Modeling and predicting the CBOE market volatility index

This paper performs a thorough statistical examination of the time-series properties of the daily market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies not only on the widespread consensus that the VIX is a barometer of the overall market sentiment as to what concerns investors' risk appetite, but also on the fact that there are many trading strategies that rely on the VIX index for hedging and speculative purposes. Preliminary analysis suggests that the VIX index displays long-range dependence. This is well in line with the strong empirical evidence in the literature supporting long memory in both options-implied and realized variances. We thus resort to both parametric and semiparametric heterogeneous autoregressive (HAR) processes for modeling and forecasting purposes. Our main ndings are as follows. First, we con rm the evidence in the literature that there is a negative relationship between the VIX index and the S&P 500 index return as well as a positive contemporaneous link with the volume of the S&P 500 index. Second, the term spread has a slightly negative long-run impact in the VIX index, when possible multicollinearity and endogeneity are controlled for. Finally, we cannot reject the linearity of the above relationships, neither in sample nor out of sample. As for the latter, we actually show that it is pretty hard to beat the pure HAR process because of the very persistent nature of the VIX index.

Transfer function-noise modeling and spatial interpolation to evaluate the risk of extreme (shallow) water-table levels in the Brazilian Cerrados

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Redes sociais e a lógica do desvio comportamental em relação às normas de trabalho

This paper aim to check a hypothesis that assumes several behaviors related to social work norm´s obeying as a phenomenon that can be explained by actor´s social network structure and the rational choice processes related to the social norm inside that network, principally the payoff´s analysis received by the closest actors, or neighbors, at a social situation. Taking the sociological paradigm of rational action theory as a basis, the focus is on a debate about the logic of social norms, from Émile Durkheim´s method to Jon Elster´s theory, but also including social network analysis´s variables according to Robert Hanneman; and also Vilfredo Pareto´s constants related to human sociability, at the aim to detect elements that can help the scholars to develop an agent based model which could explain the sociological problem of deviance by a better way than the common sense´s view about morality and ethics at a social work environment

Comparison between a soluble antigen-based ELISA and IFAT in detecting antibodies against Babesia canis in dogs

O presente trabalho estudou um ensaio imunoenzimático (ELISA) indireto para a detecção de anticorpos anti-Babesia canis no soro de cães, tendo a Reação de Imunofluorescência Indireta (RIFI), como teste de referência O antígeno utilizado no ELISA do presente estudo consistiu em uma preparação antigênica solúvel de merozoítas B. canis e as diluições ótimas do antígeno, soros e conjugado foram determinadas por titulação em bloco, utilizando soros de referência positivos e negativos. A preparação antigênica solúvel de B. canis ótima foi de 10 µg.mL-1, com soros de referência positivos e negativos em uma única diluição de 1:100, e conjugado a 1:4.000. Um total de 246 amostras séricas foram colhidas em cães, durante a campanha de vacinação anti-rábica em Jaboticabal, São Paulo, Brasil e a presença de anticorpos anti-B. canis foi avaliada pelo ELISA e RIFI. Nestas condições, a média de absorbância dos soros de referência negativos foi de 0,129 ± 0,025, resultando em um ponto de corte de 0,323 (Nível de ELISA 3) e a média da absorbância dos soros de referência positivos foi de 2,156 ± 1,187. As amostras com sorologia positiva para B. canis por ELISA e RIFI foram 67,89% (n = 167) e 59,35% (n = 146), respectivamente. Os resultados obtidos sugerem que o ELISA descrito revelou-se um teste sorológico eficaz no diagnóstico da babesiose canina.

Implementação de um modelo computacional para estudo do processo Fischer-Tropsch em reator de leito de lama

This work aims at the implementation and adaptation of a computational model for the study of the Fischer-Tropsch reaction in a slurry bed reactor from synthesis gas (CO+H2) for the selective production of hydrocarbons (CnHm), with emphasis on evaluation of the influence of operating conditions on the distribution of products formed during the reaction.The present model takes into account effects of rigorous phase equilibrium in a reactive flash drum, a detailed kinetic model able of predicting the formation of each chemical species of the reaction system, as well as control loops of the process variables for pressure and level of slurry phase. As a result, a system of Differential Algebraic Equations was solved using the computational code DASSL (Petzold, 1982). The consistent initialization for the problem was based on phase equilibrium formed by the existing components in the reactor. In addition, the index of the system was reduced to 1 by the introduction of control laws that govern the output of the reactor products. The results were compared qualitatively with experimental data collected in the Fischer-Tropsch Synthesis plant installed at Laboratório de Processamento de Gás - CTGÁS-ER-Natal/RN

