A three-regime model of speculative behaviour: modelling the evolution of the S&P 500 composite index

We examine whether a three-regime model that allows for dormant, explosive and collapsing speculative behaviour can explain the dynamics of the S&P 500. We extend existing models of speculative behaviour by including a third regime that allows a bubble to grow at a steady rate, and propose abnormal volume as an indicator of the probable time of bubble collapse. We also examine the financial usefulness of the three-regime model by studying a trading rule formed using inferences from it, whose use leads to higher Sharpe ratios and end of period wealth than from employing existing models or a buy-and-hold strategy.

A model for exchange rates with crawling bands: an application to the Colombian peso

This paper builds upon previous research on currency bands, and provides a model for the Colombian peso. Stochastic differential equations are combined with information related to the Colombian currency band to estimate competing models of the behaviour of the Colombian peso within the limits of the currency band. The resulting moments of the density function for the simulated returns describe adequately most of the characteristics of the sample returns data. The factor included to account for the intra-marginal intervention performed to drive the rate towards the Central Parity accounts only for 6.5% of the daily change, which supports the argument that intervention, if performed by the Central Bank, it is not directed to push the currency towards the limits. Moreover, the credibility of the Colombian Central Bank, Banco de la República’s ability to defend the band seems low.

Property company performance and real interest rates: a regime-switching approach

Linear models of property market performance may be misspecified if there exist distinct states where the market drivers behave in different ways. This paper examines the applicability of non-linear regime-based models. A Self Exciting Threshold Autoregressive (SETAR) model is applied to property company share data, using the real rate of interest to define regimes. Distinct regimes appear exhibiting markedly different market behaviour. The model both casts doubt on the specification of conventional linear models and offers the possibility of developing effective trading rules for real estate equities.

Breaking the impasse: towards a new regime for international climate governance

The reality of the current international order makes it imperative that a just and effective climate regime balance the historical responsibility of developed countries with the increasing absolute emissions from many developing nations. In this short outlook article, key pillars are proposed for a new international climate architecture that envisions replacing the current annex system with two new annexes –Annex α, for countries with high current emissions and historically high emissions, and Annex β, for countries with high current emissions and historically low emissions. Countries in both annexes would implement legally binding targets under this framework. Additionally, this proposal includes tweaks and revisions to funding and technology transfer mechanisms to correct for weaknesses and inequities under the current Kyoto architecture. The proposed framework stems from a belief that a top-down, international approach to climate policy remains the most effective for ensuring environmental integrity. Given the slow rate of institutional learning, reforming and improving the current system is held as a more efficient course of action than abandoning the progress already achieved. It is argued that the proposed framework effectively accommodates key equity, environmental integrity and political feasibility concerns.

Eddy-driven exchange between the open ocean and a sub-ice shelf cavity

The exchange between the open ocean and sub-ice shelf cavities is important to both water mass transformations and ice shelf melting. Here we use a high-resolution (500 m) numerical model to investigate to which degree eddies produced by frontal instability at the edge of a polynya are capable of transporting dense High Salinity Shelf Water (HSSW) underneath an ice shelf. The applied surface buoyancy flux and ice shelf geometry is based on Ronne Ice Shelf in the southern Weddell Sea, an area of intense wintertime sea ice production where a flow of HSSW into the cavity has been observed. Results show that eddies are able to enter the cavity at the southwestern corner of the polynya where an anticyclonic rim current intersects the ice shelf front. The size and time scale of simulated eddies are in agreement with observations close to the Ronne Ice Front. The properties and strength of the inflow are sensitive to the prescribed total ice production, flushing the ice shelf cavity at a rate of 0.2–0.4 × 106 m3 s−1 depending on polynya size and magnitude of surface buoyancy flux. Eddy-driven HSSW transport into the cavity is reduced by about 50% if the model grid resolution is decreased to 2-5 km and eddies are not properly resolved.

