Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.

Pair trading is an old and well-known technique among traders. In this paper, we discuss an important element not commonly debated in Brazil: the cointegration between pairs, which would guarantee the spread stability. We run the Dickey-Fuller test to check cointegration, and then compare the results with non-cointegrated pairs. We found that the Sharpe ratio of cointegrated pairs is greater than the non-cointegrated. We also use the Ornstein-Uhlenbeck equation in order to calculate the half-life of the pairs. Again, this improves their performance. Last, we use the leverage suggested by Kelly Formula, once again improving the results.

Métodos para detecção de outliers em séries de preços do índice de preços ao consumidor

Outliers são observações que parecem ser inconsistentes com as demais. Também chamadas de valores atípicos, extremos ou aberrantes, estas inconsistências podem ser causadas por mudanças de política ou crises econômicas, ondas inesperadas de frio ou calor, erros de medida ou digitação, entre outras. Outliers não são necessariamente valores incorretos, mas, quando provenientes de erros de medida ou digitação, podem distorcer os resultados de uma análise e levar o pesquisador à conclusões equivocadas. O objetivo deste trabalho é estudar e comparar diferentes métodos para detecção de anormalidades em séries de preços do Índice de Preços ao Consumidor (IPC), calculado pelo Instituto Brasileiro de Economia (IBRE) da Fundação Getulio Vargas (FGV). O IPC mede a variação dos preços de um conjunto fixo de bens e serviços componentes de despesas habituais das famílias com nível de renda situado entre 1 e 33 salários mínimos mensais e é usado principalmente como um índice de referência para avaliação do poder de compra do consumidor. Além do método utilizado atualmente no IBRE pelos analistas de preços, os métodos considerados neste estudo são: variações do Método do IBRE, Método do Boxplot, Método do Boxplot SIQR, Método do Boxplot Ajustado, Método de Cercas Resistentes, Método do Quartil, do Quartil Modificado, Método do Desvio Mediano Absoluto e Algoritmo de Tukey. Tais métodos foram aplicados em dados pertencentes aos municípios Rio de Janeiro e São Paulo. Para que se possa analisar o desempenho de cada método, é necessário conhecer os verdadeiros valores extremos antecipadamente. Portanto, neste trabalho, tal análise foi feita assumindo que os preços descartados ou alterados pelos analistas no processo de crítica são os verdadeiros outliers. O Método do IBRE é bastante correlacionado com os preços alterados ou descartados pelos analistas. Sendo assim, a suposição de que os preços alterados ou descartados pelos analistas são os verdadeiros valores extremos pode influenciar os resultados, fazendo com que o mesmo seja favorecido em comparação com os demais métodos. No entanto, desta forma, é possível computar duas medidas através das quais os métodos são avaliados. A primeira é a porcentagem de acerto do método, que informa a proporção de verdadeiros outliers detectados. A segunda é o número de falsos positivos produzidos pelo método, que informa quantos valores precisaram ser sinalizados para um verdadeiro outlier ser detectado. Quanto maior for a proporção de acerto gerada pelo método e menor for a quantidade de falsos positivos produzidos pelo mesmo, melhor é o desempenho do método. Sendo assim, foi possível construir um ranking referente ao desempenho dos métodos, identificando o melhor dentre os analisados. Para o município do Rio de Janeiro, algumas das variações do Método do IBRE apresentaram desempenhos iguais ou superiores ao do método original. Já para o município de São Paulo, o Método do IBRE apresentou o melhor desempenho. Em trabalhos futuros, espera-se testar os métodos em dados obtidos por simulação ou que constituam bases largamente utilizadas na literatura, de forma que a suposição de que os preços descartados ou alterados pelos analistas no processo de crítica são os verdadeiros outliers não interfira nos resultados.

