A (semi-)parametric functional coefficient autoregressive conditional duration model

In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymmetries in financial durations. In particular, our functional coefficient autoregressive conditional duration (FC-ACD) model relies on a smooth-transition autoregressive specification. The motivation lies on the fact that the latter yields a universal approximation if one lets the number of regimes grows without bound. After establishing that the sufficient conditions for strict stationarity do not exclude explosive regimes, we address model identifiability as well as the existence, consistency, and asymptotic normality of the quasi-maximum likelihood (QML) estimator for the FC-ACD model with a fixed number of regimes. In addition, we also discuss how to consistently estimate using a sieve approach a semiparametric variant of the FC-ACD model that takes the number of regimes to infinity. An empirical illustration indicates that our functional coefficient model is flexible enough to model IBM price durations.

Portifolio selection with random transaction costs

Transaction costs have a random component in the bid-ask spread. Facing a high bid-ask spread, the consumer has the option to wait for better terms oI' trade, but only by carrying an undesirable portfolio balance. We present the best policy in this case. We pose the control problem and show that the value function is the uni que viscosity solution of the relevant variational inequality. Next, a numerical procedure for the problem is presented.

A Higher order and stable method for the numerical integration of Random Differential Equations

Trabalho apresentado no Congresso Nacional de Matemática Aplicada à Indústria, 18 a 21 de novembro de 2014, Caldas Novas - Goiás

Numerical integration of coupled stochastic oscillators driven by Random Forces

Trabalho apresentado no International Conference on Scientific Computation And Differential Equations 2015

O papel da educação financeira na contratação de crédito em mercados informais

O artigo examina os determinantes para o uso de fontes informais de crédito com uma base de dados com 2.023 observações. São analisados os financiamentos contratados através de amigos/conhecidos, com ou sem a cobrança de juros, e via agiotas. Um logit multinomial é usado para comparar os efeitos da tomada de crédito na informalidade com as famílias que não contrataram nenhum tipo de crédito e com as que utilizaram crédito bancário. Os títulos de capitalização são usados como proxy para identificar aqueles com baixos níveis de educação financeira. Os resultados indicam que além da questão da restrição de crédito, o analfabetismo financeiro desempenha um papel significante na seleção desse tipo de fonte de financiamento.

Undersampled Critical Branching Processes on Small-World and Random Networks Fail to Reproduce the Statistics of Spike Avalanches

The power-law size distributions obtained experimentally for neuronal avalanches are an important evidence of criticality in the brain. This evidence is supported by the fact that a critical branching process exhibits the same exponent t~3=2. Models at criticality have been employed to mimic avalanche propagation and explain the statistics observed experimentally. However, a crucial aspect of neuronal recordings has been almost completely neglected in the models: undersampling. While in a typical multielectrode array hundreds of neurons are recorded, in the same area of neuronal tissue tens of thousands of neurons can be found. Here we investigate the consequences of undersampling in models with three different topologies (two-dimensional, small-world and random network) and three different dynamical regimes (subcritical, critical and supercritical). We found that undersampling modifies avalanche size distributions, extinguishing the power laws observed in critical systems. Distributions from subcritical systems are also modified, but the shape of the undersampled distributions is more similar to that of a fully sampled system. Undersampled supercritical systems can recover the general characteristics of the fully sampled version, provided that enough neurons are measured. Undersampling in two-dimensional and small-world networks leads to similar effects, while the random network is insensitive to sampling density due to the lack of a well-defined neighborhood. We conjecture that neuronal avalanches recorded from local field potentials avoid undersampling effects due to the nature of this signal, but the same does not hold for spike avalanches. We conclude that undersampled branching-process-like models in these topologies fail to reproduce the statistics of spike avalanches.

