Price discovery using a regime-sensitive cointegration approach

This work proposes a method to examine variations in the cointegration relation between preferred and common stocks in the Brazilian stock market via Markovian regime switches. It aims on contributing for future works in "pairs trading" and, more specifically, to price discovery, given that, conditional on the state, the system is assumed stationary. This implies there exists a (conditional) moving average representation from which measures of "information share" (IS) could be extracted. For identification purposes, the Markov error correction model is estimated within a Bayesian MCMC framework. Inference and capability of detecting regime changes are shown using a Montecarlo experiment. I also highlight the necessity of modeling financial effects of high frequency data for reliable inference.

Modelamento estocástico da dinâmica do livro de ordens: uma aplicação ao mercado brasileiro

O presente trabalho trata da importância do modelamento da dinâmica do livro de ordens visando a compreensão dessa microestrutura de mercado. Para tanto, objetiva aplicar as técnicas de modelamento do livro de ofertas utilizando o modelo estocástico proposto por Cont, Stoikov e Talreja (2010) ao mercado acionário brasileiro. Uma vez aplicado o modelo, analisamos os resultados obtidos sob a ótica de outros estudos empíricos, como Bouchaud et al. (2002). Após a estimação e análise dos resultados foram realizadas simulações para constatar se os parâmetros encontrados refletem a dinâmica do mercado local, para diferentes cenários de normalização do tamanho das ordens. Por fim, com a análise dos resultados encontrados, foi possível concluir, com algumas ressalvas, que o modelo proposto é válido para o mercado de ações brasileiro, assim como é apresentado o impacto da liquidez dos ativos na comparação aos parâmetros encontrados em outros mercados internacionais.

Creditor's protection and bank loans: lack of competition hamprers bankruptcy reform's effects

This dissertation investigates how credit institutions’ market power limits the effects of creditor protection rules on the interest rate and the spread of bank loans. We use the Brazilian Bankruptcy Reform of June/2005 (BBR) as a legal event affecting the institutional environment of the Brazilian credit market. The law augments creditor protection and aims to improve the access of firms to the credit market and to reduce the cost of borrowing. Either access to credit or the credit cost are also determined by bank industry competition and the market power of suppliers of credit. We derive a simple economic model to study the effect of market power interacting with cost of lending. Using an accounting and operations dataset from July/2004 to December/2007 provided by the Brazilian Central Bank, we estimate that the lack of competition in the bank lending industry hinders the potential reducing effect of the BBR on the interest rate of corporate loans by approximately 30% and on the spread by approximately 23%. We also find no statistical evidence that the BBR affected the concentration level of the Brazilian credit market. We present a brief report on bankruptcy reforms around the world, the changes in the Brazilian legislation and on some recent related articles in our introductory chapter. The second chapter presents the economic model and the testable hypothesis on how the lack of competition in the lending market limits the effects of improved creditor protection. In this chapter, we introduce our empirical strategy using a differences-in-differences model and we estimate the limiting effect of market power on the BBR’s potential to reduce interest rates and on the spread of bank loans. We use the BBR as an exogenous event that affects collateralized corporate loans (treatment group) but that does not affect clean consumer loans (control group) to identify these effects, using different concentration measures. In Chapter 3, we propose a two-stage empirical strategy to handle the H–Statistics proposed by Panzar and Rosse as a measure of market competition. We estimate the limiting effects of the lack of competition in replacing the concentration statistics by the H–Statistics. Chapter 4 presents a structural break test of the concentration index and checks if the BBR affects the dynamic evolution of the concentration index.

The Brazilian financial system and the green economy : alignment with sustainable development

Three studies were prepared and are presented in this document. The first, The Brazilian Financial Sector Institutional Context in the Transition to Sustainable Development looks at the legislation, regulation, and public policies aimed at socio-environmental themes related to the financial sector. The second study, Current Financing for the Green Economy in Brazil, provides an initial estimate of the financial assets already allocated to the green economy, as well as a methodological proposal for the survey and monitoring of the respective flow of assets. The third and final study looks at two important segments of the Brazilian economy and their process of transition to a greener economy: renewable energy and agriculture.

