 (GIII) e 4,2 dias (GIV). A porcentagem de discos intervertebrais acometidos foi: T10/11 (10,81%), T11/12 (24,33%), T12/13 (40,55%), T13/L1 (16,21%) e L1/2, L2/3 e L3/4, 2,7% cada. O tempo médio de recuperação, em dias, foi: 16 (GI), 19,1 (GII), 20,6 (GIII) e 30,6 (GIV), onde 100% dos animais dos grupos I, II e III recuperaram ambas as funções neurológicas e motoras. O grupo IV apresentou 80% de sucesso. Conclui-se que a fenestração ventral produz excelentes resultados pós-operatórios desde que bem selecionados os casos.

Weak phenotypic reversion of ivermectin resistance in a field resistant isolate of Haemonchus contortus by verapamil

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

Venous tone and cardiac function in the South American rattlesnake Crotalus durissus: mean circulatory filling pressure during adrenergic stimulation in anaesthetised and fully recovered animals

The effects of adrenergic stimulation on mean circulatory filling pressure (MCFP), central venous pressure (P-CV) and stroke volume (Vs), as well as the effects of altered MCFP through changes of blood volume were investigated in rattlesnakes (Crotalus durissus). MCFP is an estimate of the upstream pressure driving blood towards the heart and is determined by blood volume and the activity of the smooth muscle cells in the veins (venous tone). MCFP can be determined as the plateau in P-CV during a total occlusion of blood flow from the heart.Vs decreased significantly when MCFP was lowered by reducing blood volume in anaesthetised snakes, whereas increased MCFP through infusion of blood (up to 3 ml kg(-1)) only led to a small rise in Vs. Thus, it seems that end-diastolic volume is not affected by an elevated MCFP in rattlesnakes. To investigate adrenergic regulation on venous tone, adrenaline as well as phenylephrine and isoproterenol (alpha- and beta-adrenergic agonists, respectively) were infused as bolus injections (2 and 10 mu g kg(-1)). Adrenaline and phenylephrine caused large increases in MCFP and P-CV, whereas isoproterenol decreased both parameters. This was also the case in fully recovered snakes. Therefore, adrenaline affects venous tone through both alpha- and beta-adrenergic receptors, but the alpha-adrenergic receptor dominates at the dosages used in the present study. Injection of the nitric oxide donor SNP caused a significant decrease in P-CV and MCFP. Thus, nitric oxide seems to affect venous tone.

The wavelet method as an alternative for reducing ionospheric effects from single-frequency GPS receivers

The ionospheric effect is one of the major errors in GPS data processing over long baselines. As a dispersive medium, it is possible to compute its influence on the GPS signal with the ionosphere-free linear combination of L1 and L2 observables, requiring dual-frequency receivers. In the case of single-frequency receivers, ionospheric effects are either neglected or reduced by using a model. In this paper, an alternative for single-frequency users is proposed. It involves multiresolution analysis (MRA) using a wavelet analysis of the double-difference observations to remove the short- and medium-scale ionosphere variations and disturbances, as well as some minor tropospheric effects. Experiments were carried out over three baseline lengths from 50 to 450 km, and the results provided by the proposed method were better than those from dual-frequency receivers. The horizontal root mean square was of about 0.28 m (1 sigma).

A ferramenta VoiceThread em uma abordagem hibrida: o desenvolvimento da produção oral e da habilidade de noticing na aprendizagem de inglês como L2

