STABILITY ANALYSIS WITH APPLICATIONS OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM ARISING FROM A STOCHASTIC MODEL FOR AN ASSET MARKET

We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. The construction of the system is grounded upon a heterogeneous interacting agent model for a single risky asset market. An advantage of this construction procedure is that the resulting dynamical system becomes a macroscopic market model which mirrors the market quantities and qualities that would typically be taken into account solely at the microscopic level of modeling. The system`s parameters correspond to: (a) the proportion of speculators in a market; (b) the traders` speculative trend; (c) the degree of heterogeneity of idiosyncratic evaluations of the market agents with respect to the asset`s fundamental value; and (d) the strength of the feedback of the population excess demand on the asset price update increment. This correspondence allows us to employ our results in order to infer plausible causes for the emergence of price and demand fluctuations in a real asset market. The employment of dynamical systems for studying evolution of stochastic models of socio-economic phenomena is quite usual in the area of heterogeneous interacting agent models. However, in the vast majority of the cases present in the literature, these dynamical systems are one-dimensional. Our work is among the few in the area that construct and study analytically a two-dimensional dynamical system and apply it for explanation of socio-economic phenomena.

A Note on Proxy Variables and Instrument Variable Regression

This is a note about proxy variables and instruments for identification of structural parameters in regression models. We have experienced that in the econometric textbooks these two issues are treated separately, although in practice these two concepts are very often combined. Usually, proxy variables are inserted in instrument variable regressions with the motivation they are exogenous. Implicitly meaning they are exogenous in a reduced form model and not in a structural model. Actually if these variables are exogenous they should be redundant in the structural model, e.g. IQ as a proxy for ability. Valid proxies reduce unexplained variation and increases the efficiency of the estimator of the structural parameter of interest. This is especially important in situations when the instrument is weak. With a simple example we demonstrate what is required of a proxy and an instrument when they are combined. It turns out that when a researcher has a valid instrument the requirements on the proxy variable is weaker than if no such instrument exists

Comparative advantage, heterogeneous firms and variable mark-ups

We develop a model of comparative advantage with monopolistic competition, that incorporates heterogeneous firms and endogenous mark-ups. We analyse how these features vary across countries with different factor endowments, and across markets of different size. In this model we can obtain trade gains via two channels. First, when we open the economy, most productive firms start to export their product, then, they demand more producing factors and wages rises, thus, those firms that are less productive will be forced to stop to produce. Second channel is via endogenous mark-ups, when we open the economy, the competition gets ``tougher'', then, mark-ups falls, thus, those firms that are less productive will stop to produce. We also show that comparative advantage works as a ``third channel'' of trade gains, because, all trade gains results are magnified in comparative advantage industry of both countries. We also make a numerical exercise to see how endogenous variables of the model vary when trade costs fall.

Numerical analysis of refrigerant flow along non-adiabatic capillary tubes using a two-fluid model

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

Potential effects of the herbicide Diuron on mammary and urinary bladder two-stage carcinogenesis in a female Swiss mouse model

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

Cold Renal Ischemia: Comparison of Efficacy Between Two Techniques of Cooling, in a Swine Model

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

Limits of validity for a semiclassical mean-field two-fluid model for Bose-Einstein condensation thermodynamics

We reinvestigate the Bose-Einstein condensation (BEC) thermodynamics of a weakly interacting dilute Bose gas under the action of a trap using a semi-classical two-fluid mean-field model in order to find the domain of applicability of the model. Such a model is expected to break down once the condition of diluteness and weak interaction is violated. We find that this breakdown happens for values of coupling and density near the present experimental scenario of BEG. With the increase of the interaction coupling and density the model may lead to unphysical results for thermodynamic observables. (C) 2000 Published by Elsevier B.V. B.V, All rights reserved.

Quantum spin tunneling in a soluble quasi-spin model: an angle-based potential description

We propose an approach which allows one to construct and use a potential function written in terms of an angle variable to describe interacting spin systems. We show how this can be implemented in the Lipkin-Meshkov-Glick, here considered a paradigmatic spin model. It is shown how some features of the energy gap can be interpreted in terms of a spin tunneling. A discrete Wigner function is constructed for a symmetric combination of two states of the model and its time evolution is obtained. The physical information extracted from that function reinforces our description of phase oscillations in a potential. (c) 2004 Elsevier B.V. All rights reserved.

The two-loop massless (lambda/4!)phi(4) model in nontranslational invariant domain

We study the (lambda/4!)phi(4) massless scalar field theory in a four-dimensional Euclidean space, where all but one of the coordinates are unbounded. We are considering Dirichlet boundary conditions in two hyperplanes, breaking the translation invariance of the system. We show how to implement the perturbative renormalization up to two-loop level of the theory. First, analyzing the full two and four-point functions at the one-loop level, we show that the bulk counterterms are sufficient to render the theory finite. Meanwhile, at the two-loop level, we must also introduce surface counterterms in the bare Lagrangian in order to make finite the full two and also four-point Schwinger functions. (c) 2006 American Institute of Physics.

Search for the standard model Higgs boson decaying into two photons in pp collisions at root s=7 TeV

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Superspace evaluation of the two-loop effective potential for the O'Raifeartaigh model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Phase Transition in Dynamical Systems: Defining Classes of Universality for Two-Dimensional Hamiltonian Mappings via Critical Exponents

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A two band model for superconductivity: probing interband pair formation

We propose a two band model for superconductivity. It turns out that the simplest nontrivial case considers solely interband scattering, and both bands can be modeled as symmetric (around the Fermi level) and flat, thus each band is completely characterized by its half-band width Wn (n=1,2). A useful dimensionless parameter is d, proportional to W2 - W1. The case delta = 0 retrieves the conventional BCS model. We probe the specific heat, the ratio gap over critical temperature, the thermodynamic critical field and tunneling conductance as functions of d and temperature (from zero to Tc). We compare our results with experimental results for MgB2 and good quantitative agreement is obtained, indicating the relevance of interband coupling. Work in progress also considers the inclusion of band hybridization and general interband as well as intra-band scattering mechanisms.

Estimation of population profiles of two strains of the fly Megaselia scalaris (Diptera: Phoridae) by bootstrap simulation

A partir de perfis populacionais experimentais de linhagens do díptero forídeo Megaselia scalaris, foi determinado o número mínimo de perfis amostrais que devem ser repetidos, via processo de simulação bootstrap, para se ter uma estimativa confiável do perfil médio populacional e apresentar estimativas do erro-padrão como medida da precisão das simulações realizadas. Os dados originais são provenientes de populações experimentais fundadas com as linhagens SR e R4, com três réplicas cada, e que foram mantidas por 33 semanas pela técnica da transferência seriada em câmara de temperatura constante (25 ± 1,0ºC). A variável usada foi tamanho populacional e o modelo adotado para cada perfíl foi o de um processo estocástico estacionário. Por meio das simulações, os perfis de três populações experimentais foram amplificados, determinando-se, dessa forma, o tamanho mínimo de amostra. Fixado o tamanho de amostra, simulações bootstrap foram realizadas para construção de intervalos de confiança e comparação dos perfis médios populacionais das duas linhagens. Os resultados mostram que com o tamanho de amostra igual a 50 inicia-se o processo de estabilização dos valores médios.