Characterization of the Interactions between Endocrine Disruptors and Aquatic Humic Substances from Tropical Rivers

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

Size-related shifts in dietary composition of Centropomus parallelus (Perciformes: Centropomidae) in an estuarine ecosystem of the southeastern coast of Brazil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

A comparative study of population traits between two South American populations of the striped-legged hermit crab Clibanarius vittatus

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Ecological aspects of the free-living ticks (Acari: Ixodidae) on animal trails within Atlantic rainforest in south-eastern Brazil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Tradução, adaptação cultural e propriedades psicométricas da versão brasileira do Short-Form of the Mobility Assessment Tool (MAT-sf)

Objectives: to translate and assess the psychometric properties of the Brazilian short-form of the Mobility Assessment Tool (MAT-sf) in Brazilians community elderly. Methds: the 12 items MAT-sf went through the process of translation and back translation into Portuguese of the Brazil, considering the semantic and cultural adaptation. In a sample of 150 aged 65-74 years living in the community, the instrument's psychometric properties were evaluated by analysis of convergent and construct validity and test-retest reliability. The main outcomes measures used for validation included in the battery of tests of physical ability, self-repor measures of functional limitations, health, depression, cognitive and sex. The test-retest reliability of the instrument was assessed using the intra-class correlation coefficient (ICC), 40 subjects were reassessed after an interval of 14 days of assessment. Results: the concurrent validity for the MAT-sf was evidenced by significant correlations with SPPB (r = 0,53), number of functional limitations (r = -0,62) and depressive symptoms (r = -0,45). The construct validity of the instrument was measured by gradual and significant increase of the MAT-sf scores with high levels of physical performance and with positive self-reported health, also found that MAT-sf scores were statistically differents according to sex. The variation in MAT-sf scores (R2 = 0,41) was explained by SPPB, number of limitations for activities of daily life and depressive symptoms. High values for test-retest reliability was evidencend by ICC = 0,94, 95% CI = 0,90 0,97. Conclusions: the Brazilian version of the short-form of the Mobility Assessment Tool has values of validity and reliability to ensure its use in elderly populations living in communities

Analysis of the Influence of Sparkout Time on Grinding Using Several Lubrication/Cooling Methods

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

Application of the Minimum Quantity Lubrication (MQL) Technique in the Plunge Cylindrical Grinding Operation

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

Computations of the flow past a still sphere at moderate reynolds numbers using an immersed boundary method

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Mathematical modeling of the ester oil-refrigerant R134A mixture two-phase flow with foam formation through a small diameter tube

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Dentists' level of knowledge of the treatment plans for periodontal ligament injuries after dentoalveolar trauma

This study investigated the level of knowledge held by dentists about the possible treatment plan procedures for periodontal ligament injuries after dentoalveolar trauma. A 5-item self-applied questionnaire was prepared with questions referring to the professional profile of the interviewees and to the treatment plan they would propose for periodontal ligament injuries secondary to dentoalveolar trauma. The questionnaires were filled out by 693 dentists attending the 23rd Annual Meeting of the Brazilian Society for Dental Research, and the data obtained were subjected to descriptive analysis. Either the chi-square test or Fisher's exact test was applied to assess associations among variables, at a 5% level of significance. The results revealed that dentists experienced difficulty in establishing a treatment plan for subluxation, and for extrusive, lateral and intrusive luxations. In general, holding a dental specialty degree had no influence on the knowledge about treatment plan procedures for the most severe injuries. It could be concluded that the dentists participating in this study, whether specialists or not, did not have sufficient knowledge to treat most of the periodontal ligament injuries resulting from dentoalveolar trauma adequately.

Fishes of the Atlantic Rainforest of Boraceia: testimonies of the Quaternary fault reactivation within a Neoproterozoic tectonic province in Southeastern Brazil

The upper portion of the Rio Guaratuba, located in the Serra do Mar coastal range of Southeastern Brazil, shows biological and geological evidences of being captured and diverted away from its original course in the direction of the Parana River Basin to become a coastal river due to the Quaternary activity of NW-trending faults. Despite draining directly to the Atlantic Ocean, the upper portion of the Guaratuba still maintains an ichthyofauna that is typical of the adjoining Parana River Basin rather than the characteristic fish fauna of the Brazilian coastal drainages. The fish fauna of the upper Guaratuba is an evident testimony of the tectonic process that allowed the faunal interchange between the upland basins and the coastal drainages that probably has been taking place in Southeastern Brazil throughout the long geological history of the passive Brazilian continental margin.