A confiança interorganizacional nas compras

This research is part of the field of organizational studies, focusing on organizational purchase behavior and, specifically, trust interorganizational at the purchases. This topic is current and relevant by addressing the development of good relations between buyer-supplier that increases the exchange of information, increases the length of relationship, reduces the hierarchical controls and improves performance. Furthermore, although there is a vast literature on trust, the scientific work that deal specifically at the trust interorganizational still need further research to synthesize and validate the variables that generate this phenomenon. In this sense, this investigation is to explain the antecedents of trust interorganizational by the relationship between the variable operational performance, organizational characteristics, shared values and interpersonal relationships on purchases by manufacturing industries, in order to develop a robust literature, most consensual, that includes the current sociological and economic, considering the effect of interpersonal relationships in this phenomenon. This proposal is configured in a new vision of the antecedents of interorganizational trust, described as significant quantitative from models Morgan and Hunt (1994), Doney and Cannon (1997), Zhao and Cavusgil (2006) and Nyaga, Whipple, Lynch (2011), as well as qualitative analysis of Tacconi et al. (2011). With regard to methodological aspects, the study assumes the form of a descriptive, survey type, and causal trace theoretical and empirical. As for his nature, the investigation, explicative character, has developed a quantitative approach with the use of exploratory factor analysis and structural equation modeling SEM, with the use of IBM software SPSS Amos 18.0, using the method of maximum verisimilitude, and supported by technical bootstraping. The unit of analysis was the buyer-supplier relationship, in which the object under investigation was the supplier organization in view of the purchasing company. 237 valid questionnaires were collected among key informants, using a simple random sampling developed in manufacturing industries (SIC 10-33), located in the city of Natal and in the region of Natal. The first results of descriptive analysis demonstrate the phenomenon of interorganizational trust, in which purchasing firms believe, feel secure about the supplier. This demonstration showed high levels of intensity, predominantly among the vendors that supply the company with materials that are used directly in the production process. The exploratory and confirmatory factor analysis, performed on each variable alone, generated a set of observable and unobservable variables more consistent, giving rise to a model, that needed to be further specified. This again specify model consists of trajectories was positive, with a good fit, with a composite reliability and variance extracted satisfactory, and demonstrates convergent and discriminant validity, in which the factor loadings are significant and strong explanatory power. Given the findings that reinforce the model again specify data, suggesting a high probability that this model may be more suited for the study population, the results support the explanation that interorganizational trust depends on purchases directly from interpersonal relationships, sharing value and operating performance and indirectly of personal relationships, social networks, organizational characteristics, physical and relational aspect of performance. It is concluded that this trust can be explained by a set of interactions between these three determinants, where the focus is on interpersonal relationships, with the largest path coefficient for the factor under study

Comparação da análise de diferentes perfis de poços pelo método DFA

The study of complex systems has become a prestigious area of science, although relatively young . Its importance was demonstrated by the diversity of applications that several studies have already provided to various fields such as biology , economics and Climatology . In physics , the approach of complex systems is creating paradigms that influence markedly the new methods , bringing to Statistical Physics problems macroscopic level no longer restricted to classical studies such as those of thermodynamics . The present work aims to make a comparison and verification of statistical data on clusters of profiles Sonic ( DT ) , Gamma Ray ( GR ) , induction ( ILD ) , neutron ( NPHI ) and density ( RHOB ) to be physical measured quantities during exploratory drilling of fundamental importance to locate , identify and characterize oil reservoirs . Software were used : Statistica , Matlab R2006a , Origin 6.1 and Fortran for comparison and verification of the data profiles of oil wells ceded the field Namorado School by ANP ( National Petroleum Agency ) . It was possible to demonstrate the importance of the DFA method and that it proved quite satisfactory in that work, coming to the conclusion that the data H ( Hurst exponent ) produce spatial data with greater congestion . Therefore , we find that it is possible to find spatial pattern using the Hurst coefficient . The profiles of 56 wells have confirmed the existence of spatial patterns of Hurst exponents , ie parameter B. The profile does not directly assessed catalogs verification of geological lithology , but reveals a non-random spatial distribution

Simulação de fluxo de fluidos em meios porosos desordenados uma análise de efeito de escala na estimativa da permeabilidade e do coeficiente de arrasto

