A Spatial-Temporal Downscaling Approach To Construction Of Rainfall Intensity-Duration-Frequency Relations In The Context Of Climate Change

This paper proposes a spatial-temporal downscaling approach to construction of the intensity-duration-frequency (IDF) relations at a local site in the context of climate change and variability. More specifically, the proposed approach is based on a combination of a spatial downscaling method to link large-scale climate variables given by General Circulation Model (GCM) simulations with daily extreme precipitations at a site and a temporal downscaling procedure to describe the relationships between daily and sub-daily extreme precipitations based on the scaling General Extreme Value (GEV) distribution. The feasibility and accuracy of the suggested method were assessed using rainfall data available at eight stations in Quebec (Canada) for the 1961-2000 period and climate simulations under four different climate change scenarios provided by the Canadian (CGCM3) and UK (HadCM3) GCM models. Results of this application have indicated that it is feasible to link sub-daily extreme rainfalls at a local site with large-scale GCM-based daily climate predictors for the construction of the IDF relations for present (1961-1990) and future (2020s, 2050s, and 2080s) periods at a given site under different climate change scenarios. In addition, it was found that annual maximum rainfalls downscaled from the HadCM3 displayed a smaller change in the future, while those values estimated from the CGCM3 indicated a large increasing trend for future periods. This result has demonstrated the presence of high uncertainty in climate simulations provided by different GCMs. In summary, the proposed spatial-temporal downscaling method provided an essential tool for the estimation of extreme rainfalls that are required for various climate-related impact assessment studies for a given region.

Testing the Markov property with ultra high frequency financial data

This paper develops a framework to test whether discrete-valued irregularly-spaced financial transactions data follow a subordinated Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some discrete level. This framework is convenient for it accommodates not only the irregular spacing of transactions data, but also price discreteness. Further, it turns out that, under such an observation rule, the current price duration is independent of previous price durations given the current price realization. A simple nonparametric test then follows by examining whether this conditional independence property holds. Finally, we investigate whether or not bid-ask spreads follow Markov processes using transactions data from the New York Stock Exchange. The motivation lies on the fact that asymmetric information models of market microstructures predict that the Markov property does not hold for the bid-ask spread. The results are mixed in the sense that the Markov assumption is rejected for three out of the five stocks we have analyzed.

Modelo da dinâmica de um livro de ordens para aplicações em high-frequency trading

As operações de alta frequência (High-Frequency Trading - HFT) estão crescendo cada vez mais na BOVESPA (Bolsa de Valores de São Paulo), porém seu volume ainda se encontra muito atrás do volume de operações similares realizadas em outras bolsas de relevância internacional. Este trabalho pretende criar oportunidades para futuras aplicações e pesquisas nesta área. Visando aplicações práticas, este trabalho foca na aplicação de um modelo que rege a dinâmica do livro de ordens a dados do mercado brasileiro. Tal modelo é construído com base em informações do próprio livro de ordens, apenas. Depois de construído o modelo, o mesmo é utilizado em uma simulação de uma estratégia de arbitragem estatística de alta frequência. A base de dados utilizada para a realização deste trabalho é constituída pelas ordens lançadas na BOVESPA para a ação PETR4.

Forecasting daily volatility using high frequency financial data

Aiming at empirical findings, this work focuses on applying the HEAVY model for daily volatility with financial data from the Brazilian market. Quite similar to GARCH, this model seeks to harness high frequency data in order to achieve its objectives. Four variations of it were then implemented and their fit compared to GARCH equivalents, using metrics present in the literature. Results suggest that, in such a market, HEAVY does seem to specify daily volatility better, but not necessarily produces better predictions for it, what is, normally, the ultimate goal. The dataset used in this work consists of intraday trades of U.S. Dollar and Ibovespa future contracts from BM&FBovespa.

Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States

Real exchange rate is an important macroeconomic price in the economy and a ects economic activity, interest rates, domestic prices, trade and investiments ows among other variables. Methodologies have been developed in empirical exchange rate misalignment studies to evaluate whether a real e ective exchange is overvalued or undervalued. There is a vast body of literature on the determinants of long-term real exchange rates and on empirical strategies to implement the equilibrium norms obtained from theoretical models. This study seeks to contribute to this literature by showing that it is possible to calculate the misalignment from a mixed ointegrated vector error correction framework. An empirical exercise using United States' real exchange rate data is performed. The results suggest that the model with mixed frequency data is preferred to the models with same frequency variables

Industry analysis of the high frequency trading industry : an assessment of the industry boundaries, environment and strategic options