Desenvolvimento e validação de método analítico para quantificação da boldina em peumus boldus mol. (monimiaceae) e avaliação preliminar de sua estabilidade

Peumus boldus Molina (Monimiaceae) é uma árvore comum e abundante no Chile, e suas folhas são amplamente empregadas pela medicina tradicional para o tratamento de uma variedade de afecções do sistema digestivo e hepatobiliar. Seus principais constituintes químicos são alcalóides do tipo aporfínicos, sendo a boldina seu maior e mais característico representante, cujas propriedades antioxidantes são extensivamente relatadas na literatura, servindo desta forma como marcador químico para a espécie. Com o objetivo de contribuir com parâmetros de controle de qualidade, um estudo botânico macro e microscópico das folhas e do pó da espécie foi realizado. Características morfológicas, identificadas pela análise macroscópica, como pilosidade, tipologia dos tricomas, proeminência ao redor da base dos tricomas e aparência do bordo, e características microscópicas como estômatos anomocíticos, folha hipoestomática e ocorrência de cristais de oxalato de cálcio denotam valor taxonômico. Parâmetros farmacopéicos como cinzas totais e perda por dessecação foram determinados, e um método de quantificação da boldina foi desenvolvido e validado utilizando a CLAE. O limite mínimo de boldina observado na análise de 10 amostras adquiridas foi de aproximadamente 0,016%. A fim de avaliarse o comportamento de seus constituintes químicos frente a variações de temperatura e umidade, realizou-se estudo de estabilidade acelerada (40ºC ± 2ºC / 75% ± 5% U.R.). A degradação máxima de boldina foi observada após 90 dias em câmara climática chegando a aproximadamente 52%. A reação de degradação sugerida foi de segunda ordem, e o tempo de vida útil e meia-vida calculados foram de aproximadamente 18 dias e 165 dias, respectivamente. Por fim, realizou-se a quantificação de alguns metais pesados nas folhas da espécie, que decresceram na ordem de Fe> Mn> Cu> Ni, sendo que Pb, Cr e Co tiveram níveis abaixo do limite de detecção de 5 μg/g.

Taxa não inflacionária da capacidade utilizada: uma abordagem usando microdados brasileiros

Esta dissertação baseia-se na criação de uma taxa não inflacionária da capacidade utilizada (NIRCU) para economia brasileira, utilizando microdados da Sondagem da Indústria de Transformação e Índice de Preços ao Produtor Amplo – M (IPA-M), pesquisas desenvolvidas pela FGV/IBRE. Foram criadas três taxas: NIRCU Sondagem, NIRCU Coincidente e NIRCU Antecedente. A primeira utiliza apenas dados da sondagem e a ideia é verificar que não há pressão inflacionária quando as empresas informam para sondagem que não irão variar os seus preços para os próximos três meses e que o número de turnos trabalhado é igual à média do setor. Já as demais, cruzam as informações das empresas que respondem tanto a Sondagem da Indústria de Transformação quanto no IPA-M e verifica se as que informam que não irão alterar os seus preços nos próximos três meses se concretiza quando comparados às variações do índice. A diferença entre as duas últimas abordagens é que a primeira, NIRCU Coincidente, verifica no mesmo período e a outra, NIRCU Antecedente, no trimestre seguinte. A forma encontrada para verificar a eficácia dos indicadores em mensurar a existência de pressão inflacionária foi inserir os diferentes hiatos de produto das NIRCU no modelo de Curva de Phillips, usando a metodologia de Mínimos Quadrados Ordinários (MQO). De acordo com as estimativas, a NIRCU Antecedente foi a única das três que não apresentou um bom desempenho no resultado; as NIRCU Sondagem e Coincidente tiveram uma performance muita boa, principalmente a última. Ou seja, esses dois indicadores tiveram um resultado tão bom quanto as mais tradicionais medidas de hiato de produto.

A doorway to Borromean halo nuclei: the Samba configuration

We exploit the possibility of new configurations in three-body halo nuclei, Samba type (the neutron-core form a bound system) as a doorway to Borromean systems. The nuclei Be-12, B-15, N-23 and F-27 are of such nature, in particular N-23 with a half-life of 37.7 s and a halo radius of 6.07 fm is an excellent example of Samba-halo configuration. The fusion below the barrier of the Samba halo nuclei with heavy targets could reveal the so far elusive enhancement and a dominance of one-neutron over two-neutron transfers, in contrast to what was found recently for the Borromean halo nucleus He-6 + U-238.

