Predictability of equity models

In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the same sense, which evaluate original series for each stock, we evaluate synthetic series created on the basis of linear models of stocks. Following Burgess (1999), we use the “stepwise regression” model for the formation of models of each stock. We then use the variance ratio profile together with a Monte Carlo simulation for the selection of models with potential predictability. Unlike Burgess (1999), we carry out White’s Reality Check (2000) in order to verify the existence of positive returns for the period outside the sample. We use the strategies proposed by Sullivan, Timmermann & White (1999) and Hsu & Kuan (2005) amounting to 26,410 simulated strategies. Finally, using the bootstrap methodology, with 1,000 simulations, we find strong evidence of predictability in the models, including transaction costs.

A BDI-based approach for the assessment of driver's decision-making in commuter scenarios

The rapid growth of urban areas has a significant impact on traffic and transportation systems. New management policies and planning strategies are clearly necessary to cope with the more than ever limited capacity of existing road networks. The concept of Intelligent Transportation System (ITS) arises in this scenario; rather than attempting to increase road capacity by means of physical modifications to the infrastructure, the premise of ITS relies on the use of advanced communication and computer technologies to handle today’s traffic and transportation facilities. Influencing users’ behaviour patterns is a challenge that has stimulated much research in the ITS field, where human factors start gaining great importance to modelling, simulating, and assessing such an innovative approach. This work is aimed at using Multi-agent Systems (MAS) to represent the traffic and transportation systems in the light of the new performance measures brought about by ITS technologies. Agent features have good potentialities to represent those components of a system that are geographically and functionally distributed, such as most components in traffic and transportation. A BDI (beliefs, desires, and intentions) architecture is presented as an alternative to traditional models used to represent the driver behaviour within microscopic simulation allowing for an explicit representation of users’ mental states. Basic concepts of ITS and MAS are presented, as well as some application examples related to the subject. This has motivated the extension of an existing microscopic simulation framework to incorporate MAS features to enhance the representation of drivers. This way demand is generated from a population of agents as the result of their decisions on route and departure time, on a daily basis. The extended simulation model that now supports the interaction of BDI driver agents was effectively implemented, and different experiments were performed to test this approach in commuter scenarios. MAS provides a process-driven approach that fosters the easy construction of modular, robust, and scalable models, characteristics that lack in former result-driven approaches. Its abstraction premises allow for a closer association between the model and its practical implementation. Uncertainty and variability are addressed in a straightforward manner, as an easier representation of humanlike behaviours within the driver structure is provided by cognitive architectures, such as the BDI approach used in this work. This way MAS extends microscopic simulation of traffic to better address the complexity inherent in ITS technologies.

Life Cycle Models, Heterogeneity of Initial Assets,and Wealth Inequality

Life cycle general equilibrium models with heterogeneous agents have a very hard time reproducing the American wealth distribution. A common assumption made in this literature is that all young adults enter the economy with no initial assets. In this article, we relax this assumption – not supported by the data - and evaluate the ability of an otherwise standard life cycle model to account for the U.S. wealth inequality. The new feature of the model is that agents enter the economy with assets drawn from an initial distribution of assets, which is estimated using a non-parametric method applied to data from the Survey of Consumer Finances. We found that heterogeneity with respect to initial wealth is key for this class of models to replicate the data. According to our results, American inequality can be explained almost entirely by the fact that some individuals are lucky enough to be born into wealth, while others are born with few or no assets.

Project Pró-Natal: population-based study of perinatal and infant mortality in Natal, Northeast Brazil

RAMOS, Ana Maria de Oliveira et al. Project Pró-Natal: population-based study of perinatal and infant mortality in Natal, Northeast Brazil. Pediatric and Developmental Pathology, v.3, n.1, p.29-35, 2000

Semiparametric modeling of the spatial distribution of occupational accident risk in the casual labor market, Piracicaba, southeast Brazil