Chromium ions phytoaccumulation by three floating aquatic macrophytes from a nutrient medium

In the present work, the trivalent and hexavalent chromium phytoaccumulation by three living free floating aquatic macrophytes Salvinia auriculata, Pistia stratiotes, and Eicchornia crassipes was investigated in greenhouse. These plants were grown in hydroponic solutions supplied with non-toxic Cr3+ and Cr6+ chromium concentrations, performing six collections of nutrient media and plants in time from a batch system. The total chromium concentrations into Cr-doped hydroponic media and dry roots and aerial parts were assayed, by using the Synchrotron radiation X-ray fluorescence technique. The aquatic plant-based chromium removal data were described by using a nonstructural kinetic model, obtaining different bioaccumulation rate, ranging from 0.015 to 0.837 1 mg(-1) d(-1). The Cr3+ removal efficiency was about 90%, 50%, and 90% for the E. crassipes, P. stratiotes, and S. auriculata, respectively; while it was rather different for Cr6+ one, with values about 50%, 70%, and 90% for the E. crassipes, P. stratiotes, and S. auriculata.

Investigation of Iron (III) desferrioxamine B oxalate ligand exchange by UV-vis spectroscopy: the next step in developing a quantitative analytical method for measuring bioavailable iron in marine ecosystems

To date there are no analytical techniques designed to exclusively measure bioavailable iron in marine environments. The goal of this research is to develop such a technique by isolating the bioavailable iron using the terrestrial siderophore desferrioxamine B (DFB). This project contained many challenging aspects, but the specific goal of this study was to develop a robust analytical technique for quantification of Fe(III)-DFB complexes at nanomolar concentrations. Past work showed that oxalate (Ox) promotes photodissociation of Fe(III)-DFB to Fe(Il), and we are specifically interested in the mechanism of this process. A model was developed using known thermodynamic constants for Fe(III)-DFB and Fe(III) oxalato complexes and adjusting for ionic strength. The model was confirmed by monitoring the UV-VIS absorbance of the system at a variety of oxalate concentrations and pH. The model did not include ternary complexes. Next., the rate of Fe(1I) production during UV irradiation was examined. The results showed that the rate of Fe(II) production was based entirely on the [Fe(Ox)?]3- speciation, and that reoxidation of Fe(II) occurred via reactive oxygen intermediates. This reoxidation could be avoided by either decreasing the oxygen concentration or by adding a Fe(II) stabilizing reagent, such as ferrozine. Further studies need to be done to confirm that these results apply at sub nanomolar concentrations, and the issue of Fe(II) reoxidation at lower Fe concentrations needs to be addressed.

A inércia da inflação no regime de metas: os casos da Nova Zelandia, Reino Unido e Brasil

O objetivo da dissertação é avaliar o impacto da adoção do regime de metas na inércia da inflação. A inércia é analisada de acordo com procedimentos tradicionalmente adotados na literatura, através de modelos ARIMA. Em virtude das metas de inflação não serem imutáveis ao longo do tempo, propõe-se uma metodologia para se medir a inércia da taxa de inflação, onde esta possui dois componentes: a tendência e a parte transitória. A inércia da inflação será, então, medida pelo coeficiente com que a taxa de inflação converge para sua taxa de longo prazo.

Capital flows and monetary control under a domestic currency substitution regime: the recent Brazilian experience

The 90s have witnessed a resumption in capital flows to Latin America. due to the conjugation of low interest rates in the US and economic reforms in most LA countries. In Brazil. however. substantial capital flows have becn induced by the extremely high domestic interest rates practiced by the Central Bank as a measure of last reson given the absence of successful stabilization policies. These very high interest rates were needed to prevent capital flight in a context of a surprisingly stable inflation rate above 20% a month. and keep interest bearing govemment securities preferable to foreign assets as money substitutes. We carefully describe how this domestic currency substitution regime (interest bearing govemment securities are substituted for MIas cash holdings) requires the Central Bank to renounce aoy control over monerary aggregates. In this domestic currency substitution regime. hyperinflation is the most likely outcome of an isolated (i.e.. without fiscal adjusanents) attempt by the Brazilian Central Bank to control money.