Qualidade de vida de pessoas com úlceras venosas atendidos no ambulatório de um hospital universitário

Descriptive study aimed to analyze the quality of life (QOL) of patients with venous ulcers (UV) outpatient clinic of a university hospital in Natal / RN. The aim of the study population was composed of 50 patients with UV treated at the cardiology clinic of a university teaching hospital at the tertiary level. The study was approved by the Ethics Committee of the Federal University of Rio Grande do Norte (Protocol 279/09). Data collection was performed over a period of two months by the very a masters degree and an academic nursing through the application of a form concerning the socio-demographic, clinical, and health care, and the instruments WHOQOL and WHOQOL - old. The data were analyzed with SPSS 15.0, using descriptive and inferential statistics presented in the form of tables, charts and graphs. Of the surveyed, female predominance, age range 59 years, Catholic, low education, married, with up to 03 children, not working, retired, or with occupations requiring long periods in one position, wage income of up to 02 minimum wages, inadequate sleep, patients with chronic venous insufficiency and other chronic diseases such as diabetes and hypertension, were taking medications for treatment, being a minority to IVC. In patients with predominant only one injury, time of injury up to five years, inadequate rest, pain, edema and lesions colonized. The assistance the UV patients began treatment of the injury until four months after the onset of the ulcer, and services primary health care most wanted, access to angiologist by reference form, commuted by public transportation, received support regarding the treatment of injuries. The topical product most used in the lesion was healing, and few were using compression therapy. respondents suffer discrimination in society, showed changes in quality of life after the occurrence of ulcer in relation to leisure, pain, restriction of social / school / transportation; barring employment / financial / social ladder; Physical appearance / discrimination and restriction of domestic activity. These changes were related to the time of injury and found that the more chronic injury is the most negative changes occur in their QV (ρ = 0.000). Analyzing the characteristics of QV measured by the WHOQOL-bref, we found for the two general questions they are dissatisfied with their health (ρ = 0.023) and all areas have significant difference compared with the worst QV have the injury of more than 5 years (ρ = 0.000). The QV measured by the WHOQOL-old, we found that these patients had no changes from the time of injury. We conclude that the QV of patients with UV was considered unsatisfactory when compared to the time of injury on more than 5 years which shows that the quality of life worsens with time the chronic UV.

Responses to selection for milk traits in dairy buffaloes

The aim of the present study was to estimate the index and individual responses to selection for milk (MY), fat (FY) and protein (PY) yields for different breeding goals for two commercial buffalo milk production systems in São Paulo State characterized by: 1) all milk produced is sold to the industry (MILK) and 2) all milk produced is used in the mozzarella cheese-making process at the farm (MOZZARELLA). The current payment policy is based exclusively on milk volume. The mozzarella price refers to the wholesale selling price. Index responses to selection (IR) were calculated for three different breeding goals (BG): 1) MY exclusively (BG(1)); 2) FY + PY (BG(2)) and 3) MY + FY + PY (BG(3)). IR for the MILK system were US$ 41.79 (BG(1)), US$ 5.91 (BG(2)) and US$ 38.22 (BG(3)). For the MOZZARELLA system, IR were US$ 179.50 (BG(1)), US$ 262.85 (BG(2)) and US$ 402.41 (BG(3)). The results suggest that for the present circumstances, selection for milk components is not advantageous when milk is produced for sale to the industry. However, when mozzarella making is added to the system, the selection for components and milk volume is the most economically beneficial.

