Análise comparativa e teste empírico da validade dos modelos CAPM tradicional e condicional: o caso das ações da Petrobrás

ALVES, Janaína da Silva. Análise comparativa e teste empírico da validade dos modelos CAPM tradicional e condicional: o caso das ações da Petrobrás. Revista Ciências Administrativas, Fotaleza, v. 13, n. 1, p.147-157, ago. 2007.

Previsão do índice bovespa por meio de redes neurais artificiais: uma análise comparada aos métodos tradicionais de séries de tempo

Forecast is the basis for making strategic, tactical and operational business decisions. In financial economics, several techniques have been used to predict the behavior of assets over the past decades.Thus, there are several methods to assist in the task of time series forecasting, however, conventional modeling techniques such as statistical models and those based on theoretical mathematical models have produced unsatisfactory predictions, increasing the number of studies in more advanced methods of prediction. Among these, the Artificial Neural Networks (ANN) are a relatively new and promising method for predicting business that shows a technique that has caused much interest in the financial environment and has been used successfully in a wide variety of financial modeling systems applications, in many cases proving its superiority over the statistical models ARIMA-GARCH. In this context, this study aimed to examine whether the ANNs are a more appropriate method for predicting the behavior of Indices in Capital Markets than the traditional methods of time series analysis. For this purpose we developed an quantitative study, from financial economic indices, and developed two models of RNA-type feedfoward supervised learning, whose structures consisted of 20 data in the input layer, 90 neurons in one hidden layer and one given as the output layer (Ibovespa). These models used backpropagation, an input activation function based on the tangent sigmoid and a linear output function. Since the aim of analyzing the adherence of the Method of Artificial Neural Networks to carry out predictions of the Ibovespa, we chose to perform this analysis by comparing results between this and Time Series Predictive Model GARCH, developing a GARCH model (1.1).Once applied both methods (ANN and GARCH) we conducted the results' analysis by comparing the results of the forecast with the historical data and by studying the forecast errors by the MSE, RMSE, MAE, Standard Deviation, the Theil's U and forecasting encompassing tests. It was found that the models developed by means of ANNs had lower MSE, RMSE and MAE than the GARCH (1,1) model and Theil U test indicated that the three models have smaller errors than those of a naïve forecast. Although the ANN based on returns have lower precision indicator values than those of ANN based on prices, the forecast encompassing test rejected the hypothesis that this model is better than that, indicating that the ANN models have a similar level of accuracy . It was concluded that for the data series studied the ANN models show a more appropriate Ibovespa forecasting than the traditional models of time series, represented by the GARCH model

Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

Avaliação de metodologia de preparo de amostra de petróleo por digestão ácida auxiliada por microondas para determinação de metais por ICP-OES

This project describes a methodology optimization that would allow for a more efficient microwave assisted digestion process for petroleum samples. With the possible chance to vary various factors at once to see if any one factor was significant enough in the answers, experimental planning was used. Microwave assisted digestion allows, through the application of potency, an increasing number of collisions between the HNO3 and H2O2 molecules, favoring sample opening for complex matrixes. For this, a 24 factorial experimental planning was used, varying potency, time and the volumes for HNO3 65% and H2O2 30%. To achieve the desired answers, several elements were monitored (C, Cu, Cr, Fe, Ni, Zn and V) through Inductively coupled plasma atomic emission spectroscopy (ICP-OES). With this initial study it was noticed that the HNO3 was not a significant factor for any of the statistical studies for any of the analytes and the other 3 factors and their interactions showed statistical significance. A Box Behnken experimental planning was used taking in consideration 3 factors: H2O2 volume, time (min) and Potency (W), Nitric Acid kept at 4mL for a mass of 0,1g of petroleum. The results were extremely satisfying showing higher efficiency in the digestion process and taking in a responsibility between the answers for each analyte and the carbon monitoring was achieved in the following conditions: 7mL of H2O2, 700 Watts of potency and a reaction time of 7 minutes with 4mL de HNO3 for a mass of 0,1g of petroleum. The optimized digestion process was applied to four different petroleum samples and the analytes determined by ICP-OES

Marcadores nutricionais e inflamatórios e sua associação com a morbimortalidade em hemodiálise

