Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data

Multi-factor models constitute a useful tool to explain cross-sectional covariance in equities returns. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an empirical example with the 389 most liquid equities in the Brazilian Market. The market index shows itself significant to explain equity returns while the US$/Brazilian Real exchange rate and the Brazilian standard interest rate does not. This example shows the usefulness of the estimation method in further using the model to fill in missing values and to provide interval forecasts.

Economic landscapes, what are they? an application to the Brazilian economy and to the sugar cane complex

In assessing the economic impact of a sector or group of sectors on a single or multiregional economy, input-output analysis has proven to be a popular method. . However, there has a problem in displaying all the information that can be obtained from this analytical approach. In this paper, we have tried to set new directions in the use of input-output analysis by presenting an improved way of looking at the economic landscapes. While this is not a new concept, a new meaning is explored in this paper; essentially, it will now be possible to visualize, in a simple picture, all the relations in the economy as well as being able to view how one sector is related to the other sectors/regions in the economy. These relations can be measured in terms of structural changes, production, value added, employment, imports, etc. While all the possibilities cannot be explored in this paper, the basic idea is given here and the smart reader can uncover all the various possibilities. To illustrate the power of analysis provided by the economic landscapes, an application is made to the sugar cane complex using an interregional inputoutput system for the Brazilian economy, constructed for 2 regions (Northeast and Rest of Brazil), for the years of 1985, 1992, and 1995.

Using irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data

Multi-factor models constitute a use fui tool to explain cross-sectional covariance in equities retums. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an empirical example with the 389 most liquid equities in the Brazilian Market. The market index shows itself significant to explain equity returns while the US$/Brazilian Real exchange rate and the Brazilian standard interest rate does not. This example shows the usefulness of the estimation method in further using the model to fill in missing values and to provide intervaI forecasts.

A critical value function approach, with an application to persistent time-series

Researchers often rely on the t-statistic to make inference on parameters in statistical models. It is common practice to obtain critical values by simulation techniques. This paper proposes a novel numerical method to obtain an approximately similar test. This test rejects the null hypothesis when the test statistic islarger than a critical value function (CVF) of the data. We illustrate this procedure when regressors are highly persistent, a case in which commonly-used simulation methods encounter dificulties controlling size uniformly. Our approach works satisfactorily, controls size, and yields a test which outperforms the two other known similar tests.

JML- Based formal development of a Java card application for managing medical appointments

Although formal methods can dramatically increase the quality of software systems, they have not widely been adopted in software industry. Many software companies have the perception that formal methods are not cost-effective cause they are plenty of mathematical symbols that are difficult for non-experts to assimilate. The Java Modelling Language (short for JML) Section 3.3 is an academic initiative towards the development of a common formal specification language for Java programs, and the implementation of tools to check program correctness. This master thesis work shows how JML based formal methods can be used to formally develop a privacy sensitive Java application. This is a smart card application for managing medical appointments. The application is named HealthCard. We follow the software development strategy introduced by João Pestana, presented in Section 3.4. Our work influenced the development of this strategy by providing hands-on insight on challenges related to development of a privacy sensitive application in Java. Pestana’s strategy is based on a three-step evolution strategy of software specifications, from informal ones, through semiformal ones, to JML formal specifications. We further prove that this strategy can be automated by implementing a tool that generates JML formal specifications from a welldefined subset of informal software specifications. Hence, our work proves that JML-based formal methods techniques are cost-effective, and that they can be made popular in software industry. Although formal methods are not popular in many software development companies, we endeavour to integrate formal methods to general software practices. We hope our work can contribute to a better acceptance of mathematical based formalisms and tools used by software engineers. The structure of this document is as follows. In Section 2, we describe the preliminaries of this thesis work. We make an introduction to the application for managing medical applications we have implemented. We also describe the technologies used in the development of the application. This section further illustrates the Java Card Remote Method Invocation communication model used in the medical application for the client and server applications. Section 3 introduces software correctness, including the design by contract and the concept of contract in JML. Section 4 presents the design structure of the application. Section 5 shows the implementation of the HealthCard. Section 6 describes how the HealthCard is verified and validated using JML formal methods tools. Section 7 includes some metrics of the HealthCard implementation and specification. Section 8 presents a short example of how a client-side of a smart card application can be implemented while respecting formal specifications. Section 9 describes a prototype tools to generate JML formal specifications from informal specifications automatically. Section 10 describes some challenges and main ideas came acrorss during the development of the HealthCard. The full formal specification and implementation of the HealthCard smart card application presented in this document can be reached at https://sourceforge.net/projects/healthcard/.