O Mercado Acionário Americano evoluiu rapidamente na última década. Este tornou-se uma arquitetura aberta em que participantes com tecnologia inovadora podem competir de forma eficaz. Várias mudanças regulatórias e inovações tecnológicas permitiram mudanças profundas na estrutura do mercado. Essas mudanças, junto com o desenvolvimento tecnológico de redes de alta velocidade, agiu como um catalisador, dando origem a uma nova forma de negociação, denominada Negociação em Alta Frequência (HFT). As empresas de HFT surgiram e se apropriaram em larga escala do negócio de formação de mercado, no fornecimento de liquidez. Embora HFT tem crescido massivamente, ao longo dos últimos quatro anos, HFT perdeu rentabilidade significativamente, uma vez que mais empresas aderiram ao setor reduzindo as margens. Portanto, diante deste contexto, esta tese buscou apresentar uma breve revisão sobre a atividade de HFT, seguida de uma análise dos limites deste setor, bem como, das características do macroambiente do HFT. Para tanto, a tese realizou uma extensa revisão do histórico literário, documentos públicos qualitativos, tais como, jornais, atas de reunião e relatórios oficiais. A tese empregou um ferramental de análise, Barreiras de Entrada e Mobilidade (Porter, 1980); Modelos de Evolução Setorial (McGahan, 2004); Estrutura do Setor de Informação Intensiva (Sampler, 1998), para analisar os limites do setor de HFT. Adicionalmente, empregou as ferramentas de análise, Modelos de Evolução Setorial (McGahan, 2004) e PESTEL (JOHNSON, SCHOLES, and WHITTINGTON, 2011), para analisar o setor e o contexto que envolve o negócio de HFT. A análise concluiu que as empresas que empregam HFT para atuar e competir no mercado acionário, compoem um setor independente.

On theory multiple contraction

The one which is considered the standard model of theory change was presented in [AGM85] and is known as the AGM model. In particular, that paper introduced the class of partial meet contractions. In subsequent works several alternative constructive models for that same class of functions were presented, e.g.: safe/kernel contractions ([AM85, Han94]), system of spheres-based contractions ([Gro88]) and epistemic entrenchment-based contractions ([G ar88, GM88]). Besides, several generalizations of such model were investigated. In that regard we emphasise the presentation of models which accounted for contractions by sets of sentences rather than only by a single sentence, i.e. multiple contractions. However, until now, only two of the above mentioned models have been generalized in the sense of addressing the case of contractions by sets of sentences: The partial meet multiple contractions were presented in [Han89, FH94], while the kernel multiple contractions were introduced in [FSS03]. In this thesis we propose two new constructive models of multiple contraction functions, namely the system of spheres-based and the epistemic entrenchment-based multiple contractions which generalize the models of system of spheres-based and of epistemic entrenchment-based contractions, respectively, to the case of contractions (of theories) by sets of sentences. Furthermore, analogously to what is the case in what concerns the corresponding classes of contraction functions by one single sentence, those two classes are identical and constitute a subclass of the class of partial meet multiple contractions. Additionally, and as the rst step of the procedure that is here followed to obtain an adequate de nition for the system of spheres-based multiple contractions, we present a possible worlds semantics for the partial meet multiple contractions analogous to the one proposed in [Gro88] for the partial meet contractions (by one single sentence). Finally, we present yet an axiomatic characterization for the new class(es) of multiple contraction functions that are here introduced.

Theta-associated high-frequency oscillations (110–160 Hz) in the hippocampus and neocortex

TORT, A. B. L. ; SCHEFFER-TEIXEIRA, R ; Souza, B.C. ; DRAGUHN, A. ; BRANKACK, J. . Theta-associated high-frequency oscillations (110-160 Hz) in the hippocampus and neocortex. Progress in Neurobiology , v. 100, p. 1-14, 2013.

Renal and cardiovascular effects of Bothrops marajoensis venom and phospholipase A(2)

Bothrops marajoensis is found in the savannah of Marajo Island in the State of Par S and regions of Amapa State, Brazil. The aim of the work was to study the renal and cardiovascular effects of the B. marajoensis venom and phospholipase A(2) (PLA(2)). The venom was fractionated by Protein Pack 5PW. N-terminal amino acid sequencing of sPLA(2) showed amino acid identity with other lysine K49sPLA(2)s of snake venom. B. marajoensis venom (30 mu g/mL) decreased the perfusion pressure, renal vascular resistance, urinary flow, glomerular filtration rate and sodium tubular transport. PLA(2) did not change the renal parameters. The perfusion pressure of the mesenteric bed did not change after infusion of venom. In isolated heart, the venom decreased the force of contraction and increased PP but did not change coronary flow. In the arterial pressure, the venom and PLA(2) decreased mean arterial pressure and cardiac frequency. The presence of atrial flutter and late hyperpolarisation reversed, indicating QRS complex arrhythmia and dysfunction in atrial conduction. In conclusion, B. marajoensis venom and PLA(2) induce hypotension and bradycardia while simultaneously blocking electrical conduction in the heart. Moreover, the decrease in glomerular filtration rate, urinary flow and electrolyte transport demonstrates physiological changes to the renal system. (C) 2009 Elsevier Ltd. All rights reserved.

Feeding level and frequency for freshwater angelfish

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)