The objective of this study was to estimate the spatial distribution of work accident risk in the informal work market in the urban zone of an industrialized city in southeast Brazil and to examine concomitant effects of age, gender, and type of occupation after controlling for spatial risk variation. The basic methodology adopted was that of a population-based case-control study with particular interest focused on the spatial location of work. Cases were all casual workers in the city suffering work accidents during a one-year period; controls were selected from the source population of casual laborers by systematic random sampling of urban homes. The spatial distribution of work accidents was estimated via a semiparametric generalized additive model with a nonparametric bidimensional spline of the geographical coordinates of cases and controls as the nonlinear spatial component, and including age, gender, and occupation as linear predictive variables in the parametric component. We analyzed 1,918 cases and 2,245 controls between 1/11/2003 and 31/10/2004 in Piracicaba, Brazil. Areas of significantly high and low accident risk were identified in relation to mean risk in the study region (p < 0.01). Work accident risk for informal workers varied significantly in the study area. Significant age, gender, and occupational group effects on accident risk were identified after correcting for this spatial variation. A good understanding of high-risk groups and high-risk regions underpins the formulation of hypotheses concerning accident causality and the development of effective public accident prevention policies.

Population structure and sexual maturity of the calico box crab Hepatus epheliticus Linnaeus (Brachyura, Hepatidae) from Yucatan Peninsula, Mexico

The calico box crab Hepatus epheliticus is an abundant species from shallow and continental shelf waters of the Atlantic coast of USA and Mexico. Information about population structure and sexual maturity is absent, even though this crab is caught to be used as bait for the octopus fishery in the Campeche Bank, Mexico. In order to achieve such information, a total of 768 individuals were collected from January to March 2010 through baited traps installed in the Yucatan Peninsula, Mexico. Our results showed that sex ratio is biased towards more males than females (1:0.55), contradicting to that reported in other brachyuran crabs. The absence of ovigerous females suggests that they did not enter into the traps during embryogenesis. Males reached a larger maximum size than females (64.0 +/- 6.15 and 58.4 +/- 5.60 mm carapace width, respectively). The general scheme of growth being positive allometric throughout ontogeny of both sexes. Males presented a transition phase from juveniles to adult corresponding to the puberty moult. The estimation of the onset of functional sexual maturity revealed a steady situation for the population, with 21.5 and 13.8% of males and females, respectively, morphologically immature at the time of catch. This study constitutes the first report on population structure and sexual maturity in a population of the calico box crab H. epheliticus.

Nesting architecture and population structure of the fungus-growing ant Cyphomyrmex transversus (Formicidae: Myrmicinae: Attini) in the Brazilian coastal zone of Ilheus, Bahia

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Relative abundance and population biology of the non-indigenous crab Charybdis hellerii (Crustacea: Brachyura: Portunidae) in a southwestern Atlantic estuary-bay complex

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

Association of an insulin-like growth factor 1 gene microsatellite with phenotypic variation and estimated breeding values of growth traits in Canchim cattle

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Geostatistical characterization of the spatial distribution of Xylella fastidiosa sharpshooter vectors on citrus

A distribuição espacial das espécies de cigarrinhas (Dilobopterus costalimai Young, Acrogonia sp. e Oncometopia facialis Signoret), vetoras da Xylella fastidiosa, agente causal da Clorose Variegada dos Citros, foi estudada com o uso da geoestatística. As avaliações foram feitas em um pomar comercial de laranja 'Pêra' (Citrus sinensis [L.] Osb.), objetivando estabelecer meios para melhor controle dos vetores e da doença. O monitoramento da ocorrência das cigarrinhas no pomar foi feito através de amostragens mensais, utilizando-se armadilhas adesivas amarelas de 3 x 5, distribuídas uniformemente em 50 pontos na área, dispostas em laranjeiras à altura de 1,5 m do solo e substituídas mensalmente. Acrogonia sp. foi a espécie prevalente nas amostragens. Os resultados possibilitaram ajustar modelos aos semivariogramas da distribuição espacial das três espécies no pomar estudado. Durante os três anos consecutivos de amostragem, as populações de Acrogonia sp., D. costalimai e O. facialis apresentaram modelos de distribuição agregada somente nos meses de verão, inverno e primavera, respectivamente, mostrando a necessidade de monitoramento constante desses vetores para reduzir a sua população em épocas favoráveis ao seu desenvolvimento. Através de parâmetros geoestatísticos foi possível calcular a área de agregação das cigarrinhas no pomar. A espécie Acrogonia sp. apresentou área média de agregação de 15.760 m², enquanto para O. facialis e D. costalimai foi possível constatar áreas médias de agregação de 11.555 m² e 10.980 m², respectivamente. Esses resultados indicaram que para um levantamento seguro de cigarrinhas é necessário pelo menos dispor de uma armadilha por hectare.

