Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics. (c) 2005 Elsevier B.V. All rights reserved.

Comment on Casimir force in compact non-commutative extra dimensions and radius stabilization

We call attention to a series of mistakes in a paper by S. Nam recently published in this journal (J. High Energy Phys. 10 (2000) 044).

Experimental and theoretical aspects of the stabilization of zirconia.

Using the Rietveld method, phases of ceria-doped zirconia, calcined at temperatures of 600 and 900 degrees C, were quantitatively analysed for different concentrations of ceria. The results show that the stabilization of zirconia depends on the dopant concentration and calcination temperature. Moreover, the theoretical calculation using the ab initio Hartree-Fock-Roothaan method indicates that the most stable phases for ceria-stabilized zirconia are cubic or tetragonal, in accordance with experimental results. (C) 1999 Kluwer Academic Publishers.

Enhanced Eu3+ Emission in Aqueous Phosphotungstate Colloidal Systems: Stabilization of Polyoxometalate Nanostructures

Luminescent Eu3+-containing polyphosphate tungstate aqueous colloidal systems were prgared and studied as a function of the relative polyphosphate tungstate content. In polyphosphate-rich solutions, Eu-H- ions occupy cagelike sites composed of phosphate groups from the metaphosphate chains. In these sites, an average number of 0.5 water molecule coordinates to an Eu3+ ion and the 500 emission quantum efficiency is 0.22. Tungstatc addition leads to important modifications in neighboring Eu3+ leading to coordination sites in the aqueous medium where metal ions are completely hidden from interactions with solvent molecules. Transmission electron microscopy results clearly show \V-rich nanoparticles with sizes between 5 and 10 nm for all tungstate relative concentrations. For high tungstatc relative contents (above 30 mol %), spectroscopic results suggest the presence of Eu34- in polyoxometalate (P0M)-like sites by comparison with the well-known decatungstoeuropate [EuW10O36](9-) structure. These new aqueous colloids display surprisingly high 5llo emission quantum efficiencies of ca 80% because of the strong ligand field provided by tungstate POM ligands and the complete absence of water molecules from the Eu3+ first coordination shell.

Optimal laser control of molecular photoassociation along with vibrational stabilization

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Stabilization of fluoroindate glasses by magnesium fluoride

This paper describes the stabilizing effect of MgF2 on the binary system InF3-BaF2. A complete investigation of the In-Ba-Mg system led to samples up to 5 mm in thickness. Further optimization of this system was achieved by incorporation of other fluorides, resulting in increased resistance to devitrification. Thermal and optical data are reported.

PI Stabilization of a Class of Time Delay Systems

In this paper we use the Hermite-Biehler theorem to establish results for the design of proportional plus integral (PI) controllers for a class of time delay systems. We extend results of the polynomial case to quasipolynomials using the property of interlacing in high frequencies of the class of time delay systems considered. A signature for the quasipolynomials in this class is derived and used in the proposed approach which yields the complete set of the stabilizing PI controllers.

PID stabilization of a class of time delay systems

In this paper we use the Hermite-Biehler theorem to establish results for the design of proportional plus integral plus derivative (PID) controllers concerning a class of time delay systems. Using the property of interlacing at high frequencies of the class of systems considered and linear programming we obtain the set of all stabilizing PID controllers. © 2005 IEEE.

Stabilization of lumbo-pelvic region and electromyography of the abdominal muscles

It is usual to find athletes that can perform de curl up test easily, but are unable to maintain the stabilization of the low back during the double straight leg lowering (DSLL). In spite of having strong abdominal muscles, its stabilization role seems not to be effective. Thus, the purpose of this study was to verify the relation among individuals with strong abdominal muscles and the ability in perform posterior pelvic tilt (PPT); the ability to stabilize the low back during the DSLL and the eletromyographic activity of the abdominal muscles. Eighteen male subjects (aged 19.27 ± 3.5), without history of muscle skeletal dysfunction, performed both the PPT and DSLL tests. During these tests electromyographic signals of the rectus abdominis (RA), obliquus internus abdominis (01) and obliquus externus abdominis (OE) were recorded, the angle of the hip and the pressure under the low back were measured The results of analyses of variance (ANOVA) show that most volunteers accomplished the PPT test, actively flattening the low back with regular or good quality. However, none of them was able to stabilize the low back during the DSLL test. During the PPT test all abdominal muscle portions analysed were activated without significant differences. In an attempt of maintaining the lumbo-pelvic region stabilized during the DSLL, it was observed a tendency of higher bilateral activation of OE when compared to RA and 01 muscle portions between 70 and 20 degrees of hip flexion.

Recent Southern Cone liberalization reforms and stabilization policies: the Chilean case, 1974-1982

Includes bibliography

World food price increases and Brazil: an opportunity for everyone?

Includes bibliography.

Price-based capital account regulations: the Colombian experience

Includes bibliography

Tax reforms and fiscal stabilization in Latin American countries

Includes bibliography

The evolution of structural adjustment and stabilization policy in Jamaica

Includes bibliography

A measurement of price levels and the purchasing power of currencies in Latin America, 1960-62

Includes bibliography