The present study provides a methodology that gives a predictive character the computer simulations based on detailed models of the geometry of a porous medium. We using the software FLUENT to investigate the flow of a viscous Newtonian fluid through a random fractal medium which simplifies a two-dimensional disordered porous medium representing a petroleum reservoir. This fractal model is formed by obstacles of various sizes, whose size distribution function follows a power law where exponent is defined as the fractal dimension of fractionation Dff of the model characterizing the process of fragmentation these obstacles. They are randomly disposed in a rectangular channel. The modeling process incorporates modern concepts, scaling laws, to analyze the influence of heterogeneity found in the fields of the porosity and of the permeability in such a way as to characterize the medium in terms of their fractal properties. This procedure allows numerically analyze the measurements of permeability k and the drag coefficient Cd proposed relationships, like power law, for these properties on various modeling schemes. The purpose of this research is to study the variability provided by these heterogeneities where the velocity field and other details of viscous fluid dynamics are obtained by solving numerically the continuity and Navier-Stokes equations at pore level and observe how the fractal dimension of fractionation of the model can affect their hydrodynamic properties. This study were considered two classes of models, models with constant porosity, MPC, and models with varying porosity, MPV. The results have allowed us to find numerical relationship between the permeability, drag coefficient and the fractal dimension of fractionation of the medium. Based on these numerical results we have proposed scaling relations and algebraic expressions involving the relevant parameters of the phenomenon. In this study analytical equations were determined for Dff depending on the geometrical parameters of the models. We also found a relation between the permeability and the drag coefficient which is inversely proportional to one another. As for the difference in behavior it is most striking in the classes of models MPV. That is, the fact that the porosity vary in these models is an additional factor that plays a significant role in flow analysis. Finally, the results proved satisfactory and consistent, which demonstrates the effectiveness of the referred methodology for all applications analyzed in this study.

FERRITINA: intervalos de referência para adultos no Estado do Rio Grande do Norte

Ferritin is a protein composed of heavy and light chains, non-covalently linked and which accommodates, in its core, thousands of atoms of iron. Furthermore, this protein represents the stock of iron in the body and it is characterized as an acute marker and predictor of diseases, such as iron deficiency anemia, hereditary hemochromatosis and others. Considering the variability of reference values and the analytical methods currently available, the aim of this work was to propose 95% confidence intervals for adults in the State of Rio Grande do Norte, Brazil, after determining the average concentration of serum ferritin for both sexes, beyond its correlation with the age. We analyzed 385 blood samples, collected by venipuncture from individuals residing in the State, after 12-14 hours of fast. The populational sample had 169 men and 216 women between 18-59 years old, which filled a questionnaire on socioeconomic, food habits and accounts about previous and current diseases. The sample collections were itinerant and the results of erythrogram, fasting glucose, alanine aminotransferase, aspartate aminotransferase, γ-glutamyl transferase, urea, creatinine, leukocyte count and platelets, beyond C-reactive protein, were issued to each participant, so that, after selection of the apparently healthy individuals, the dosage of serum ferritin was carried out. Statistical analysis was performed using the softwares SPSS 11.0 Windows version, Epi Info 3.3.2 and Graf instant pad (version 3.02), and the random population sample was single (finite population), for which the test of linear correlation and diagram of dispersion were also made. After selection of individuals and determination of serum ferritin, the most discrepant outliers were disregarded (N = 358, Men = 154/Women = 207) and the average value determined for the masculine sex individuals was 167,18 ng / dL; for the feminine sex individuals, the average value obtained was 81,55 ng / dL. Moreover, we found that 25% of men had values < 90,30 ng / dL; 50% ≤ 156,25 ng / dL and 75% ≤ 229,00 ng / dL. In the group of women, 25% had values < 38,80 ng / dL; 50% ≤ 65,00 ng / dL and 75% ≤ 119,00 ng / dL. Through the correlation coefficient (r = 0,23 with p = 0,003), it is possible to suggest the existence of positive linear correlation between age and serum ferritin for men. The correlation coefficient for women (r = 0,16 with p = 0,025) also confirms the existence of positive linear correlation between serum ferritin and age. Considering the analysis carried out and specific methods corroborating with the proposed benchmarks, we concluded that the average value found for men is higher than that found for women. Furthermore, this scenario rises with age for both sexes, and the 95% confidence intervals obtained were 74 ng/dL ≤ μ ≤ 89 ng/dL and 152ng/dL ≤ μ ≤183ng/dL for the feminine and masculine sex individuals respectively

Padrões de infestação de comunidades de plantas daninhas no agroecossistema de cana-crua

