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.

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.

Ketamine alters oscillatory coupling in the hoppocampus

Recent studies show that higher order oscillatory interactions such as cross-frequency coupling are important for brain functions that are impaired in schizophrenia, including perception, attention and memory. Here we investigated the dynamics of oscillatory coupling in the hippocampus of awake rats upon NMDA receptor blockade by ketamine, a pharmacological model of schizophrenia. Ketamine (25, 50 and 75 mg/kg i.p.) increased gamma and high-frequency oscillations (HFO) in all depths of the CA1-dentate axis, while theta power changes depended on anatomical location and were independent of a transient increase of delta oscillations. Phase coherence of gamma and HFO increased across hippocampal layers. Phase-amplitude coupling between theta and fast oscillations was markedly altered in a dose-dependent manner: ketamine increased hippocampal theta-HFO coupling at all doses, while theta-gamma coupling increased at the lowest dose and was disrupted at the highest dose. Our results demonstrate that ketamine alters network interactions that underlie cognitively relevant theta-gamma coupling.

Feeding level and frequency for freshwater angelfish

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Avaliação da dor pós-operatória: análise em pacientes submetidos a cirurgias abdominais em um hospital universitário de Natal/RN

It is an exploratory and descriptive study made by a quantitative approach, developed among February and May 2010, aiming to assess the pain of patients underwent abdominal surgeries in a University Hospital, in Natal/RN; to identify the local and intensity of the pain based on Numerical Estimative Scale; to analyze the pain related to the sensorial-discriminative, motivational-affective and cognitive-assessment dimensions, using the McGill Questionnaire pain; to establish a relation between the pain process and age, gender, religion, and king of surgery; to identify the medicines efficiency used to control postoperative pain. The sample was composed by 253 patients underwent abdominal surgeries. The results showed a total of 63.63% females between 38 and 47 years of age (21.34%); illiterates (21.73%); married (64.03%), living in Natal and surroundings (67.97%) and Catholics (74.30%). In their first assessment, 84.19% showed postoperative pain; the pain was considered light in 18.97% of them, moderate in 21.74% and severe in 43.48%. The mean number of descriptors chosen through the McGill Questionnaire Pain was 10.78 (DP= 6.09) and pain rating 23.65 (DP= 15.93). The descriptors selected with higher frequency were: sickening pain (69.01%), tired (65.25%), thin (62.44%), bored (58.69%), ardor (46.48%), pointed (38.50%) and colic (35.21%). In their second assessment, 57.71% of patients didn t relate any postoperative pain and 42.29% were still complaining about the pain. After taking analgesic medication, just 41.90% of patients who had complete pain relief. The Pharmacological groups most used were: simple analgesic (37.86%), weak opioids (32.98%), AINES (19.85%) and strong opioid (9.31%). It was not found a significant postoperative pain variation related to the sexes, religion and kind of surgery. It was concluded there were a high level in the number of patients with postoperative pain, mainly in a severe scale. Less than half of patients had the pain relief. Then, it was observed there was not coherence between the pain intensity and the analgesic it was used. To solve or relieve this kind of problems is necessary a permanent education to the health professionals who works in this area

The wavelet method as an alternative for reducing ionospheric effects from single-frequency GPS receivers

The ionospheric effect is one of the major errors in GPS data processing over long baselines. As a dispersive medium, it is possible to compute its influence on the GPS signal with the ionosphere-free linear combination of L1 and L2 observables, requiring dual-frequency receivers. In the case of single-frequency receivers, ionospheric effects are either neglected or reduced by using a model. In this paper, an alternative for single-frequency users is proposed. It involves multiresolution analysis (MRA) using a wavelet analysis of the double-difference observations to remove the short- and medium-scale ionosphere variations and disturbances, as well as some minor tropospheric effects. Experiments were carried out over three baseline lengths from 50 to 450 km, and the results provided by the proposed method were better than those from dual-frequency receivers. The horizontal root mean square was of about 0.28 m (1 sigma).

Wavelet shrinkage: High frequency multipath reduction from GPS relative positioning

The wavelet transform is used to reduce the high frequency multipath of pseudorange and carrier phase GPS double differences (DDs). This transform decomposes the DD signal, thus separating the high frequencies due to multipath effects. After the decomposition, the wavelet shrinkage is performed by thresholding to eliminate the high frequency component. Then the signal can be reconstructed without the high frequency component. We show how to choose the best threshold. Although the high frequency multipath is not the main multipath error component, its correction provides improvements of about 30% in pseudorange average residuals and 24% in carrier phases. The results also show that the ambiguity solutions become more reliable after correcting the high frequency multipath.