VoiceThread (VT) is a collaborative and asynchronous web 2.0 tool, which permits the creation of oral presentations with the help of images, documents, texts and voice, allowing groups of people to browse and contribute with comments using several options: voice (microphone or cell phone), text and audio-file or video (webcam) (BOTTENTUIT JUNIOR, LISBÔA E COUTINHO, 2009). The hybrid experience with VoiceThread allows learners to plan their speech before recording it, without the pressure often existent in the classroom. Furthermore, the presentations can be recorded several times, enabling students to listen to them, notice the gaps in their oral production (noticing) and edit innumerous times before publishing them online. In this perspective, oral production is seen as a process of L2 acquisition, not only as practice of already existent knowledge, because it can stimulate the learner to process the language syntactically (SWAIN, 1985; 1995). In this context, this study aims to verify if there is a relation between the oral production of the learners more specifically the grammatical accuracy and the global oral grade and their noticing capacity, how the systematic practice with VoiceThread, in a hybrid approach, can impact the learners global oral development, their oral production in terms of fluency (number of words per minute), accuracy (number of errors in hundred words), and complexity (number of dependent clauses per minute), and on their noticing capacity (SCHMIDT, 1990; 1995; 2001), that is, the learner s capacity of noticing the gaps existent in their oral production. In order to answer these research questions, 49 L2 learners of English were divided into an experimental group (25 students) and a control group (24 students). The experimental group was exposed to the hybrid approach with VT during two months and, through a pre- and post-test, we verified if this systematic practice would positively influence these participants oral production and noticing capacity. These results were compared to the pre- and post-test scores from the control group, which was not exposed to VT. Finally, learners impressions in relation to the use of this tool were also sought through a questionnaire applied after the post-test. The results indicate that there is a statistically significant correlation between the learners speech production (accuracy and global oral grade) and their noticing capacity. Besides, it was verified a positive impact of VoiceThread on the learners speech production variables and on their noticing capacity. They also reveal a positive reaction by the learners in relation to the hybrid experience with this web tool

Mean motion resonances and the stability of a circumbinary disk in a triple stellar system

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Economic-statistical design of the (X)over-bar chart used to control a wandering process mean using genetic algorithm

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Control charts for monitoring the mean vector and the covariance matrix of bivariate processes

In this article, we propose new control charts for monitoring the mean vector and the covariance matrix of bivariate processes. The traditional tools used for this purpose are the T (2) and the |S| charts. However, these charts have two drawbacks: (1) the T (2) and the |S| statistics are not easy to compute, and (2) after a signal, they do not distinguish the variable affected by the assignable cause. As an alternative to (1), we propose the MVMAX chart, which only requires the computation of sample means and sample variances. As an alternative to (2), we propose the joint use of two charts based on the non-central chi-square statistic (NCS statistic), named as the NCS charts. Once the NCS charts signal, the user can immediately identify the out-of-control variable. In general, the synthetic MVMAX chart is faster than the NCS charts and the joint T (2) and |S| charts in signaling processes disturbances.

Reversion to virulence evaluation of a 9R vaccine strain of Salmonella enterica serovar gallinarum in commercial brown layers

The live vaccine Cevac S. Gallinarum, made from a rough strain of Salmonella enterica subspecies enterica serotype Gallinarum is used for preventing fowl typhoid, a disease that still causes considerable economic losses in countries with a developing poultry industry. The objective of this paper was to evaluate a possible reversion to virulence of the strain used in a vaccine in commercial brown layers. Only Salmonella-free chicks were utilized. One hundred twenty (120) 12-day-old Dekalb brown layers divided in two trials were used. The first trial had six groups of 15 birds each. Birds of group 1 were vaccinated with 10 doses of Cevac S. Gallinarum subcutaneously and 10 doses orally, in a total of 20 doses of vaccine. Then the birds of groups 2, 3, 4, and 5 received inocula that contained feces and a pool of organs with fragments of liver, heart, spleen, and cecal tonsils obtained from the immediately previous group. The second trial had three groups with 10 birds each. Birds in group 7 received inocula containing a pool of organs from birds of group 5 from trial 1, whilst the birds in group 8 were vaccinated subcutaneously with one dose of vaccine. Both trials included negative control groups (6 and 9). Throughout the experimental period, birds were monitored for reactions to the vaccination on the site of administration, clinical signs, and post-mortem lesions. In each passage, in addition to the birds euthanized to provide the inocula material, two birds from each group were euthanized for assessment of possible lesions, and their organs (liver, heart, spleen and cecal tonsils) were cultured in an attempt to isolate the vaccine strain. Except for one bird from group 1, that had a local reaction on the site of vaccination - a small vesicle with less that 0.5 mm that persisted until the third day post vaccination -, no other bird had any local reaction to the vaccine or any visible clinical alteration. Birds in group 8 did not present any reaction or clinical alteration because of the vaccine. We only managed to re-isolate the vaccine strain in the inocula made from organs of birds in group 1. We confirmed the isolation by means of biochemical tests, serology, and acriflavine agglutination test. All other cultures made from organs or feces, from all the other experimental groups did not show any growth of the vaccine strain or any other Salmonella serovar, suggesting that the vaccinated birds did not shed the SG9R vaccine strain. No bird presented any clinical symptoms or died during the trials, and no gross lesions were observed in the post-mortem examinations. Under the controlled conditions and time-frame of the present experiment, it was possible to conclude that the rough 9R strain of Salmonella Gallinarum present in the vaccine Cevac S. Gallinarum (Ceva Campinas Ltda. - Campinas, SP - Brazil) did not revert to virulence.