Background: Malnutrition, inflammation and comorbidities are frequent in patients with chronic renal failure in hemodialysis (HD), contributing for morbidity and mortality. Aims: To evaluate the correlation between anthropometric, laboratory parameters, bioelectrical impedance (BIA) and inflammatory markers with the morbidity and mortality of patients in HD, as well as the impact of its alterations throughout 12 months. Methods: 143 patients of a dialysis facility in Northeast Brazil were evaluated throughout 18 months. Patients with more than 3 months on dialysis, older than 18 years, without amputation of hands and feet, were included in the study. We performed a clinical (subjective global assessment - SGA), anthropometric (BMI, percent of ideal weight, MAC, MAMC, MAMA, percent of fat mass and TSF), laboratory (albumin, creatinine, lymphocyte count as nutritional markers and CRP, IL-6 and TNF- as inflammatory markers) evaluation and BIA (reactance, phase angle and percent of body cell mass) at the beginning of study and after 3, 6 and 12 months of follow-up. The association between study variables and deaths and hospitalizations in 6 and 12 months was investigated. The variable with significance < 10% in the univariate analysis had been enclosed in a multivariate logistic regression analysis. We also investigated the risk of mortality and hospitalization associated with differences in measurements of the variables at baseline and six months later. Results: Patients were aged 52.2 ± 16.6 years on the average, 58% were male, and mean dialysis vintage was 5.27 ± 5.12 years. The prevalence of malnutrition varied from 7.7-63.6%, according to the nutritional marker. The variables associated with morbidity and mortality in 6 and 12 months had been creatinine ≤ 9.45 mg/dl, phase angle ≤ 4.57 degrees, BMI ≤ 23 kg/m2, age ≤ 64.9 years, reactance ≤ 51.7 ohms; Charlson´s index ≥ 4 and socioeconomic status ≤ 7. During six months of follow up, decrease in albumin was associated with significantly higher mortality risk. Conclusions: This study detected that the best predictors of morbidity and mortality between nutritional and inflammatory markers are phase angle, reactance, creatinine and BMI and that changes in albumin values over six 107 months provide additional prognostic information. The authors believe that parameters of BIA may detect early changes in nutritional status and emphasize that longitudinal studies with larger number of patients are necessary to confirm these data and to recommend BIA as a routine nutritional evaluation in HD patients

Efeitos do exercício físico aeróbio na modulação autonomica da frequência cardíaca de mulheres com sindrome dos ovários policisticos

Conselho Nacional de Desenvolvimento Científico e Tecnológico

Efeito do trinexapac-ethyl na anatomia foliar de quatro espécies de grama

Os reguladores de crescimento podem retardar o desenvolvimento vegetativo das plantas de gramas e, assim, reduzir a frequência de cortes; contudo, existem poucas informações referentes aos efeitos desses produtos sobre as estruturas da anatomia foliar. Dessa forma, o presente trabalho teve por objetivo avaliar os efeitos da aplicação sequencial de duas doses de trinexapac-ethyl sobre a anatomia foliar das espécies de gramas São Carlos (Axonopus compressus), Batatais (Paspalum notatum), Santo Agostinho (Stenotaphrum secundatum) e Esmeralda (Zoysia japonica). Os tratamentos utilizados foram constituídos de duas aplicações sequenciais de trinexapac-ethyl nas doses de 56,5+56,5 e 113,0+113,0 g ha-1; além de uma testemunha sem aplicação, para cada espécie avaliada. Os gramados foram cortados à altura de 3 cm, com auxílio de um aparador de grama motorizado, e, em seguida, foram realizadas as aplicações dos tratamentos. Após 20 dias da primeira aplicação de trinexapac-ethyl, as parcelas foram novamente aparadas à altura de 3 cm e foi realizada a segunda aplicação dos tratamentos. O delineamento experimental utilizado foi o de blocos ao acaso, com quatro repetições. Aos 70 dias após a segunda aplicação dos tratamentos, foram realizadas as amostragens do material foliar, para as quatro espécies estudadas. Os dados das variáveis quantitativas foram submetidos ao teste estatístico multivariado de análise de componentes principais. Os resultados evidenciaram a formação de três e dois grupos principais, para os caracteres da região da quilha (nervura mediana) e da região da asa (situada entre a nervura mediana e a margem do limbo foliar), respectivamente. de modo geral, em cada formação dos agrupamentos, os tratamentos com trinexapac-ethyl apresentaram maior similaridade entre si, em relação às respectivas testemunhas. Conclui-se que a aplicação sequencial de trinexapac-ethyl alterou algumas estruturas anatômicas da região da quilha e da asa do limbo foliar das espécies de gramas estudadas.

