Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.

Pair trading is an old and well-known technique among traders. In this paper, we discuss an important element not commonly debated in Brazil: the cointegration between pairs, which would guarantee the spread stability. We run the Dickey-Fuller test to check cointegration, and then compare the results with non-cointegrated pairs. We found that the Sharpe ratio of cointegrated pairs is greater than the non-cointegrated. We also use the Ornstein-Uhlenbeck equation in order to calculate the half-life of the pairs. Again, this improves their performance. Last, we use the leverage suggested by Kelly Formula, once again improving the results.

Sovereign debt with adverse selection : a quantitative approach

We construct a dynamic equilibrium model to quantitatively study sovereign debt with contingent services and country risk spreads such that the benefits of defaulting are tempered by higher interest rates in the future. For a wide range of parameters, the only equilibrium of the model is one in which the sovereign defaults in all states, unless defaulting incurs additional costs. Due to the adverse selection problem, some countries choose to delay default in order to reduce reputation loss. Although equilibria with no default imply in greater welfare levels, they are not sustainable in the highly indebted and volatile countries.

O impacto da quantitative easing americano no preço dos ativos brasileiros

Aplicando uma metodologia de testes de eventos, este estudo avalia o impacto dos anúncios de implementação e retirada dos estímulos monetários pelo Banco Central americano (FED) entre 2008 a 2013 sobre a curva de juros, a taxa de câmbio e a bolsa brasileira. Os resultados mostram que os anúncios de política monetária americana impactaram o preço dos ativos brasileiros significativamente principalmente durante o QE1 e o Tapering. Para os demais QEs, Operação Twist e eventos de postergação da retirada de estímulos, o não Tapering, ainda que os resultados encontrados estivessem dentro do esperado, eles tiveram baixa significância. Concluímos que a política monetária americana não convencional foi eficaz em impactar o preço dos ativos brasileiros, em especial os eventos não esperados. Ao incluirmos defasagens nos testes aplicados concluímos que em alguns casos houve “atraso” na incorporação das novas informações no preço dos ativos.

The impact of social security reform on occupational and retirement behavior : a quantitative assessment for Brazil

Population ageing is a problem that countries will have to cope with within a few years. How would changes in the social security system affect individual behaviour? We develop a multi-sectoral life-cycle model with both retirement and occupational choices to evaluate what are the macroeconomic impacts of social security reforms. We calibrate the model to match 2011 Brazilian economy and perform a counterfactual exercise of the long-run impacts of a recently adopted reform. In 2013, the Brazilian government approximated the two segregated social security schemes, imposing a ceiling on public pensions. In the benchmark equilibrium, our modelling economy is able to reproduce the early retirement claiming, the agents' stationary distribution among sectors, as well as the social security deficit and the public job application decision. In the counterfactual exercise, we find a significant reduction of 55\% in the social security deficit, an increase of 1.94\% in capital-to-output ratio, with both output and capital growing, a delay in retirement claims of public workers and a modification in the structure of agents applying to the public sector job.

Proteômica diferencial da Chromobacterium violaceum em resposta ao estresse oxidativo induzido por peróxido de hidrogênio

The β-proteobacterium Chromobacterium violaceum is a Gram-negative, free-living, saprophytic and opportunistic pathogen that inhabits tropical and subtropical ecosystems among them, in soil and water of the Amazon. It has great biotechnological potential, and because of this potential, its genome was completely sequenced in 2003. Genome analysis showed that this bacterium has several genes with functions related to the ability to survive under different kinds of environmental stresses. In order to understand the physiological response of C. violaceum under oxidative stress, we applied the tool of shotgun proteomics. Thus, colonies of C. violaceum ATCC 12472 were grown in the presence and absence of 8 mM H2O2 for two hours, total proteins were extracted from bacteria, subjected to SDS-PAGE, stained and hydrolysed. The tryptic peptides generated were subjected to a linear-liquid chromatography (LC) followed by mass spectrometer (LTQ-XL-Orbitrap) to obtain quantitative and qualitative data. A shotgun proteomics allows to compare directly in complex samples, differential expression of proteins and found that in C. Violaceum, 131 proteins are expressed exclusively in the control condition, 177 proteins began to be expressed under oxidative stress and 1175 proteins have expression in both conditions. The results showed that, under the condition of oxidative stress, this bacterium changes its metabolism by increasing the expression of proteins capable of combating oxidative stress and decreasing the expression of proteins related processes bacterial growth and catabolism (transcription, translation, carbon metabolism and fatty acids). A tool with of proteomics as an approach of integrative biology provided an overview of the metabolic pathways involved in the response of C. violaceum to oxidative stress, as well as significantly amplified understanding physiological response to environmental stress. Biochemical and "in silico" assays with the hypothetical ORF CV_0868 found that this is part of an operon. Phylogenetic analysis of superoxide dismutase, protein belonging to the operon also showed that the gene is duplicated in genome of C. violaceum and the second copy was acquired through a horizontal transfer event. Possibly, not only the SOD gene but also all genes comprising this operon were obtained in the same manner. It was concluded that C. violaceum has complex, efficient and versatile mechanisms in oxidative stress response

