Exploratory semiparametric analysis of two-dimensional diffusions in finance

We examine bivariate extensions of Aït-Sahalia’s approach to the estimation of univariate diffusions. Our message is that extending his idea to a bivariate setting is not straightforward. In higher dimensions, as opposed to the univariate case, the elements of the Itô and Fokker-Planck representations do not coincide; and, even imposing sensible assumptions on the marginal drifts and volatilities is not sufficient to obtain direct generalisations. We develop exploratory estimation and testing procedures, by parametrizing the drifts of both component processes and setting restrictions on the terms of either the Itô or the Fokker-Planck covariance matrices. This may lead to highly nonlinear ordinary differential equations, where the definition of boundary conditions is crucial. For the methods developed, the Fokker-Planck representation seems more tractable than the Itô’s. Questions for further research include the design of regularity conditions on the time series dependence in the data, the kernels actually used and the bandwidths, to obtain asymptotic properties for the estimators proposed. A particular case seems promising: “causal bivariate models” in which only one of the diffusions contributes to the volatility of the other. Hedging strategies which estimate separately the univariate diffusions at stake may thus be improved.

The dimensions of trust in interorganizational relationships: how buyer and supplier perspectives differ?

Apesar da pesquisa em confiança interorganizacional e sua relação com performance ter sido conduzida sob as perspectivas da Teoria de Custos de Transação, Teoria das Trocas Sociais e Canais de Marketing, três importantes lacunas na literatura requerem investigação. Primeiro, está em andamento um debate conceitual sobre a multi-dimensionalidade da confiança, e como ela deve ser operacionalizada e medida, e que se divide em três correntes de pensamento - um construto multidimensional definido por dimensões não dominantes, um construto baseado em duas dimensões dominantes (afetiva e calculativa), ou um construto unidimensional. Segundo, existe ambiguidade em como as dimensões da confiança são definidas, levando a artefatos de equivalência nas escalas e resultados contraditórios. Terceiro, as diferentes percepções que compradores e fornecedores podem ter em cada dimensão da confiança e seu impacto na performance logística ainda não estão claros. Esta pesquisa empírica examina a confiança nas relações entre compradores e fornecedores no setor de logística no Brasil, através de duas amostras e estudos independentes: um examina a percepção dos compradores e o outro examina a dos fornecedores. Em seguida, os dois estudos são comparados para determinar as diferentes perspectivas da confiança e as implicações na performance logística. A análise multivariada mostrou que a confiança parece estar presente nas relações interorganizacionais, e é a percepção do comprador que possui maior relação com a performance logística. Ao mesmo tempo, compradores percebem fornecedores de forma mais negativa nas dimensões mensuráveis (competência e performance), enquanto não foram encontradas diferenças nos aspectos sociais (honestidade e benevolência), o que pode ser resultado do ambiente e cultura pesquisados. As análises mostraram que, apesar da confiança poder ser definida como um construto multidimensional, ela deve ser operacionalizada como um construto unidimensional direcionado pela competência e credibilidade. Este estudo contribui para a prática sugerindo formas de aumentar a confiança interorganizacional para aumento da performance.

Exploring the dimensions of eco-feedback in the wild

Worldwide reports about energy usage have noted the importance of the domestic energy consumption sector in the worldwide scenario. This fact motivated and supported the birth and spread of the so-called eco-feedback devices. Such devices provide information about individual or group energy consumption behavior with the goal of reducing the impact in the environment. Motivated by the body of work which questions the long term effectiveness of eco-feedback systems, this thesis focus on evaluating in-the-wild the long term usage of eco-feedback systems. We have conducted five long term studies with different eco-feedback systems designed to evaluate different dimensions in the design of eco-feedback plus two more focused short term studies aimed at studying concrete approaches. Our summary reports on the fact that the there is a novelty effect associated with ecofeedback systems in which the usage of these devices declines significantly after a month. We did not found evidence that the novelty effect is related to location or the type of information represented, nor that the decrease in the eco-feedback usage could lead to the consumption relapsing to values previous to the introduction of the eco-feedback. Our work has also generated other contributions related to the positioning of the feedback, using metaphors for representing the consumption and presenting information about the source of the energy in the feedback.

Confinement of neutral fermions by a pseudoscalar double-step potential in 1+1 dimensions

The problem of confinement of neutral fermions in two-dimensional space-time is approached with a pseudoscalar double-step potential in the Dirac equation. Bound-state solutions are obtained when the coupling is of sufficient intensity. The confinement is made plausible by arguments based on effective mass and anomalous magnetic interaction. (C) 2003 Elsevier B.V. B.V. All rights reserved.