Avaliação da aplicação de modelos para a secagem de pastas e suspensões em leito de jorro com alimentação contínua

This work studies the development, implementation and improvement of a macroscopic model to describe the behavior of the spouted bed dryer with continuous feeding for pastes and suspensions drying. This model is based on the CST model (Freire et al., 2009) and the model of Fernandes (2005), whose theoretical foundation is based on macroscopic mass and heat balances for the three phases involved in the process: gas, liquid and solid. Because this technique is quite relevant, the studies of modeling and simulation of spouted bed drying are essential in the analysis of the process as a whole, because through them it is possible to predict and understand the behavior of the process, which contributes significantly to more efficient project and operation. The development and understanding of the phenomena involved in the drying process can be obtained by comparing the experimental data with those from computer simulations. Such knowledge is critical for choosing properly the process conditions in order to obtain a good drying efficiency. Over the past few years, researches and development of works in the field of pastes and suspensions drying in spouted bed has been gaining ground in Brazil. The Particulate Systems Laboratory at Universidade Federal do Rio Grande do Norte, has been developing several researches and generating a huge collection of experimental data concerning the drying of fruit pulps, vegetables pastes, goat milk and suspensions of agro-industrial residues. From this collection, some data of goat milk and residue from acerola (Malpighia glabra L.) drying were collected. For the first time, these data were used for the development and validation of a model that can describe the behavior of spouted bed dryer. Thus, it was possible to model the dryer and to evaluate the influence of process variables (paste feeding, temperature and flow rate of the drying air) in the drying dynamics. We also performed water evaporation experiments in order to understand and to study the behavior of the dryer wall temperature and the evaporation rate. All these analysis will contribute to future works involving the implementation of control strategies in the pastes and suspensions drying. The results obtained in transient analysis were compared with experimental data indicating that this model well represents the process

Cellulose-Based Bio- and Nanocomposites: A Review

Cellulose macro- and nanofibers have gained increasing attention due to the high strength and stiffness, biodegradability and renewability, and their production and application in development of composites. Application of cellulose nanofibers for the development of composites is a relatively new research area. Cellulose macro- and nanofibers can be used as reinforcement in composite materials because of enhanced mechanical, thermal, and biodegradation properties of composites. Cellulose fibers are hydrophilic in nature, so it becomes necessary to increase their surface roughness for the development of composites with enhanced properties. In the present paper, we have reviewed the surface modification of cellulose fibers by various methods. Processing methods, properties, and various applications of nanocellulose and cellulosic composites are also discussed in this paper.

Estudo da secagem do pedúnculo do caju em sistemas convencional e solar: modelagem e simulação do processo

This work aims to study the drying of cashew-nut pulp with different lay-out of dryers using conventional and solar energy. It concerns with the use of exceeding of the regional raw material and the suitable knowledge for the applicability of the drying systems as pathway for food conservation. Besides, it used renewable sources as solar energy to dry these agroindustrial products. Runs were carried out using a conventional tray-dryer with temperature, air velocity control and cashew slice thickness of 55°C, 65°C, 75°C; 3.0; 4.5, 6.0 m s-1; 1.0; 1.5 and 2.0 cm, respectively, in order to compare the studied systems. To evaluate the conventional tray-dryer, it was used a diffusional model of 2nd Fick´s law, where the drying curves were quite well fitted to an infinite flat plate design. For the drying runs where the room temperature had no control, it was developed a phenomenological-mathematical model for the solar dryer with indirect radiation under natural and forced convection based on material and energy balances of the system. Besides, it was carried out assays in the in natura as well as dehydrated, statistic analysis of the experimental drying data, sensorial analysis of the final dry product and a simplified economical analysis of the systems studied

Synthesis of poly(styrene-co-methyl methacrylate)-based ionomers and their Langmuir and Langmuir-Blodgett (LB) film formation

