Avaliação de projetos na presença de volatilidade: estudo de caso de empresas no setor de telecomunicações

Quando as empresas decidem se devem ou não investir em determinado projeto de investimentos a longo prazo (horizonte de 5 a 10 anos), algumas metodologias alternativas ao Fluxo de Caixa Descontado (FCD) podem se tornar úteis tanto para confirmar a viabilidade do negócio como para indicar o melhor momento para iniciar o Empreendimento. As análises que levam em conta a incerteza dos fluxos de caixa futuros e flexibilidade na data de início do projeto podem ser construídos com a abordagem estocástica, usando metodologias como a solução de equações diferenciais que descrevem o movimento browniano. Sob determinadas condições, as oportunidades de investimentos em projetos podem ser tratados como se fossem opções reais de compra, sem data de vencimento, como no modelo proposto por McDonald-Siegel (1986), para a tomada de decisões e momento ótimo para o investimento. Este trabalho analisa a viabilidade de investimentos no mercado de telecomunicações usando modelos não determinísticos, onde a variável mais relevante é a dispersão dos retornos, ou seja, que a variância representa o risco associado a determinado empreendimento.

A contractive method for computing the stationary solution of the euler equation

A contractive method for computing stationary solutions of intertemporal equilibrium models is provide. The method is is implemented using a contraction mapping derived from the first-order conditions. The deterministic dynamic programming problem is used to illustrate the method. Some numerical examples are performed.

Using consumer search cost and loyalty to explain dispersion in banking fees

Pode-se observar uma considerável dispersão entre os preços que diferentes bancos comerciais no Brasil cobram por um mesmo pacote homogêneo de serviços— dispersão esta que é sustentada ao longo do tempo. Em uma tentativa de replicar esta observação empírica, foi desenvolvido um simples modelo que lança mão do arcabouço da literatura de custos de procura (search costs) e que baseia-se também na lealdade por parte dos consumidores. Em seguida, dados de preços referentes ao setor bancário brasileiro são aplicados ao modelo desenvolvido e alguns exercícios empíricos são então realizados. Esses exercícios permitem que: (i) os custos de procura incorridos pelos consumidores sejam estimados, ao fixar-se os valores dos demais parâmetros e (ii) as correspondentes perdas de peso-morto que surgem como consequência dos custos de procura incorridos pelos consumidores sejam também estimadas. Quando apenas 80% da população é livre para buscar por bancos que cobrem menores tarifas, à taxa de juros mensal de 0,5%, o valor estimado do custo de procura médio incorrido pelos consumidores chega a 1805,80 BRL, sendo a correspondente perda de peso-morto média na ordem de 233,71 BRL por consumidor.

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.

Bias from ignoring price dispersion in demand estimation

Consumers often pay different prices for the same product bought in the same store at the same time. However, the demand estimation literature has ignored that fact using, instead, aggregate measures such as the “list” or average price. In this paper we show that this will lead to biased price coefficients. Furthermore, we perform simple comparative statics simulation exercises for the logit and random coefficient models. In the “list” price case we find that the bias is larger when discounts are higher, proportion of consumers facing discount prices is higher and when consumers are more unwilling to buy the product so that they almost only do it when facing discount. In the average price case we find that the bias is larger when discounts are higher, proportion of consumers that have access to discount are similar to the ones that do not have access and when consumers willingness to buy is very dependent on idiosyncratic shocks. Also bias is less problematic in the average price case in markets with a lot of bargain deals, so that prices are as good as individual. We conclude by proposing ways that the econometrician can reduce this bias using different information that he may have available.

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

Analysis of the four wave mixing effect (FWM) in a dispersion decreasing fiber (DDF) for a WDM system

We did a numerical investigation of the propagation of short light pulses in the region of 1.55 mu m and the conversion efficiency (CE) for the four wave mixing generation (FWM) of ordinary and dispersion decreasing fibers for use in wavelength division multiplexing (WDM) systems, Our simulations studies three different profiles, linear, hyperbolic. and constant, One conclude that for all the profiles there is decrease of the conversion efficiency with the increase in the channel separation. The hyperbolic profile present a higher efficiency of around 1000 above in magnitude compared with the others profiles at 0.2 nm of channel separation. We calculate the conversion efficiency versus the fiber length for the three profiles. The conversion efficiency for the hyperbolic profile is higher when compared to the constant and linear profiles. The other interesting point of the hyperbolic profile is that the increase of the CE in the beginning of the fiber does not show my oscillation in the CE value (log eta), which was observed for the constant and linear profiles. For all the profiles there is an increase of the conversion efficiency with the increase of the pump power. The compression factor C-i for the generated FWM signal at omega(3) was measured along the DDF's and the constant profile fibers. One can conclude that with the use of decreasing dispersion profile (DDF) fibers one can have a control of the (CE) conversion efficiency and the compression factor of the four wave mixing (FWM) generation in WDM systems. (c) 2005 Elsevier B.V. All rights reserved.

Rheological Properties of a Sodium Bentonite and Lactose Aqueous Dispersion

Aim of this paper is show the viscosity measure of a sodium bentonite-water-lactose mixture and your rheological behaviour. This analysis showed the formation of tridimensional structure type and formation of stratified silicate/lactose, this occurred due to different concentrations of organic products into mixture and due to a difference of rotation during viscosity measument. Formation of networks is a consequence of the attraction between the silicate layers in water-lactose mixture. In the present work aqueous solutions of lactose with concentration of 7%, 5%, 3%, 1% and 0% (wt %) were used.

Dynamics and Heterogeneity of Pb(II) Binding by SiO2 Nanoparticles in an Aqueous Dispersion

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Dispersion of Seeds of Tree Species by the Leaf-Cutting Ant Acromyrmex subterraneus molestans (Hymenoptera: Formicidae) in Vicosa, Minas Gerais State, Brazil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Selection of surfactant compounds to enhance the dispersion of Beauveria bassiana

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)