Effective action for QED with fermion self-interaction in D=2 and D=3 dimensions

In this work we discuss the effect of the quartic fermion self-interaction of Thirring type in QED in D=2 and D=3 dimensions. This is done through the computation of the effective action up to quadratic terms in the photon field. We analyze the corresponding nonlocal photon propagators nonperturbatively in k/m, where k is the photon momentum and m the fermion mass. The poles of the propagators were determined numerically by using the MATHEMATICA software. In D=2 there is always a massless pole whereas for strong enough Thirring coupling a massive pole may appear. For D=3 there are three regions in parameter space. We may have one or two massive poles or even no pole at all. The interquark static potential is computed analytically in D=2. We notice that the Thirring interaction contributes with a screening term to the confining linear potential of massive two-dimensional QED (QED(2)). In D=3 the static potential must be calculated numerically. The screening nature of the massive QED(3) prevails at any distance, indicating that this is a universal feature of D=3 electromagnetic interaction. Our results become exact for an infinite number of fermion flavors.

Bound states by a pseudoscalar Coulomb potential in one-plus-one dimensions

The Dirac equation is solved for a pseudoscalar Coulomb potential in a two-dimensional world. An infinite sequence of bounded solutions are obtained. These results are in sharp contrast with those ones obtained in 3 + 1 dimensions where no bound-state solutions are found. Next the general two-dimensional problem for pseudoscalar power-law potentials is addressed consenting us to conclude that a nonsingular potential leads to bounded solutions. The behaviour of the upper and lower components of the Dirac spinor for a confining linear potential nonconserving- as well as conserving-parity, even if the potential is unbounded from below, is discussed in some detail. (C) 2003 Elsevier B.V. All rights reserved.

Confinement of spinless particles by Coulomb potentials in two-dimensional space-time

The problem of confinement of spinless particles in 1 + 1 dimensions is approached with a linear potential by considering a mixing of Lorentz vector and scalar couplings. Analytical bound-states solutions are obtained when the scalar coupling is of sufficient intensity compared to the vector coupling. (c) 2005 Elsevier B.V. All rights reserved.

Confinement of fermions by mixed vector-scalar linear potentials in two-dimensional space-time

The problem of confinement of fermions in 1 + 1 dimensions is approached with a linear potential in the Dirac equation by considering a mixing of Lorentz vector and scalar couplings. Analytical bound-states solutions are obtained when the scalar coupling is of sufficient intensity compared to the vector coupling. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Duality of parity doublets of helicity +/- 2 in D=2+1 dimensions

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Spin-1 duality in D dimensions

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Study of the dimensions of double-torsion test specimens

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

Evaluation of two alternative methods for disinfection of toothbrushes and tongue scrapers

Objective: The aim of this study was to investigate the effectiveness of two alternatives methods for the disinfection of oral cleaning devices. Methods: One type of toothbrush and two types of tongue scrapers (steel and plastic) were tested in this study. Sixteen specimens of each group were cut with standardized dimensions, contaminated separately with Candida albicans, Streptococcus mutans and Staphylococcus aureus and incubated for 24 h. After this, oral cleaning devices were washed in saline solution to remove non-adhered cells and divided into two groups (n = 8), one irradiated in microwave and other immersed in 3.78% sodium perborate solution, and evaluated for microbial recovery. The values of cfu of each group of microorganism after disinfection were compared by Kruskal-Wallis and Dunn non-parametric test, considering 95% of confidence. Results: The toothbrush harboured a significant larger number of viable organisms than the tongue scrapers. The steel tongue scraper was less susceptible to adhesion of the three oral microorganisms. The time required to inactivate all contaminating microorganisms using microwave oven was 1 min and, for the immersion in 3.78% sodium perborate solution, was 2 and 3 h, respectively, for C. albicans and S. mutans/S. aureus. Conclusion: Microwave irradiation proved to be an effective alternative method to the disinfection of tongue cleaners and toothbrushes.

Reproductive biology of Palaemon pandaliformis (Stimpson, 1871) (Crustacea, Decapoda, Caridea) from two estuaries in southeastern Brazil

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

Infrared dynamics in (2+1) dimensions

In this work we study the asymptotic behavior of (2+1)-dimensional quantum electrodynamics in the infrared region. We show that an appropriate redefinition of the fermion current operator leads to an asymptotic evolution operator that contains a divergent Coulomb phase factor and a contribution from the electromagnetic field at large distances, factored from the evolution operator for free fields, and we conclude that the modified scattering operator maps two spaces of coherent states of the electromagnetic field, as in the Kulish-Faddeev model for QED (quantum electrodynamics) in four space-time dimensions.

Negative dimensional approach for scalar two-loop three-point and three-loop two-point integrals

The well-known D-dimensional Feynman integrals were shown, by Halliday and Ricotta, to be capable of undergoing analytic continuation into the domain of negative values for the dimension of space-time. Furthermore, this could be identified with Grassmannian integration in positive dimensions. From this possibility follows the concept of negative-dimensional integration for loop integrals in field theories. Using this technique, we evaluate three two-loop three-point scalar integrals, with five and six massless propagators, with specific external kinematic configurations (two legs on-shell), and four three-loop two-point scalar integrals. These results are given for arbitrary exponents of propagators and dimension, in Euclidean space, and the particular cases compared to results published in the literature.