Quali/quantitative characterization of biogas produced in batch digesters supplied with six distinct substrates

Com a finalidade de se analisar quali/quantitativamente o biogás produzido por 6 tipos de substratos, efetuou-se a presente pesquisa no DER/FCAV/UNESP- SP, Brasil. Os substratos utilizados na digestão anaeróbia foram caracterizados como: 1- Esterco de aves de postura (EAP); 2- Esterco de aves de postura triturado (EAPT); 3- Esterco de aves de corte com cama de maravalha (EACM); 4- Esterco de aves de corte com cama de maravalha triturado (EACMT); 5- Esterco de aves de corte com cama de casca de amendoim (EACA), e 6- Esterco de aves de corte com cama de casca de amendoim triturado (EACAT). Dos resultados obtidos, concluiu-se que, em relação à produção acumulada de biogás, o substrato EAPT foi superior aos demais, enquanto EACM apresentou produção acumulada inferior. em geral, os substratos triturados apresentaram maior quantidade de biogás acumulado em relação aos não triturados, exceto o EACAT, com 20,9 m³ inferior ao EACA. O período de produção máxima de biogás teve início entre 45 e 60 dias, começando a decair a partir dos 120 dias. Aos 57 dias após o enchimento dos biodigestores, o gás produzido possuía teores de CH4 superiores a 53%, e a partir dos 99 dias, todos produziram biogás com teores de CH4 superiores a 70%. Os substratos EAP e EAPT apresentaram maiores concentrações de metano no biogás.

Comparative validation using quantitative real-time PCR (qPCR) and conventional PCR of bovine semen centrifuged in continuous density gradient

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

Influence of early quantitative food restriction on long bone growth at different environmental temperatures in broiler chickens

1. This investigation was carried out to study the influence of early quantitative food restriction (40% of ad libitum intake from 7 to 14 d of age) and environmental rearing temperature (thermoneutral, cold and hot) on long bone (tibia, femur and humerus) development in broiler chickens.2. Tibia, femur and humerus were obtained at the ages of 14, 21, 28, 35 and 42 d; and the variables studied were: length and width (mm, expressed as absolute values), bone breaking strength (kgf) and bone weight/bone length index (BW/BL, mg/mm).3. All bone variables increased with bird age. Food restriction reduced bone length and width but did not affect bone weight. High environmental rearing temperature reduced bone length and width at 42 d of age. Bone strength was not affected by environmental temperature but the calculated BW/BL index was reduced by heat exposure.4. The findings suggest that food restriction and high environmental rearing temperature reduce long bone growth; bone breaking strength was affected by bird age but not by food restriction nor rearing ambient temperature.

A quantitative nature of somatic embryogenesis in soybean

The objectives of this research were to investigate the genetic parameters associated with the in vitro formation of somatic embryos in soybean and to determine the effect of light intensity on the embryogenic capability of F-1, F-2, and backcross (RC1P1 and RC1P2) progenies derived from crosses between embryogenic (IAS-5 and Embrapa-1) and nonembryogenic (Parana) cultivars. Immature cotyledons (4-6 mm in length) derived from the parental lines, F-1, F-2, RC1P1, and RC1P2 were grown for 90 d on the inductive N10 medium, after which the number of somatic embryos was recorded. Chi-square tests for goodness of fit showed that the genetic component of the somatic embryogenesis trait is controlled in a quantitative manner by approximately 10 genes. A normal distribution for somatic embryo formation in the F-2 generations was observed reinforcing the quantitative nature of the trait. Variation in light intensity (8-12 and 27-33 mu mol m(-2) s(-1)) had no effect on somatic embryo formation in the parental material tested.