Técnicas de simplificação de redes e otimização multiobjetivo para análise de variações de tensão em regime permanente provocadas por parques eólicos integrados ao sistema elétrico

This study presents a description of the development model of a representation of simplified grid applied in hybrid load flow for calculation of the voltage variations in a steady-state caused by the wind farm on power system. Also, it proposes an optimal load-flow able to control power factor on connection bar and to minimize the loss. The analysis process on system, led by the wind producer, it has as base given technician supplied by the grid. So, the propose model to the simplification of the grid that allows the necessity of some knowledge only about the data referring the internal network, that is, the part of the network that interests in the analysis. In this way, it is intended to supply forms for the auxiliary in the systematization of the relations between the sector agents. The model for simplified network proposed identifies the internal network, external network and the buses of boulders from a study of vulnerability of the network, attributing them floating liquid powers attributing slack models. It was opted to apply the presented model in Newton-Raphson and a hybrid load flow, composed by The Gauss-Seidel method Zbarra and Summation Power. Finally, presents the results obtained to a developed computational environment of SCILAB and FORTRAN, with their respective analysis and conclusion, comparing them with the ANAREDE

Desenvolvimento e caracterização de dispositivos para reposição de filmes finos por descarga em cátodo oco

In the present work we use a plasma jet system with a hollow cathode to deposit thin TiO2 films on silicon substrates as alternative at sol-gel, PECVD, dip-coating e magnetron sputtering techniques. The cylindrical cathode, made from pure titanium, can be negatively polarized between 0 e 1200 V and supports an electrical current of up to 1 A. An Ar/O2 mixture, with a total flux of 20 sccm and an O2 percentage ranging between 0 and 30%, is passed through a cylindrical hole machined in the cathode. The plasma parameters and your influence on the properties of deposited TiO2 films and their deposition rate was studied. When discharge occurs, titanium atoms are sputtered/evaporated. They are transported by the jet and deposited on the Si substrates located on the substrate holder facing the plasma jet system at a distance ranging between10 and 50 mm from the cathode. The working pressure was 10-3 mbar and the deposition time was 10 -60 min. Deposited films were characterized by scanning electron microscopy and atomic force microscopy to check the film uniformity and morphology and by X-ray diffraction to analyze qualitatively the phases present. Also it is presented the new dispositive denominate ionizing cage, derived from the active screen plasma nitriding (ASPN), but based in hollow cathode effect, recently developed. In this process, the sample was involved in a cage, in which the cathodic potential was applied. The samples were placed on an insulator substrate holder, remaining in a floating potential, and then it was treated in reactive plasma in hollow cathode regime. Moreover, the edge effect was completely eliminated, since the plasma was formed on the cage and not directly onto the samples and uniformity layer was getting in all sampl

Respostas morfogênicas e estruturais de gramíneas tropicais em regime de corte no nordeste brasileiro

The production of forage grasses is directly related to the morphogenesis. The knowledge of the morphogenetic and structural variables of forage plants is important for determining appropriate conditions of grazing livestock to ensure efficient and sustainable. Thus the objective of this study was to evaluate morphogenetic and structural responses of three genera of grasses, Brachiaria, Panicum and Cenchrus in a cutting regime. The experimental design was randomized blocks with three replications and six treatments. After each section were evaluated for forage production, appearance and elongation rates of leaves and stem, phyllochron, final leaf length, number of living leaves, leaf lifespan, leaf senescence rate, tiller density and tiller dynamics. On forage yield the highest values were obtained in cultivars Xaraes, Piata and Massai. The tiller density was higher for cv Massai. It is concluded that the cultivars of Panicum and Brachiaria had a higher tillering dynamics in increasing the turnover rate of tissues that are indicators of forage production, assuming that the cultivars of these genera are predisposed to use forage in the Northeast

Effects of chronic acetazolamide administration on gas exchange and acid-base control in pulmonary circulation in exercising horses