Gestão da satisfação e fidelidade do cliente : um estudo dos fatores que influenciam na satisfação e fidelidade dos clientes corporativos de telefonia celular

The competition in the telecommunications industry has grown in Brazil since the privatization, forcing companies that are active in the market to a growing commitment to quality products and services in order to survive. In this context, this work aims to understand the main factors that influence the degree of satisfaction exists in respect of a mobile operator with its corporate customers. The research covered theoretical concepts and analytical models of quality management system and models of indices related to the measurement of customer satisfaction. For the field research was carried out in a practical application of the main approaches based on this thesis by a case study in corporate segment, through a questionnaire applied to 10 consultants and 40 corporate customers of that company. Comparing the results of research with the consultants and corporate clients there is the concern of respondents to the indicators that comprise the constructs of customer satisfaction, commitment calculated, the price index and the handling of complaints, denoting the dissatisfaction of the general assessment for corporate customers with the carrier, against its current expectations. It is concluded that the mobile operator of the telecommunications industry have a big challenge, after ten years of privatization and consequently the period of rapid expansion of customer base and with the depleted, retain corporate customers as highly strategic, thus avoiding that migrate to other companies. We emphasize the need for further research and analysis of different approaches through research and using the same models to specifically evaluate and measure customer satisfaction of mobile enterprise, to adjust the model to the national market. Finally, we suggest the creation of an effective customer loyalty program with a strategy of relationship and specific to the corporate sector of mobile telephony

An interaction between two RNA binding proteins, Nab2 and Pub1, links mRNA Processing/Export and mRNA stability

mRNA stability is modulated by elements in the mRNA transcript and their cognate RNA binding proteins. Poly(U) binding protein 1 (Pub1) is a cytoplasmic Saccharomyces cerevisiae mRNA binding protein that stabilizes transcripts containing AU-rich elements (AREs) or stabilizer elements (STEs). In a yeast two-hybrid screen, we identified nuclear poly(A) binding protein 2 (Nab2) as being a Pub1-interacting protein. Nab2 is an essential nucleocytoplasmic shuttling mRNA binding protein that regulates poly(A) tail length and mRNA export. The interaction between Pub1 and Nab2 was confirmed by copurification and in vitro binding assays. The interaction is mediated by the Nab2 zinc finger domain. Analysis of the functional link between these proteins reveals that Nab2, like Pub1, can modulate the stability of specific mRNA transcripts. The half-life of the RPS16B transcript, an ARE-like sequence-containing Pub1 target, is decreased in both nab2-1 and nab2-67 mutants. In contrast, GCN4, an STE-containing Pub1 target, is not affected. Similar results were obtained for other ARE- and STE-containing Pub1 target transcripts. Further analysis reveals that the ARE-like sequence is necessary for Nab2-mediated transcript stabilization. These results suggest that Nab2 functions together with Pub1 to modulate mRNA stability and strengthen a model where nuclear events are coupled to the control of mRNA turnover in the cytoplasm.

The effect of rifampicin and pyrazinamide on isoniazid pharmacokinetics in rats

Tuberculosis chemotherapy involves combination of the drugs isoniazid (INH), rifampicin (RMP) and pyrazinamide (PYR) for a 6-month period. The present work investigated the influence of RMP and PYR on the pharmacokinetic parameters of INH when groups of rats were pre-treated for 21 days with INH alone or in combination with RMP and/or PYR, in the following amounts per kg body weight: INH 100 mg; INH 100 mg + RMP 100 mg; INH 100 mg + PYR 350 mg; INH 100 mg + PYR 350 mg + RMP 100 mg. It was found that the co-administration of PYR caused an increase in the INH distribution volume (V-d/F), half-life of elimination t(1)/2(beta)) and clearance (Cl-T/F), and a decrease in the area under curve 0 to 24 h (AUC). Co-administration of RMP caused an increase in the Cl-T/F and a decrease in the AUC. The combination INH + PYR + RMP caused an increase in the Cl-T/F and a decrease in the AUC. These significant pharmacokinetic interactions between the tuberculostatic drugs might be related to differences in the therapeutic and toxic effects. Copyright 0( 2007 John Wiley & Sons, Ltd.