Selection and validation of reference genes for gene expression studies by reverse transcription quantitative PCR in Xanthomonas citri subsp citri during infection of Citrus sinensis

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

Quantitative and qualitative characteristics of the non-carcass components and the meat of lambs fed sunflower seeds and vitamin E

The objective of this investigation was to evaluate the weight and percentage of the non-carcass components and the mineral content (macro minerals and trace minerals), crude protein, ether extract, moisture and vitamin E of the heart, liver, tongue, lungs, reticulum, kidneys and meat from the longissimus dorsi of lambs in feedlot finishing. Thirty-two non-castrated Ile de France male lambs, fed diets containing sunflower seeds and vitamin E from 15 to 32 kg of body weight were allotted in a completely randomized design in a 2 × 2 factorial arrangement. The weight of the gastrointestinal tract was higher in the lambs fed diets containing vitamin E (10%). No difference was observed in the liver as to the mineral matter, crude protein, ether extract, moisture (2.01; 20.03; 2.39 and 74.78 g/100 g, respectively), the macro minerals and trace minerals, except iron. In the tongue, lungs, reticulum, kidneys and meat there was no in fluence of diets in the studied variables. The liver and the meat presented different values of crude protein (20.01 and 18.34 g/100 g, respectively), and the heart (1.03 mg/100 g) showed a higher content of vitamin E. High contents of manganese, zinc and copper were observed in the liver. The evaluated non-carcass components were nutritionally equal to the sheep meat, once, in addition to their high yield in relation to the body weight at slaughter, the non-carcass components are sources of nutrients.

Quantitative control of Lettuce mosaic virus fitness and host defence inhibition by P1-HCPro

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

Quantitative study of the myenteric plexus of the stomach of rats with streptozotocin-induced diabetes

A proposta deste trabalho foi estudar as alterações morfológicas e quantitativas dos neurônios do plexo mientérico do estômago de ratos com diabetes induzido por estreptozootocina e estabelecer uma comparação com animais não diabéticos. Amostras do corpo do estômago foram submetidas a preparados de membrana corados pelo método da NADH-diaforase e a cortes histológicos corados por hematoxilina-eosina. Observou-se que o diabetes provoca significante redução no número de neurônios.

Mapping of quantitative trait loci controlling tick [Riphicephalus (Boophilus) microplus] resistance on bovine chromosomes 5, 7 and 14

Differences in domestication and selection processes have contributed to considerable phenotypic and genotypic differences between Bos taurus and Bos indicus cattle breeds. of particular interest in tropical and subtropical production environments are those genetic differences between subspecies that underlie the phenotypic extremes in tolerance and susceptibility to parasite infection. In general, B. taurus cattle are more susceptible to ectoparasites than B. indicus cattle in tropical environments, and much of this difference is under genetic control. To identify genomic regions involved in tick resistance, we developed a B. taurus x B. indicus F-2 experimental population to map quantitative trait loci (QTL) for resistance to the Riphicephalus (Boophilus) microplus tick. About 300 individuals were measured for parasite load in two seasons (rainy and dry) and genotyped for 23 microsatellite markers covering chromosomes 5, 7 and 14. We mapped a suggestive chromosome-wide QTL for tick load in the rainy season (P < 0.05) on chromosome 5. For the dry season, suggestive (P < 0.10) chromosome-wide QTL were mapped on chromosomes 7 and 14. The additive effect of the QTL on chromosome 14 corresponds to 3.18% of the total observed phenotypic variance. Our QTL-mapping study has identified different genomic regions controlling tick resistance; these QTL were dependent upon the season in which the ticks were counted, suggesting that the QTL in question may depend on environmental factors.

Analytical Validation of Quantitative High-Performance Liquid Chromatographic Methods in Pharmaceutical Analysis: A Practical Approach

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