Determinantes de intervenção do Banco Central do Brasil no mercado de câmbio: uma abordagem empírica por regressão logística e redes neurais

Em economias com regimes de metas de inflação é comum que Bancos Centrais intervenham para reduzir os níveis de volatilidade do dólar, sendo estas intervenções mais comuns em países não desenvolvidos. No caso do Brasil, estas intervenções acontecem diretamente no mercado à vista, via mercado de derivativos (através de swaps cambiais) ou ainda com operações a termo, linhas de liquidez e via empréstimos. Neste trabalho mantemos o foco nas intervenções no mercado à vista e de derivativos pois estas representam o maior volume financeiro relacionado à este tipo de atuação oficial. Existem diversos trabalhos que avaliam o impacto das intervenções e seus graus de sucesso ou fracasso mas relativamente poucos que abordam o que levaria o Banco Central do Brasil (BCB) a intervir no mercado. Tentamos preencher esta lacuna avaliando as variáveis que podem se relacionar às intervenções do BCB no mercado de câmbio e adicionalmente verificando se essas variáveis se relacionam diferentemente com as intervenções de venda e compra de dólares. Para tal, além de utilizarmos regressões logísticas, como na maioria dos trabalhos sobre o tema, empregamos também a técnica de redes neurais, até onde sabemos inédita para o assunto. O período de estudo vai de 2005 a 2012, onde o BCB interveio no mercado de câmbio sob demanda e não de forma continuada por longos períodos de tempo, como nos anos mais recentes. Os resultados indicam que algumas variáveis são mais relevantes para o processo de intervenção vendendo ou comprando dólares, com destaque para a volatilidade implícita do câmbio nas intervenções que envolvem venda de dólares, resultado este alinhado com outros trabalhos sobre o tema.

A Numerical method for the semilinear stochastic transport equation

Trabalho apresentado no XXXV CNMAC, Natal-RN, 2014.

Computer simulation of the stochastic transport equation

Trabalho apresentado no 37th Conference on Stochastic Processes and their Applications - July 28 - August 01, 2014 -Universidad de Buenos Aires

A Higher order and stable method for the numerical integration of Random Differential Equations

Trabalho apresentado no Congresso Nacional de Matemática Aplicada à Indústria, 18 a 21 de novembro de 2014, Caldas Novas - Goiás

Numerical integration of coupled stochastic oscillators driven by Random Forces

Trabalho apresentado no International Conference on Scientific Computation And Differential Equations 2015

On the construction of explicit exponential based schemes for Stiff SDEs

Trabalho apresentado Numerical Solution of Differential and Differential-Algebraic Equations (NUMDIFF-14), Halle, 7-11 Sep 2015

Efeitos de tempestades magnéticas em sinais de gps, em Natal, Brasil

Satellites signals present disturbances (scintillations), due to presence of irregularities in the ionospheric plasma. In the present work, we dedicate to the study of the attenuation of these scintillations that is, an improvement in the signal, during the main magnetic storm phase during the period of October 2006 to February 2007. Using amplitude of scintillation 1.5GHz (L1) data of the net of satellites GPS, in the ionospheric station of Natal (5.84o S, 35.20o O, -20o dip) and geomagnetic indices, during the minimum solar cycle (referred to as cycle 23), demonstrating its anti-correlation between magnetic activity (Kp) and index of scintillation () (Bonelli2005 method, that works for solar maximum, Bonelli(2005)). These results show that these storms correspond to category I of Aarons (1991). The magnetic storms can generate irregularities when the electric feld of penetration eastward on the pre-reversal hour intensificating that and can too generate irregularities on midnight and sunlight period. The limitation of the method applied here is that it is not considering some storms that had also occurred during equinox and summer in the Brazilian region. For this reason, we will use additional data of the stations of São João de Cariri (Imager and Photometer) and of the station at Fortaleza (Digissonde data), as aid to analyze these storms. The storms that had been left out by the applied method, fit in the other two categories of Aarons, with one only exception (storm of January, 02). We show that in the day of the main phase of the magnetic storm, and with presence of bubbles (according to data of the Imager and Photometer), the speed of vertical drift ~E ~B (hF=t) is below 20m/s, that is the threshold found for Anderson al., (2004) (>20m/s as condition favorable to the formation of irregularities and increase in the scintillation index). This reduction of the speed is due to solar minimum

Search for B-s(0)->mu(+)mu(-) decays at D0

We report results from a search for the decay B-s(0)->mu(+)mu(-) using 1.3 fb(-1) of p (p) over bar collisions at root s = 1.96 TeV collected by the D0 experiment at the Fermilab Tevatron Collider. We find two candidate events, consistent with the expected background of 1.24 +/- 0.99, and set an upper limit on the branching fraction of B(B-s(0)->mu(+)mu(-))< 1.2x10(-7) at the 95% C.L.