Comparison of the Polar S810i monitor and the ECG for the analysis of heart rate variability in the time and frequency domains

The aim of the present study was to compare heart rate variability (HRV) at rest and during exercise using a temporal series obtained with the Polar S810i monitor and a signal from a LYNX® signal conditioner (BIO EMG 1000 model) with a channel configured for the acquisition of ECG signals. Fifteen healthy subjects aged 20.9 ± 1.4 years were analyzed. The subjects remained at rest for 20 min and performed exercise for another 20 min with the workload selected to achieve 60% of submaximal heart rate. RR series were obtained for each individual with a Polar S810i instrument and with an ECG analyzed with a biological signal conditioner. The HRV indices (rMSSD, pNN50, LFnu, HFnu, and LF/HF) were calculated after signal processing and analysis. The unpaired Student t-test and intraclass correlation coefficient were used for data analysis. No statistically significant differences were observed when comparing the values analyzed by means of the two devices for HRV at rest and during exercise. The intraclass correlation coefficient demonstrated satisfactory correlation between the values obtained by the devices at rest (pNN50 = 0.994; rMSSD = 0.995; LFnu = 0.978; HFnu = 0.978; LF/HF = 0.982) and during exercise (pNN50 = 0.869; rMSSD = 0.929; LFnu = 0.973; HFnu = 0.973; LF/HF = 0.942). The calculation of HRV values by means of temporal series obtained from the Polar S810i instrument appears to be as reliable as those obtained by processing the ECG signal captured with a signal conditioner.

The Distribuition of Strongyloides stercoralis Frequency in Araraquara, São Paulo State - Brazil

Strongyloidiasis is a disease of emerging public health importance. A survey was conducted in Araraquara city, São Paulo state, Brazil, in order to evaluate the frequency distribution of Strongyloides stercoralis in the area. A total of 9582 single stool samples were examined by direct examination, and by the Coprotest and Rugai's methods from January 2005 to January 2007. Out of the total samples examined, 408 (4,3%) were found to be infected by S. stercoralis (143 men and 265 women). The months with the highest frequency (5,0 - 8,2%) of positive patients were February, September and December (2005); April and November (2006) and January (2007). The frequencies from the other months varied around 2,5 to 4,9%. It was concluded that strongyloidiasis is endemic in Araraquara, but in some months, which presented the highest temperatures followed by rainy periods, the frequencies are typical from hyperendemic areas.

Frequency of Blastocystis hominis and other intestinal parasites in stool samples examined at the Parasitology Laboratory of the School of Pharmaceutical Sciences at the São Paulo State University, Araraquara

Blastocystis hominis é um protozoário, causador de infecção intestinal denominada blastocistose humana, cujo diagnóstico é realizado pelo exame coproparasitológico e por meio de técnicas de coloração permanente. Este estudo foi desenvolvido para avaliar a freqüência da infecção por Blastocystis hominis em habitantes da região de Araraquara/SP, bem como comparar diferentes métodos para a pesquisa desse protozoário em amostras de fezes. Foram estudadas 503 amostras de fezes submetidas ao exame direto a fresco, às técnicas de Faust e cols, Lutz e de Rugai e cols, além das colorações pela hematoxilina férrica, tricrômio e de Kinyoun modificada. Entre as 503 amostras examinadas, 174 (34,6%) apresentaram-se positivas para a presença de parasitas intestinais. O protozoário e o helminto mais freqüentes foram Entamoeba coli (14,6%) e Strongyloides stercoralis (6,7%), respectivamente. Blastocystis hominis foi observado em 23 (4,6%) amostras fecais com consistência predominantemente pastosa, não caracterizando quadro diarréico. Apesar da baixa freqüência de Blastocystis hominis encontrada na região de Araraquara, comparativamente a outras regiões brasileiras, é importante a realização do diagnóstico laboratorial desse protozoário. O encontro de Blastocystis hominis em material fecal é indicativo de contaminação de alimentos e água de consumo, desde que se admita a rota de transmissão oral-fecal desse parasita, o que implica na orientação da população sobre as medidas de saneamento básico e higiene como meio para se controlar problemas de saúde ocasionados pelos enteroparasitas.