Poly(styrene-co-methyl methacrylate) (PS-PMMA) ionomers with several degrees of sulfonation were synthesized and characterized by infrared, UV-vis, and NMR spectroscopies, elemental analysis, and differential scanning calorimetry (DSC). Stable Langmuir films could be produced with PS-PMMA with 3 and 6 mol % of sulfonation, while PS-PMMA 8% exhibited material loss to the water subphase, probably due to its higher solubility. Surface pressure and surface potential isotherms with PS-PMMA 3% spread onto salt-containing subphases pointed to a film behavior characteristic of the polyelectrolyte effect, where charge repulsion governs the film properties. The Langmuir-Blodgett films of this ionomer were successfully transferred onto various substrates, as confirmed by UV-vis and FTIR spectroscopies. Using cycling voltammetry, we show that LB films from PS-PMMA 3% can be applied in selective sensing of dopamine, even in the presence of interferents such as ascorbic acid.

Structural Properties Induced by the Composition of Biocompatible Phospholipid-Based Microemulsion and Amphotericin B Association

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

Flexural behavior of Sisal/Castor oil-Based Polyurethane and Sisal/Phenolic Composites

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Ultrasonic density measurement cell design and simulation of non-ideal effects

This paper presents a theoretical analysis of a density measurement cell using an unidimensional model composed by acoustic and electroacoustic transmission lines in order to simulate non-ideal effects. The model is implemented using matrix operations, and is used to design the cell considering its geometry, materials used in sensor assembly, range of liquid sample properties and signal analysis techniques. The sensor performance in non-ideal conditions is studied, considering the thicknesses of adhesive and metallization layers, and the effect of residue of liquid sample which can impregnate on the sample chamber surfaces. These layers are taken into account in the model, and their effects are compensated to reduce the error on density measurement. The results show the contribution of residue layer thickness to density error and its behavior when two signal analysis methods are used. (c) 2006 Elsevier B.V. All rights reserved.

Electromechanical properties of 0-3 vegetable based polyurethane and lead zirconate titanate composite.

Composite made of Lead Zirconate Titranate (PZT) ceramic powder and castor oil based polyurethane (PU) were prepared in the thin film form with 0-3 connectivity by spin coating. The composite films were obtained in the thickness range of 100 mum to 300 mum using 33-vol.% of ceramic. The samples mechanical resistance. The material was characterised by dielectric spectroscopy, thermally stimulated discharge current (TSDC), hysteresis measurements and laser-intensity-modulation method (LIMM). The pyroelectric coefficient at 343 K was 7x10(-5) C.m(-2) K-1 for the sample poled with 10 MV/m at 373 K for Ih. The results show that this new composite can be used as suitable piezo and pyroelectric sensors.

Comparison Between the Polymerase Chain Reaction-Based Screening and the Southern Blot Methods for Identification of Fragile X Syndrome

The fragile X syndrome (FXS), the most common cause of hereditary mental retardation, is caused by expansions of CGG repeats in the FMR1 gene. The gold-standard method to diagnose FXS is the Southern blot (SB). Because SB is laborious and costly, some adaptations in the polymerase chain reaction (PCR) method have been utilized for FXS screening. A previous PCR-based screening method for FXS identification utilizing small amounts of DNA was reported as simple and efficient. The aim of this study was to reproduce the mentioned PCR-based screening method for identification of expanded alleles of the FMR1 gene in Brazilian individuals and to investigate the efficiency of this method in comparison with SB. Utilizing the enzyme Expand Long Template PCR System, 78 individuals were investigated by that PCR-based screening method for FXS identification. Conclusive results were obtained for 75 samples. Considering all the allelic forms of FXS (normal [NL], premutation [PM], and full-mutation [FM]), the comparison of the PCR-based screening method with SB demonstrated 100% of accuracy, sensitivity, and specificity. However, when the PM and the FM were analyzed separately from each other, but together with the NL allele, the accuracy, sensitivity, and specificity decreased (to 42.9%-97.4%). We concluded that the PCR-based screening method was reproducible and capable of identifying all different FXS alleles, but because the differentiation between the PM and the FM alleles was not accurate, SB is still the gold-standard method for the molecular diagnosis of FXS.

Ecological modeling and pest population management: a possible and necessary connection in a changing world

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