Measurement of the p(p)over-bar -> WZ+X cross section at root s=1.96 TeV and limits on WWZ trilinear gauge couplings

We present measurements of the process p (P) over bar -> WZ + X -> l 'nu(l ')l (l) over bar at root s = 1:96 TeV,where l and l ' are electrons or muons. Using 1 fb(-1) of data from the D0 experiment, we observe 13 candidates with an expected background of 4.5 +/- 0.6 events and measure a cross section sigma(WZ) = 2.7(-1.3)(+1.7) pb. From the number of observed events and the Z boson transverse momentum distribution, we limit the trilinear WWZ gauge couplings to -0: 17 <= lambda(Z) <= 0.21 (Delta k(Z) <= 0.29(lambda(Z) = 0) at the 95% C.L. for a form factor scale Lambda = 2 TeV. Further, assuming that Delta g(1)(Z) = Delta k(Z), we find -0.12 <= Delta k(Z) <= 0.29(lambda(Z) = 0) at the 95% C. L. These are the most restrictive limits on the WWZ couplings available to date.

Measurement of inclusive differential cross sections for Upsilon(1S) production in p(p)over-bar collisions at root s=1.96 TeV

We present measurements of the inclusive production cross sections of the Upsilon(1S) bottomonium state in p (p) over bar collisions at root s=1.96 TeV. Using the Upsilon(1S)->mu(+)mu(-) decay mode for a data sample of 159 +/- 10 pb(-1) collected by the D0 detector at the Fermilab Tevatron collider, we determine the differential cross sections as a function of the Upsilon(1S) transverse momentum for three ranges of the Upsilon(1S) rapidity: 0 <\y(Upsilon)\<= 0.6, 0.6 <\y(Upsilon)\<= 1.2, and 1.2 <\y(Upsilon)\<= 1.8.

Measurement of the ratio of B+ and B-0 meson lifetimes

The ratio of the B+ and B-0 meson lifetimes was measured using data collected in 2002-2004 by the D0 experiment in Run II of the Fermilab Tevatron Collider. These mesons were reconstructed in B&RARR;μ(+)ν D*-X decays, which are dominated by B-0 and B&RARR;μ(+)ν(D) over bar X-0 decays, which are dominated by B+. The ratio of lifetimes is measured to be τ(+)/τ(0)=1.080&PLUSMN; 0.016(stat)&PLUSMN; 0.014(syst).

Search for resonant second generation slepton production at the Fermilab Tevatron

We present a search for supersymmetry in the R-parity violating resonant production and decay of smuons and muon sneutrinos in the channels mu ->chi(0)(1)mu, mu ->chi(0)(2,3,4)mu, and nu(mu)->chi(+/-)(1,2)mu. We analyzed 0.38 fb(-1) of integrated luminosity collected between April 2002 and August 2004 with the D0 detector at the Fermilab Tevatron Collider. The observed number of events is in agreement with the standard model expectation, and we calculate 95% C.L. limits on the slepton production cross section times branching fraction to gaugino plus muon, as a function of slepton and gaugino masses. In the framework of minimal supergravity, we set limits on the coupling parameter lambda(')(211), extending significantly previous results obtained in Run I of the Tevatron and at the CERN LEP collider.

Properties of l=1 B-1 and B*(2) Mesons

This Letter presents the first strong evidence for the resolution of the excited B mesons B-1 and B-2(*) as two separate states in fully reconstructed decays to B+(*())pi(-). The mass of B-1 is measured to be 5720.6 +/- 2.4 +/- 1.4 MeV/c(2) and the mass difference Delta M between B-2* and B-1 is 26.2 +/- 3.1 +/- 0: 9 MeV/c(2), giving the mass of the B-2* as 5746.8 +/- 2.4 +/- 1.7 MeV/c(2). The production rate for B-1 and B-2* mesons is determined to be a fraction (13.9 +/- 1.9 +/- 3.2)% of the production rate of the B+ meson.

Search for production of single top quarks via tcg and tug flavor-changing-neutral-current couplings

We search for the production of single top quarks via flavor-changing-neutral-current couplings of a gluon to the top quark and a charm (c) or up (u) quark. We analyze 230 pb(-1) of lepton+jets data from p (p) over tilde collisions at a center of mass energy of 1.96 TeV collected by the D0 detector at the Fermilab Tevatron Collider. We observe no significant deviation from standard model predictions, and hence set upper limits on the anomalous coupling parameters kappa(c)(g)/Lambda and kappa(u)(g)/Lambda, where kappa(g) define the strength of tcg and tug couplings, and Lambda defines the scale of new physics. The limits at 95% C.L. are kappa(c)(g)/Lambda < 0.15 TeV-1 and kappa(u)(g)/Lambda < 0.037 TeV-1.

Measurement of the t(t)over-bar production cross section in p(p)over-bar collisions at root s=1.96 TeV using kinematic characteristics of lepton plus jets events

We present a measurement of the top quark pair production cross section in p (p) over bar collisions at root s=1.96 TeV utilizing 425 pb(-1) of data collected with the D0 detector at the Fermilab Tevatron Collider. We consider the final state of the top quark pair containing one high-p(T) electron or muon and at least four jets. We exploit specific kinematic features of t (t) over bar events to extract the cross section. For a top quark mass of 175 GeV, we measure sigma(t (t) over bar)=6.4(-1.2)(+1.3)(stat)+/- 0.7(syst)+/- 0.4(lum) pb, in good agreement with the standard model prediction.