Entry and externality : hydroelectric generators in Brazil

This work analyzes the entry problem in the hydroelectric generation industry. The operation of a generator upstream regularizes the river flow for generators located downstream on the same river, increasing the production capacity of the latter. This positive externality increases the attractiveness of the locations downstream whenever a generator decides to enter upstream. Therefore, the entry decision of a generator in a given location may affect all entry decisions in potential locations for plants downstream. I first model the problem of generators located in cascade on the same river to show the positive effect of the externality. Next, I develop a method to estimate an entry model specific to the hydro generation industry which takes into account the externality of the entry decisions. Finally, I use a data set on investment decisions of Brazilian hydro-generators to estimate the model. The results show a positive incentive to locate downstream from existing plants and from locations where entry is likely to occur. An interesting by-product of the analysis is that the year effects’ estimates show an increase one year before the energy crisis of 2001, providing evidence that the market anticipated the crisis. It contradicts the governmental version that the crisis was due to an unexpected drought.

O mercado de opções de petrobras é Ineficiente? Um estudo a partir da estratégia delta-gama-neutra

Este trabalho tem como objetivo verificar se o mercado de opções da Petrobras PN (PETR4) é ineficiente na forma fraca, ou seja, se as informações públicas estão ou não refletidas nos preços dos ativos. Para isso, tenta-se obter lucro sistemático por meio da estratégia Delta-Gama-Neutra que utiliza a ação preferencial e as opções de compra da empresa. Essa ação foi escolhida, uma vez que as suas opções tinham alto grau de liquidez durante todo o período estudado (01/10/2012 a 31/03/2013). Para a realização do estudo, foram consideradas as ordens de compra e venda enviadas tanto para o ativo-objeto quanto para as opções de forma a chegar ao livro de ofertas (book) real de todos os instrumentos a cada cinco minutos. A estratégia foi utilizada quando distorções entre a Volatilidade Implícita, calculada pelo modelo Black & Scholes, e a volatilidade calculada por alisamento exponencial (EWMA – Exponentially Weighted Moving Average) foram observadas. Os resultados obtidos mostraram que o mercado de opções de Petrobras não é eficiente em sua forma fraca, já que em 371 operações realizadas durante esse período, 85% delas foram lucrativas, com resultado médio de 0,49% e o tempo médio de duração de cada operação sendo pouco menor que uma hora e treze minutos.

O mercado de opções de Petrobras é eficiente? Um estudo a partir da estratégia delta-gama-neutra

This study aims to verify if the Petrobras options market is efficient in the semi-strong form, that is, if all public information is reflected in these derivative prices. For this purpose, this work tries to achieve profit systematically through the Delta-GammaNeutral strategy using the company's stock and options. In order to simulate the strategy exactly as it would be used in the real world, we built the order books every five minutes considering all buying and selling orders sent to the underlying asset and to the options. We apply the strategy when distortions between implied volatilities extracted from the options are detected. The results show that the Petrobras options market is not efficient, since in 371 day trade strategies, which have an average investment of R$81,000 and average duration of one hour and thirteen minutes, the average return was 0.49% - which corresponds to more than 1,600% of the 1-day risk free interest rate - and 85% of strategies were profitable.

Identification of new isolates of Bacillus thuringiensis using rep-PCR products and delta-endotoxin electron microscopy

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Electrochemical characterization of the paste carbon modified electrode with KSr2Ni0.75Nb4.25O15-delta solid in catalytic oxidation of the dipyrone

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

Mobilidade de oxigênio intersticial em cerâmicas SmBa2Cu3O7-delta

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

Anelastic characterization and superconducting properties of RuSr2GdCu2O8+delta

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Vortex-Antivortex Dynamics in a Mesoscopic Superconducting Prism with a Centered Antidot

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Minimum size for the occurrence of vortex matter in a square mesoscopic superconductor

The study of superconducting samples in mesoscopic scale presented a remarkable improvement during the last years. Certainly, such interest is based on the fact that when the size of the samples is close to the order of the temperature dependent coherence length xi(T), and/or the size of the penetration depth lambda(T), there are some significant modifications on the physical properties of the superconducting state. This contribution tests the square cross-section size limit for the occurrence (or not) of vortices in mesoscopic samples of area L-2, where L varies discretely from 1 xi(0) to 8 xi(0).The time dependent Ginzburg-Landau (TDGL) equations approach is used upon taking the order parameter and the local magnetic field invariant along the z-direction. The vortex configurations at the equilibrium can be obtained from the TDGL equations for superconductivity as the system relaxes to the stationary state.The obtained results show that the limit of vortex penetration is for the square sample of size 3 xi(0) x 3 xi(0) in which only a single vortex are allowed into the sample. For smaller specimens, no vortex can be formed and the field entrance into the sample is continuous and the total flux penetration occurs at higher values of H/H-c2(0), where H-c2(T) is the upper critical field. Otherwise, for larger samples different vortices patterns can be observed depending on the sample size. (c) 2007 Elsevier B.V. All rights reserved.

Vortex dynamics in mesoscopic superconducting square of variable surface

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

Temperature-dependent vortex matter in a superconducting mesoscopic circular sector

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

Vortex state in a mesoscopic flat disk with rough surface

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Magnetic interactions and spin-reversal mechanism in ErMn1-xCoxO3-delta samples

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

Vortex-antivortex annihilation dynamics in a square mesoscopic superconducting cylinder

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