Seleção de progênies de meios-irmãos do composto Isanão VF-1 de milho na safra e safrinha

O aumento significativo da produção de milho na segunda safra no Brasil, principalmente no centro-sul do país, têm estimulado os programas de melhoramento da cultura a selecionar genótipos que sejam adaptáveis às condições climáticas das diferentes épocas de semeadura. Nesse sentido, o objetivo do presente trabalho foi quantificar a interação progênies x épocas de semeadura e verificar seus reflexos no progresso genético com o uso de índice de seleção multivariado para seleção de progênies do Composto Isanão VF-1 de milho. As semeaduras foram realizadas na segunda safra em 2004 e na primeira safra do ano agrícola 2004/05. Foram utilizadas 71 progênies de meios irmãos avaliadas em blocos ao acaso, com três repetições. Os caracteres avaliados foram: altura de plantas, altura de espigas, tombamento, prolificidade e rendimento de grãos. Realizaram-se a decomposição da interação progênies x épocas e foram estimados os ganhos pelo índice de seleção descrito por Mulamba e Mock. Houve predomínio da interação do tipo simples para maioria dos caracteres, exceto para prolificidade, que revelou 86% de interação do tipo complexa. Pelo índice de Mulamba e Mock, os ganhos proporcionais mais adequados para o conjunto de caracteres avaliados foi obtido pelos pesos econômicos atribuídos por tentativas. Os ganhos preditos foram de 1,41, 0,86, -13,03, 9,54 e 16,12% para altura de planta, altura de espiga, tombamento, prolificidade e rendimento de grãos, respectivamente.

Prevalência de incontinência urinária e fatores associados em idosos institucionalizados

Urinary incontinence (UI) is a geriatric syndrome that is especially prevalent in institutionalized individuals, and that causes economic and social impacts derived from treatment costs and overload of caregiver. UI also entails physical consequences to the health of the elderly, such as urinary tract infections or pressure ulcers, among other health problems. However, the existing national research on this condition is still scarce and comprises serious methodological biases. Therefore, the objective of this study is to determine the prevalence of urinary incontinence and associated factors in institutionalized elderly. A cross-sectional study is presented herein, conducted between October and December, 2013 and carried out in 10 nursing homes in the city of Natal (Northeast Brazil). UI was verified through the program Minimum Data Set version 3.0, which was also used to assess fecal incontinence, urinary devices and UI control programs. Data collection included sociodemographic information, UI characterization, as well as variables related to the institution itself and to health conditions (comorbidities, medication, pelvic floor surgery, Barthel Index for functional capacity and Pfeiffer test for cognitive status). Bivariate analysis was performed using the Chi-Square Test (or Fisher‟s Exact Test) and the Linear Chi-Square Test, calculating the prevalence ratio with 95% confidence interval. Variables with p value under 0.20 were included in the multivariate analysis, which was performed using the Stepwise Forward logistic regression. The inclusion of variables in the final model depended on the likelihood ratio test, absence of multicollinearity and on the Hosmer-Lemeshow test. A statistical significance level of 0.05 was considered. Six (1.8%) hospitalized elderly, one individual in palliative care (0.3%) and one (0.3%) individual under the age of 60 were excluded from the study. The final sample consisted of 321 elderly, mostly females, with a mean age of 81.5 years. The prevalence of UI was 59.43% and the final model revealed statistically a significant association between UI and white race, physical inactivity, stroke, mobility constraints and cognitive decline. The most frequent UI type was functional UI due to physical or cognitive disability, and incontinence control measures were applied only to a minority of residents (approximately 8%). It is concluded that UI is a health issue that affects more than half of the institutionalized elderly, and is associated with white race, physical inactivity, stroke and other geriatric syndromes such as immobility and cognitive disability. Most of these associated factors are modifiable and therefore the findings of this study highlight the importance of UI prevention and treatment in nursing homes, which include general measures, such as physical and psychosocial activities, and specific measures, such as prompted voiding

Padrão de remodelação e função ventricular em ratos expostos à fumaça do cigarro

FUNDAMENTO: A relevância do padrão de remodelação no modelo de ratos expostos à fumaça do cigarro não é conhecida. OBJETIVO: Analisar a presença de diferentes padrões de remodelação nesse modelo e sua relação com a função ventricular. MÉTODOS: Ratos fumantes (n=47) foram divididos de acordo com o padrão de geometria, analisado pelo ecocardiograma: normal (índice de massa normal e espessura relativa normal), remodelação concêntrica (índice de massa normal e espessura relativa aumentada), hipertrofia concêntrica (índice de massa aumentado e espessura relativa aumentada) e hipertrofia excêntrica (índice de massa aumentado e espessura relativa normal). RESULTADOS: Os ratos fumantes apresentaram um dos quatro padrões de geometria: padrão normal, 51%; hipertrofia excêntrica:,32%; hipertrofia concêntrica, 13% e remodelação concêntrica, 4%. Os grupos normal e hipertrofia excêntrica apresentaram menores valores de fração de ejeção e porcentagem de encurtamento que o grupo hipertrofia concêntrica. Treze animais (28%) apresentaram disfunção sistólica, detectada pela fração de ejeção e pela porcentagem de encurtamento. Na análise de regressão univariada, os padrões de geometria e o índice de massa não foram fator de predição de disfunção ventricular (p>0,05). Por outro lado, o aumento da espessura relativa da parede foi fator de predição de disfunção ventricular na análise univariada (p<0,001) e na análise multivariada, após ajuste para o índice de massa (p=0,003). CONCLUSÃO: Ratos expostos à fumaça do cigarro apresentam um dos quatro diferentes padrões de remodelação. Entre as variáveis geométricas analisadas, somente o aumento da espessura relativa da parede do ventrículo esquerdo foi fator de predição de disfunção ventricular nesse modelo.