Application of fuzzy logic for the evaluation of livestock slaughtering

A lógica fuzzy admite infinitos valores lógicos intermediários entre o falso e o verdadeiro. Com esse princípio, foi elaborado neste trabalho um sistema baseado em regras fuzzy, que indicam o índice de massa corporal de animais ruminantes com objetivo de obter o melhor momento para o abate. O sistema fuzzy desenvolvido teve como entradas as variáveis massa e altura, e a saída um novo índice de massa corporal, denominado Índice de Massa Corporal Fuzzy (IMC Fuzzy), que poderá servir como um sistema de detecção do momento de abate de bovinos, comparando-os entre si através das variáveis linguísticas )Muito BaixaM, ,BaixaB, ,MédiaM, ,AltaA e Muito AltaM. Para a demonstração e aplicação da utilização deste sistema fuzzy, foi feita uma análise de 147 vacas da raça Nelore, determinando os valores do IMC Fuzzy para cada animal e indicando a situação de massa corpórea de todo o rebanho. A validação realizada do sistema foi baseado em uma análise estatística, utilizando o coeficiente de correlação de Pearson 0,923, representando alta correlação positiva e indicando que o método proposto está adequado. Desta forma, o presente método possibilita a avaliação do rebanho, comparando cada animal do rebanho com seus pares do grupo, fornecendo desta forma um método quantitativo de tomada de decisão para o pecuarista. Também é possível concluir que o presente trabalho estabeleceu um método computacional baseado na lógica fuzzy capaz de imitar parte do raciocínio humano e interpretar o índice de massa corporal de qualquer tipo de espécie bovina e em qualquer região do País.

A layer-by-layer film of chitosan in a taste sensor application

Chitosan is alternated with sulfonated polystyrene (PSS) to build layer-by-layer (LBL) films that are used as sensing units in an electronic tongue. Using impedance spectroscopy as the principle method of detection, an array using chitosan/PSS LBL film and a bare gold electrode as the sensing units was capable of distinguishing the basic tastes - salty, sweet, bitter, and sour - to a concentration below the human threshold. The suitability of chitosan as a sensing material was confirmed by using this sensor to distinguish red wines according to their vintage, vineyard, and brands.

Application of the Potentiometric Stripping Analysis with Constant Current for the Determination of Lithium Ions Using a Spinel-Type Manganese (IV) Oxide-Modified Carbon Paste Electrode

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Voltammetric performance and application of a sensor for sodium ions constructed with layered birnessite-type manganese oxide

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Spray layer-by-layer films based on phospholipid vesicles aiming sensing application via e-tongue system

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

Group analysis method for fission track thermochronology

A methodology to obtain ages and thermal histories of sets of apatite samples from localities with geologically compatible characteristics is described. A methodology exploring the fact that samples with similar geological characteristics should present the same thermal history is proposed. This approach can contribute for the obtainment of more conclusive results by analysing fewer samples than it is necessary when the samples are individually analysed. In order to determine the ages, we use the absolute neutron dosimetry through thin films of natural uranium along with lambda(f) = 8.46 x 10(-17) a(-1). As an example of application of the proposed methodology, we analyse samples collected in a Brazilian region, Sao Francisco Craton, which experienced low tectonic activity. (C) 2008 Elsevier Ltd. All rights reserved.

Immobilization of streptavidin in sol-gel films: Application on the diagnosis of hepatitis C virus

Recent advances have accelerated the development of biosensors for the analysis of specific gene sequences. In this kind of biosensor, a DNA probe is immobilized on a transducer and the hybridization with the target DNA is monitored by suitable methodology. In the present work, the streptavidin (STA) was encapsulated in thin films siloxane-poly(propylene oxide) hybrids prepared by sol-gel method and deposited on the graphite electrode surface by dip-coating process. Biotinylated 18-mer probes were immobilized through STA and a novel amperometric DNA biosensor for the detection and genotyping of the hepatitis C virus (genotypes 1, 2A/C, 2B and 3) is described. The HCV RNA from serum was submitted to reverse transcriptase-linked polymerase chain reaction (RT-PCR) and biotin-labeled cDNA was obtained. Thus, the cDNA was hybridized to the target-specific oligonucleotide probe immobilized on the graphite electrode surface and following the avidin-peroxidase conjugate was added. The enzymatic response was investigated by constant potential amperometry at -0.45 V versus Ag/AgCl using H2O2 and KI solutions. HCV RNA negative and positive controls and positive samples of sera patients were analyzed and the results were compared to commercial kit. The proposed methodology appeared to be suitable and convenient tool for streptavidin immobilization and diagnose of HCV disease. (c) 2006 Elsevier B.V. All rights reserved.

Predictor-Corrector Primal-Dual Interior Point Method for Solving Economic Dispatch Problems: A Postoptimization Analysis

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

Multiresidue determination of pesticides in honey samples by gas chromatography-mass spectrometry and application in environmental contamination

A simple and fast multiresidue method has been developed to determine 48 pesticides within the major groups of pesticides (organohalogen, organophosphorous, pyrethroids and organonitrogen) in representative samples of locally produced honey, in Bauru (State of São Paulo, Brazil) during 2003-2004. The recovery results found ranged from 76% to 95% and the limits of detection were lower than 0.01 mg/kg for gas chromatography with electron impact mass spectrometric detection in the selected ion monitoring mode (GC-MS-SIM). The results indicated that most pesticides found in the samples belonged to the organohalogen and organophosphorous groups and lower levels of residues of some organonitrogen and pyretroids were also detected. Malathion residues were detected in all the samples, in a high concentration, owing to its applications to control dengue mosquitoes in the area studied. (c) 2005 Elsevier Ltd. All rights reserved.

Synthesis and characterization of Fe(III)-doped ceramic membranes of titanium dioxide and its application in photoelectrocatalysis of a textile dye

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