P>Reasons for performing study:Carbonic anhydrase (CA) catalyses the hydration/dehydration reaction of CO(2) and increases the rate of Cl- and HCO(3)- exchange between the erythrocytes and plasma. Therefore, chronic inhibition of CA has a potential to attenuate CO(2) output and induce greater metabolic and respiratory acidosis in exercising horses.Objectives:To determine the effects of Carbonic anhydrase inhibition on CO(2) output and ionic exchange between erythrocytes and plasma and their influence on acid-base balance in the pulmonary circulation (across the lung) in exercising horses with and without CA inhibition.Methods:Six horses were exercised to exhaustion on a treadmill without (Con) and with CA inhibition (AczTr). CA inhibition was achieved with administration of acetazolamide (10 mg/kg bwt t.i.d. for 3 days and 30 mg/kg bwt before exercise). Arterial, mixed venous blood and CO(2) output were sampled at rest and during exercise. An integrated physicochemical systems approach was used to describe acid base changes.Results:AczTr decreased the duration of exercise by 45% (P < 0.0001). During the transition from rest to exercise CO(2) output was lower in AczTr (P < 0.0001). Arterial PCO(2) (P < 0.0001; mean +/- s.e. 71 +/- 2 mmHg AczTr, 46 +/- 2 mmHg Con) was higher, whereas hydrogen ion (P = 0.01; 12.8 +/- 0.6 nEq/l AczTr, 15.5 +/- 0.6 nEq/l Con) and bicarbonate (P = 0.007; 5.5 +/- 0.7 mEq/l AczTr, 10.1 +/- 1.3 mEq/l Con) differences across the lung were lower in AczTr compared to Con. No difference was observed in weak electrolytes across the lung. Strong ion difference across the lung was lower in AczTr (P = 0.0003; 4.9 +/- 0.8 mEq AczTr, 7.5 +/- 1.2 mEq Con), which was affected by strong ion changes across the lung with exception of lactate.Conclusions:CO(2) and chloride changes in erythrocytes across the lung seem to be the major contributors to acid-base and ions balance in pulmonary circulation in exercising horses.

Bioestimulação da atividade reprodutiva de coelhas lactantes em regime de monta natural

Esta pesquisa avaliou o efeito da separação mãe-ninhada sobre o desempenho reprodutivo de coelhas lactantes e ponderal das ninhadas até aos 70 dias de idade. Examinaram-se 415 exposições ao macho de 157 fêmeas lactantes distribuídas em dois grupos: controle, com livre acesso ao ninho, e tratado, cujo acesso bloqueou-se entre o sétimo e o nono dias pós-parto, durante as 39 horas que precederam a cobrição. Das 415 exposições ao macho, 387 resultaram em cobrições e 264 em partos. As fêmeas tratadas, de quinta lactação em diante, apresentaram receptividade e taxa de parição, respectivamente, 6,7% e 10,8% maiores em comparação às fêmeas do grupo controle. Não se constatou efeito da interação tratamento x ordem de lactação, ou do tratamento, com respeito ao número de láparos/ninhada à desmama e nos 70 dias de idade. em ninhadas de primíparas, a taxa de mortalidade da separação até 70 dias de idade foi maior no grupo tratado, em relação ao controle (0,248±0,047 vs. 0,120±0,047). O peso total da ninhada à desmama foi inferior no grupo tratado, do que no controle (5.753±93 g vs. 6.222±89 g) em todas as ordens. Todavia, não se observou diferença no peso total ou médio da ninhada nos 70 dias de idade. O tratamento também reduziu o peso individual à desmama (912,4±4,9 g vs. 962,7±4,5 g) em todas as ordens de lactação, entretanto, elevou o ganho de peso médio diário pós-desmama (32,25±0,19 g/d vs. 31,44±0,17 g/d), proporcionando a ocorrência de ganho compensatório neste período. Pode-se recomendar a separação temporária mãe-ninhada para melhorar o desempenho reprodutivo de coelhas lactantes multíparas; mas deve ser evitada para as primíparas, devido à elevação da taxa de mortalidade das ninhadas.

Comparative gas exchange performance during the wet season of three Brazilian Styrax species under habitat conditions of cerrado vegetation types differing in soil water availability and crown density

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