Susceptibility of winter crops to Pratylenchus brachyurus and effect on the nematode population in the maize crop

The aim of this study was to evaluate the susceptibility of winter crops to Pratylenchus brachyurus and their effect on the population of phytonematodes in the maize. To study the effect of the plants on nematodes, an experiment was set up in sandy, naturally-infested soil. The area was divided into strips, consisting of six blocks of 16 treatments, with eight winter treatments, subdivided on the basis of the fertilizer used (organic: bird litter, and synthetic: NPK). The initial nematode population was determined by sampling the soil (100 cm(3)) and weeds (10 g of root). The winter treatments put in place (bristle oats, chickpea, vetch bean, common bean, oilseed radish, wheat, intercropped bristle oats + oilseed radish and fallow), and the nematode population determined 100 days after sowing. Subsequently, two maize crops (summer and short season) were planted, and the nematode population in the soil and roots determined during crop full bloom. To evaluate the susceptibility of winter crops to nematodes, an experiment was conducted under controlled conditions, determining the nematode reproduction factor (RF) in the treatments described above. Both in the field and under controlled conditions, it was observed that the bristle oats, oilseed radish and intercropped oats + oilseed radish exhibited lower reproduction rates for P. brachyurus. In the field, lower population of nematodes was observed with the application of bird litter. Under controlled conditions, the highest RF were observed in the fallow plot and under common bean and chickpea, in that order.

Population structure and effects of inbreeding on milk yield and quality of Murrah buffaloes

To provide data for conservation, selection, and expansion programs of buffalo herds, this study evaluated the history of a population of Murrah buffaloes based on population structure and the effect of inbreeding on accumulated 305-d milk yield (MY), fat yield (FY), protein yield (PY), mozzarella production (MProd), and somatic cell score (SCS). The usefulness of including the individual inbreeding coefficient (F) or individual increase in inbreeding coefficient (Delta F) in the model to describe inbreeding depression was evaluated. Pedigree information from 8,054 animals born between 1976 and 2008 and 4,497 lactation records obtained from 12 herds were used. The realized effective population size was 40.10 +/- 1.27, and the mean F of the entire population was 2.14%. The ratio between the number of founders and ancestors demonstrated the existence of a bottleneck in the pedigree of this population, which may contribute to a reduction of genetic diversity. The effect of F on MY, FY, PY, MProd, and SCS was -1.005 kg, -0.299 kg, -0.246 kg, -1.201 kg, and -0.002 units, and the effect of Delta F transformed to equivalent F (%) for a mean of 2.57 equivalent generations was -4.287 kg, -0.581 kg, -0.383 kg, -2.001 kg, and -0.007 units, respectively. The inbreeding depression observed may have important economic repercussions for production systems. The Delta F can be considered the better of the two indicators of inbreeding depression due to its properties that prevent underestimation of this effect. A designed mating system to avoid inbreeding may be applied to this population to maintain genetic diversity.

Genetic associations of sexual precocity with growth traits and visual scores of conformation, finishing, and muscling in Nelore cattle

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

Relationship Between Population Size and Symbiont Fungus Culture Volume in Colonies of Acromyrmex balzani (Hymenoptera: Formicidae)

In order to quantify the population of Acromyrmex balzani Emery, 1890 nests and to verify whether the population dynamic of the colony is correlated with the symbiont fungus volume, the principal energy source of the colony, five nests located in grassland areas were evaluated. The nests were sprayed with neutral talcum powder to improve visualization and digging. The symbiont fungus and the entire population existent in the chambers were collected. The mean fungus volume and total nest population in excavated nests were, respectively, 74.76 ml and 1,095 individuals. Simple linear correlation analysis verified that the fungus volume grew proportionally to the number of individuals. Despite the correlation between fungus volume and population dynamic of colonies, the factors that determine this relationship are little known since other microorganisms live in association with the colony.

Internal Architecture and Population Size of Acromyrmex subterraneus molestans (Hymenoptera, Formicidae) Nests: Comparison Between a Rural and an Urban Area

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)