Fidelidade à área e padrão de associação em Sotalia guianensis, baseado na técnica de foto-identificação

The behavioral patterns follow to environmental changes, including area fidelity and individuals association patterns. Several techniques are used to record these behavioral patterns and the photo-identification has been suggested as a proper tool because of its various advantages. Based on this technique, this research verified, between August of 2005 and January of 2006, area fidelity and association patterns of Sotalia guianensis, at Distrito de Pipa s bays, Rio Grande do Norte State south coast. Besides, we measured the association patterns by using the Jaccard index or Half-Weight Index (HWI). According the observation, 22 individuals were not resighted, 11 were resighted, and 36 new individuals were recorded. Nowadays, 69 individuals are cataloged. The residency rate indicated heterogeneity on studied area permanence and the association patterns between photo-identified seem to be context-specific. In addiction, the comparison of associations between two different age classes showed some individuals more frequently interacting with immature individuals. We also observed fluidity on association patterns among our individuals. We suggest that S. guianensis population from Pipa shows plasticity

Caracterização morfodinâmica do estuário do Rio Açu, Macau/RN

Estuaries are coastal environments ephemeral life in geological time, derived from the drowning of the shoreline as a function of elevation relative sea level. Such parallel systems is characterized by having two sources of sediment, the river and the sea. The study area comprises the Acu River estuary, located on the northern coast of Rio Grande do Norte State, in a region of intense economic activity, mainly focused on the exploration of oil onshore and offshore, likely to accidental spills. In the oil sector are developed for salt production, shrimp farming, agriculture, fisheries and tourism, which by interacting with sensitive ecosystems, such as estuaries, may alter the natural conditions, thus making it an area susceptible to contamination is essential in understanding the morphodynamic variables that occur in this environment to obtain an environmental license. Information about the submarine relief the estuaries are of great importance for the planning of the activity of environmental monitoring, development and coastal systems, among others, allowing an easy management of risk areas, and assist in the creation of thematic maps of the main aspects of landscape. Morphodynamic studies were performed in this estuary in different seasonal periods in 2009 to observe and quantify morphological changes that have occurred and relate these to the hydrodynamic forcing from the river and its interaction with the tides. Thus, efforts in this area is possible to know the bottom morphology through records of good quality equipment acquired by high resolution geophysical (side-scan sonar and profiler current by doppler effect). The combination of these data enabled the identification of different forms of bed for the winter and summer that were framed in a lower flow regime and later may have been destroyed or modified forms of generating fund scheme than the number according Froude, with different characteristics due mainly to the variation of the depth and type of sedimentary material they are made, and other hydrodynamic parameters. Thus, these features background regions are printed in the channel, sandy banks and muddy plains that border the entire area

Xylanase production by Aspergillus versicolor

The xylanolytic system of Aspergillus versicolor is controlled by induction and carbon catabolite repression. Carboxymethylcellulose and wheat bran were the best inducers of xylanolytic activity. When the fungus was grown for 5 days on VOGEL's liquid medium with wheat bran, the optimal pH and temperature for xylanase production were 6.5 and 30 degrees C, respectively. Optimal conditions for the xylanolytic activity assay were at pH 6.0 and 55 degrees C. The half-life at 60 degrees C of the crude enzyme was 6.5 and 21 minutes, in the absence or presence of substrate, respectively.Xylan is the main hemicellulosic component of plant biomass being present in appreciable quantities in agricultural and several agroindustrial wastes. From the products of xylan enzymatic hydrolysis it is possible to obtain cell protein, fuels and other chemicals. Xylanases combined with cellulase could have applications in food processing. Cellulase-free xylanases can be also utilized for preparation of cellulose pulps and liberation of textile fibres (WOODWARD 1984; BIELY 1985, WONG et al. 1988). In view of the potential applications of xylanases, a study of these enzymes from various sources and their multiplicity is desirable.Among xylanolytic microorganisms, filamentous fungi have been more extensively studied and the genus Aspergillus has been shown to be an efficient producer of xylanases. Preliminary observations from our laboratory have demonstrated that a strain of Aspergillus versicolor, isolated from Brazilian soil, produced high xylanase and low cellulase levels, which is an interesting characteristic for some industrial applications. In this report we describe the production and some properties of xylanase obtained from this fungus.

Cell-associated acid beta-xylosidase production by Penicillium sclerotiorum

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Purification and characterization of the exopolygalacturonase produced by Aspergillus giganteus in submerged cultures

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