Objetivou-se neste trabalho a obtenção de padrões de infestação de plantas daninhas na cultura de cana-de-açúcar com histórico de colheita mecanizada sem queima prévia da palha. Foram realizadas amostragens em 28 talhões na região de Ribeirão Preto, SP; em cada talhão foram demarcadas unidades de avaliação e coleta, na proporção de duas por hectare, que consistiram de áreas (quatro linhas de 4 metros de comprimento) mantidas sem controle de plantas daninhas e onde foram realizadas as amostragens de plantas emergidas. As amostragens foram realizadas aos 120 dias após o corte, com quadrados vazados (0,5 x 0,5 m) lançados aleatoriamente duas vezes em cada uma das unidades de avaliação e coleta. Com os dados obtidos, calculou-se a importância relativa e o índice de agregação das espécies ou grupo de espécies. Esses índices foram usados no processamento da análise de agrupamento hierárquica, utilizando como medida de semelhança a distância euclidiana e como estratégia de agrupamento o método UPGMA (Unweighted Pair-Group Method using arithmetic Averages). Foi possível distinguir quatro grupos em função da importância relativa e cinco grupos de talhões em função do índice de agregação; dentro de alguns grupos houve formação de subgrupos.

Estimation of genetic parameters for partial egg production periods by means of random regression models

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Mortalidade infantil e condições socioeconômicas nas microrregiões do Nordeste Brasileiro

The study aims to answer the following question: what are the different profiles of infant mortality, according to demographic, socioeconomic, infrastructure and health care, for the micro-regions at the Northeast of Brazil? Thus, the main objective is to analyze the profiles or typologies associated mortality levels sociodemographic conditions of the micro-regions, in the year 2010. To this end, the databases of birth and death certificates of SIM and SINASC (DATASUS/MS), were taken from the 2010 population Census microdata and from SIDRA/IBGE. As a methodology, a weighted multiple linear regression model was used in the analysis in order to find the most significant variables in the explanation child mortality for the year 2010. Also a cluster analysis was performed, seeking evidence, initially, of homogeneous groups of micro-regions, from of the significant variables. The logit of the infant mortality rate was used as dependent variable, while variables such as demographic, socioeconomic, infrastructure and health care in the micro-regions were taken as the independent variables of the model. The Bayesian estimation technique was applied to the database of births and deaths, due to the inconvenient fact of underreporting and random fluctuations of small quantities in small areas. The techniques of Spatial Statistics were used to determine the spatial behavior of the distribution of rates from thematic maps. In conclusion, we used the method GoM (Grade of Membership), to find typologies of mortality, associated with the selected variables by micro-regions, in order to respond the main question of the study. The results points out to the formation of three profiles: Profile 1, high infant mortality and unfavorable social conditions; Profile 2, low infant mortality, with a median social conditions of life; and Profile 3, median and high infant mortality social conditions. With this classification, it was found that, out of 188 micro-regions, 20 (10%) fits the extreme profile 1, 59 (31.4%) was characterized in the extreme profile 2, 34 (18.1%) was characterized in the extreme profile 3 and only 9 (4.8%) was classified as amorphous profile. The other micro-regions framed up in the profiles mixed. Such profiles suggest the need for different interventions in terms of public policies aimed to reducing child mortality in the region

Germination of Albizia hassleri seeds at different temperatures, under laboratory conditions

The objective of this study was to analyze the germination of seeds of Albizia hassleri under different temperatures. A completely random design arranged as a split plot for temperatures regimes, with 11 seed lots and four replications of 15 seeds was used. The plot was represented by the various lots and the sub plots for different temperatures. The means were compared by Scott-Knott test at 5% probability. The temperatures used were: a) constant: 20, 25 and 30 degrees C, and b) alternating: 20-30 and 25-35 degrees C. For all 11 seed lots the mean germination was 90%, speed germination index (IVG) was 5.059, fresh matter of seedlings (MMF) was 0.0628 g and dry matter (MMS) 0.0499 g. The variation coefficient (CV) between plots ranged from 8.48% for germination to 51.71% for dry matter of seedlings and sub plot of 6.77% to 60.45% for germination and MMS. These high values of CV, tested for MMS and MMF, indicate low repeatability of results within each treatment. In general, the IVG obtained at temperatures of 20 and 25 degrees C was lower than those in temperatures of 30, 20-30 and 25-35 degrees C. The best temperature for IVG was the alternating 25-35 degrees C and constant 30 degrees C. The germination test can be conducted at 30, 20-30 and 25-35 degrees C for 19 days.

Random regressions models to describe the genetic variation of milk yield over multiple parities in Buffaloes

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