Options listing and the volatility of the underlying asset: a study on the derivative market function

Os mercados de derivativos são vistos com muita desconfiança por inúmeras pessoas. O trabalho analisa o efeito da introdução de opções sobre ações no mercado brasileiro buscando identificar uma outra justificativa para a existência destes mercados: a alteração no nível de risco dos ativos objetos destas opções. A evidência empírica encontrada neste mercado está de acordo com os resultados obtidos em outros mercados - a introdução de opções é benéfica para o investidor posto que reduz a volatilidade do ativo objeto. Existe também uma tênue indicação de que a volatilidade se torna mais estocástica com a introdução das opções.

Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil

We study the relationship between the volatility and the price of stocks and the impact that variables such as past volatility, financial gearing, interest rates, stock return and turnover have on the present volatility of these securities. The results show the persistent behavior of volatility and the relationship between interest rate and volatility. The results also showed that a reduction in stock prices are associated with an increase in volatility. Finally we found a greater trading volume tends to increase the volatility.

A sociometric analysis for the creation of an integrated multicultural work team

This research aimed to apply the sociometric theory and its methodology to create an integrated multicultural work team. The study focused on the application of the sociometry theory, developed by Jacob L. Moreno in 1934, to analyze the small multicultural group. In the beginning, a review of the literature was done to have a better understanding of Sociometric Theory as well as the modern tools and software developed to analyze and map the social networks. After this part of the study, the qualitative study was done, in which 26 students from 12 countries, which studied together in a Corporate International Master (2014-2015), developed by Georgetown University’s McDonough School of Business, Corporate Master of Business Administration from ESADE Business School and FGV/EBAPE, were surveyed and asked them to choose people, among the selected group, who they attracted, rejected or they were neutral towards, in 4 different scenarios: work team, leadership, trip (leisure time) and personal problem. Additionally, there were, two questions asked about how they felt when they answered the survey and which question(s) was/were difficult to answer and why. The focus on these two questions was to understand the emotional state of the respondents when they answered the survey and related this emotional state to the Sociometric Theory. The sociometric matrix, using Microsoft Excel, was created using the answers and the total of the positive, negative and neutral choices were analyzed for each scenario as well as the mutualities and incongruences of the choices. Furthermore, the software Kumu was used to analyze the connections between the people in the selected group using three metrics: size, degree centrality and indegree. Also Kumu was used to draw the social maps or sociometric maps. Using the relationship level analyses of the sociometric matrix and maps, it was possible to create an integrated multicultural work team. In the end, the results obtained suggest that it is possible to apply the sociometric methodology to study the relationships inside companies, project teams and work teams and identify the best work team based on the interrelationship between the people as well as the lack of communication among the team members, project team or inside the company as a whole.

Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by (Engle and Sheppard 2001) as on one hand as an econometrics explanation and on the other hand the behavioral nance as an psychological explanation. Contagion is de ned in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main nding indicates the presence of contagion in the di¤erent indices among those two continents and proves the presence of structural changes during nancial crisis

Analysis an development of a prototype based on media wiki and semantic media wiki integrated with a design modeling that allows modeling of organizations based on demo

In a world where organizations are ever more complex the need for the knowledge of the organizational self is a growing necessity. The DEMO methodology sets a goal in achieving the specification of the organizational self capturing the essence of the organization in way independent of its implementation and also coherent, consistent, complete, modular and objective. But having such organization self notion is of little meaning if this notion is not shared by the organization actors. To achieve this goal in a society that has grown attached to technology and where time is of utmost importance, using a tool such as a semantic Wikipedia may be the perfect way of making the information accessible. However, to establish DEMO methodology in such platform there is a need to create bridges between its modeling components and semantic Wikipedia. It’s in that aspect that our thesis focuses, trying to establish and implement, using a study case, the principles of a way of transforming the DEMO methodology diagrams in comprehensive pages on semantic Wikipedia but keeping them as abstract as possible to allow expansibility and generalization to all diagrams without losing any valuable information so that, if that is the wish, those diagrams may be recreated from the semantic pages and make this process a full cycle.