Analysis of the electrical conductivity in milking fractions as a mean for detecting and characterizing mastitis in goats

The aim of the work was to study the effect of milking fraction on electrical conductivity of milk (EC) to improve its use in dairy goat mastitis detection using automatic EC measurements during milking. The experiment was carried out on a group of 84 Murciano-Granadina goats (28 primiparous and 56 multiparous). Goats were in the fourth month of lactation. A linear mixed model was used to analyse the relationship between EC or somatic cell count (SCC) of gland milk and parity, mammary gland health status, analysed fraction (first 100 mL=F-1; machine milk=F-2; and stripping milk=F-3) and their first order interactions. Additionally, the mastitis detection characteristics (sensitivity, specificity, positive predictive value and negative predictive value) of SCC and EC were studied at different thresholds.All factors considered were significant for EC and SCC. EC decreased significantly as milking progressed (from F-1 to F-3) in both healthy and infected glands. EC was not significantly different between healthy and infected glands in F-1 and F-2 fractions, but EC of healthy glands (5.01 mS/cm) was significantly lower than in infected glands (5.03 mS/cm) at F-3.Mastitis detection characteristics of EC did not differ amongst studied fractions. The small significant difference of EC between healthy and infected glands obtained in F-3 fraction did not yield better sensitivity results compared to F-1 and F-2. The best EC mastitis detection characteristics were obtained at 5.20 mS/cm threshold (sensitivity of 70% and specificity of 50%). The best SCC mastitis detection characteristics were obtained at 300,000 cells/mL threshold and F-3 fraction (sensitivity of 85% and specificity of 65%).It was concluded that mastitis detection characteristics of EC were similar in the three milking fractions analysed, being slightly better for SCC in F-3 fraction. As shown in previous studies, there are no factors other than the mammary gland health status that affect milk EC and should be considered in the algorithms for mastitis detection to improve the results. (C) 2012 Elsevier B.V. All rights reserved.

Vasopressin and angiotensin receptors of the medial septal area in the control of mean arterial pressure induced by vasopressin

Introduction. Brain arginine(8)-vasopressin (AVP), through the V-1a- and V-2-receptors, is essential for the maintenance of mean arterial pressure (MAP). Central AVP interacts with the components of the renin-angiotensin system, which participate in MAP regulation. This study all to determine the effects of V-1a-, V-2- and V-1a/V-2-AVP selective antagonists and AT(1)- and AT(2)-angiotensin II (Ang II) selective antagonists on the MAP induced by AVP injected into the medial septal area (MSA) of the brain.Materials and methods. Male Holtzman rats with stainless steel cannulae implanted into the MSA were used in experiments. Direct MAP was recorded in Conscious rats.Results. AVP administration into the MSA caused a prompt and potent pressor response in a dose-dependent fashion. Pretreatment with the V-1a- and V-2-antagonists reduced, whereas prior injection of the V-1a/V-2-antagonist induced a decrease in the MAP that remained below the baseline. Both AT(1)- and AT(2)-antagonists elicited a decrease, While simultaneous injections of two antagonists were more effective in decreasing the MAP induced AVP.Conclusion. These results indicate there is a synergism bell the V-1a- and V-2-AVP, and AT(1)- AT, and AT(2)-Ang II receptors in the MSA in the regulation of MAP.