Frequência de fatores de risco cardiovascular em voluntários participantes de evento de educação em saúde

INTRODUCTION. Cardiovascular diseases (CVD) are the main cause of death in Brazil.OBJECTIVE. To evaluate the frequency of CVD risk factors In a population attending a health education community event.METHODS. Retrospective study that included 428 completed forms with clinical and demographic information of volunteers attending a public event, in May, 2006. Data were expressed by means and standard deviation or proportions and compared by Student's t test or Chi-square test. Associations between Arterial Hypertension (AH), Diabetes Mellitus (DM) and clinical variables were analyzed by multinomial logistic regression. Significance level was p<0.05.RESULTS. Mean age was 57 +/- 14years, and women represented 58% of the total population. The main cardiovascular risk factors were AH (39.5%), DM (15.4%) and dyslipidemia (25.89%). The frequency of unawareness about these risk factors was respectively 8.4%, 17.5% and 33.1%.. Family history of CVD was reported by 41% while only 67% reported having any information about DM or dyslipidemia. Among obese individuals (IMC >= 30 Kg/m2, 27.3% of the population), systolic blood pressure (133 +/- 16mmHg), diastolic blood pressure (84 +/- 11.5mmHg) and casual glycemia (124 +/- 52.5mg/dl) were higher when compared to non-obese (p<0.05). There was a significant association between obesity and dyslipidemia (p=0.04). Age and IMC were independently associated with AH and DM.CONCLUSION. The high frequency of modifiable cardiovascular risk factors in this population suggests the need for educational programs to promote primary prevention, mainly for the elderly and overweight. [Rev Assoc Med Bras 2009; 55(5): 606-10]

O efeito da autocorrelação no desempenho do gráfico T2 de hotelling: caso bivariado

The chart of control of Hotelling T2 has been the main statistical device used in monitoring multivariate processes. Currently the technological development of control systems and automation enabled a high rate of collection of information of the production systems in very short time intervals, causing a dependency between the results of observations. This phenomenon known as auto correlation causes in the statistical control of the multivariate processes a high rate of false alarms, prejudicing in the chart performance. This entails the violation of the assumption of independence and normality of the distribution. In this thesis we considered not only the correlation between two variables, but also the dependence between observations of the same variable, that is, auto correlation. It was studied by simulation, the bi variate case and the effect of auto correlation on the performance of the T2 chart of Hotelling.

Fatores associados ao excesso de peso entre adolescentes de diferentes redes de ensino do município de Presidente Prudente, São Paulo

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Behavioral and biological correlates of medicine use in type 2 diabetic patients attended by Brazilian public healthcare system

A relação entre atividade física e consumo de medicamentos não é clara. Assim, o objetivo do estudo foi investigar a relação entre nível de atividade física e uso de medicamentosem diabéticos tipo 2 atendidos pelo Sistema Único de Saúde. A amostra foi composta por 121 diabéticos do tipo 2 de ambos os sexos atendidos pelos sistema público de saúde. Gordura corporal (antropometria e bioimpedância elétrica), atividade física (Questionário de Baecke) e uso de medicamentos (15 dias prévios a avaliação) foram avaliados. Houve relação entre uso de medicamentos e sexo (r = 0.18; p = 0.045), índice de massa corporal (r = 0.22; p = 0.012), circunferência de cintura (r = 0.19; p = 0.029), percentual de gordura (r = 0.21; p = 0.016), idade (r = 0.23; p = 0.009) e atividade física (r = -0.22; p = 0.012). A regressão linear incluiu no modelo apenas idade (β = 0.718; p = 0.057), IMC BMI (β = 0.057; p = 0.022) e atividade física (β = -0.176; p = 0.044) no modelo multivariado. Conclui-se que a prática de atividade física diminui uso de medicamentos independente da idade e obesidade.

Monitoring the mean vector and the covariance ­matrix of multivariate processes with sample means and sample ranges

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