Integrated valorization of Anona Cherimola Mill. seeds

Agricultural and agro-industrial residues are often considered both an environmental and an economical problem. Therefore, a paradigm shift is needed, assuming residues as biorefinery feedstocks. In this work cherimoya (Annona cherimola Mill.) seeds, which are lipid-rich (ca. 30%) and have a significant lignocellulosic fraction, were used as an example of a residue without any current valorization. Firstly, the lipid fraction was obtained by solvent extraction. Extraction yield varied from 13% to 28%, according to the extraction method and time, and solvent purity. This oil was converted into biodiesel (by base-catalyzed transesterification), yielding 76 g FAME/100 g oil. The obtained biodiesel is likely to be incorporated in the commercial chain, according to the EN14214 standard. The remaining lignocellulosic fraction was subjected to two alternative fractionation processes for the selective recovery of hemicellulose, aiming different products. Empirical mathematical models were developed for both processes, aiming future scale-up. Autohydrolysis rendered essentially oligosaccharides (10 gL-1) with properties indicating potential food/feed/pharmacological applications. The remaining solid was enzymatically saccharified, reaching a saccharification yield of 83%. The hydrolyzate obtained by dilute acid hydrolysis contained mostly monosaccharides, mainly xylose (26 gL-1), glucose (10 gL-1) and arabinose (3 gL-1), and had low content of microbial growth inhibitors. This hydrolyzate has proven to be appropriate to be used as culture media for exopolisaccharide production, using bacteria or microbial consortia. The maximum conversion of monosaccharides into xanthan gum was 0.87 g/g and kefiran maximum productivity was 0.07 g.(Lh)-1. This work shows the technical feasibility of using cherimoya seeds, and materials as such, as potential feedstocks, opening new perspectives for upgrading them in the biorefinery framework.

Integrated sediment quality assessment in Paranagua Estuarine System, Southern Brazil

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Pseudomonas aeruginosa LBI production as an integrated process using the wastes from sunflower-oil refining as a substrate

Pseudomonas aeruginosa LBI produced surface active rhamnolipids when cultivated on waste from the sunflower-oil process under different conditions. These biosurfactants, which reduce the superficial and interfacial tensions between fluids, offer advantages over their chemical counterparts, especially because of their ecological acceptability. These molecules can be used in fields as diverse as chemical, pharmaceutical and petrochemical industries. In this work, we present the effect of C/N ratio on growth and production yield. The best production yields (Y-P/S) were achieved for C/N ratios (in g/g) of 8/1 (0.22) and 6.4/1 (0.23). The product concentration was very satisfactory (7.3 g/L) at C/N ratio of 8/1, especially when considering that the substrate was basically composed of wastes that would otherwise constitute an environmental disposal problem. (c) 2007 Elsevier Ltd. All rights reserved.

Intercomparison of integrated water vapor estimates from multisensors in the amazonian region

Water vapor is an atmospheric component of major interest in atmospheric science because it affects the energy budget and plays a key role in several atmospheric processes. The Amazonian region is one of the most humid on the planet, and land use change is able to affect the hydrologic cycle in several areas and consequently to generate severe modifications in the global climate. Within this context, accessing the error associated with atmospheric humidity measurement and the validation of the integrated water vapor (IWV) quantification from different techniques is very important in this region. Using data collected during the Radiation, Cloud, and Climate Interactions in Amazonia during the Dry-to-Wet Transition Season (RACCI/DRY-TO-WET), an experiment carried out in southwestern Amazonia in 2002, this paper presents quality analysis of IWV measurements from RS80 radiosondes, a suite of GPS receivers, an Aerosol Robotic Network (AERONET) solar radiometer, and humidity sounding from the Humidity Sounder for Brazil (HSB) aboard the Aqua satellite. When compared to RS80 IWV values, the root-mean-square (RMS) from the AERONET and GPS results are of the order of 2.7 and 3.8 kg m(-2), respectively. The difference generated between IWV from the GPS receiver and RS80 during the daytime was larger than that of the nighttime period because of the combination of the influence of high ionospheric activity during the RACCI experiment and a daytime drier bias from the RS80.

Pyrolysis and auto-gasification of black liquor in presence of ZnO: An integrated process for Zn/ZnO nanostructure production and bioenergy generation

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Multi-population genetic algorithm to solve the synchronized and integrated two-level lot sizing and scheduling problem

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

The definition of potential infiltration areas in Guaratingueta watershed, Paraiba do Sul Basin, Southeastern Brazil: an integrated approach using physical and land-use elements

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

Knowledge-based integrated production management model

Purpose - This paper aims to propose a model of production management that integrates knowledge management, as a third dimension, to the production and work dimensions and to identify factors that promote a favorable context for knowledge sharing and results achievement in the production operations shop floor environment.Design/methodology/approach - The model proposed is built from opportunities identified in the literature review.Findings - The factors in the model integrate its three main components: knowledge management, production organization and work organization, providing a representation of the dynamics of the workplace and shop floor environment.Practical implications - The proposed model and its factors allow managers to better understand and to improve the organization activities, because it integrates knowledge management with the production organization and work organization components of traditional models.Originality/value - Literature acknowledges the role of knowledge as competitive advantage, but it is still dealt in an implicit way within the traditional models of production management. This paper proposes a model and factors that provide a favorable context for tacit knowledge sharing and results achievement in the production operations shop floor environment. The model explicitly integrates knowledge management with traditional models' components.

Straw decomposition of nitrogen-fertilized grasses intercropped with irrigated maize in an integrated crop-livestock system

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)