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.

Análise das curvas de luz do CoroT usando diferentes processos comparativos: estimando períodos de rotação estelar

One of the main goals of CoRoT Natal Team is the determination of rotation period for thousand of stars, a fundamental parameter for the study of stellar evolutionary histories. In order to estimate the rotation period of stars and to understand the associated uncertainties resulting, for example, from discontinuities in the curves and (or) low signal-to-noise ratio, we have compared three different methods for light curves treatment. These methods were applied to many light curves with different characteristics. First, a Visual Analysis was undertaken for each light curve, giving a general perspective on the different phenomena reflected in the curves. The results obtained by this method regarding the rotation period of the star, the presence of spots, or the star nature (binary system or other) were then compared with those obtained by two accurate methods: the CLEANest method, based on the DCDFT (Date Compensated Discrete Fourier Transform), and the Wavelet method, based on the Wavelet Transform. Our results show that all three methods have similar levels of accuracy and can complement each other. Nevertheless, the Wavelet method gives more information about the star, from the wavelet map, showing the variations of frequencies over time in the signal. Finally, we discuss the limitations of these methods, the efficiency to give us informations about the star and the development of tools to integrate different methods into a single analysis

Cloning, sequencing and expression analysis of the equine hepcidin gene by real-time PCR

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

Effects of light-curing time on the cytotoxicity of a restorative composite resin on odontoblast-like cells

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

Modeling grouped survival data with time-dependent covariates

In this article, proportional hazards and logistic models for grouped survival data were extended to incorporate time-dependent covariates. The extension was motivated by a forestry experiment designed to compare five different water stresses in Eucalyptus grandis seedlings. The response was the seedling lifetime. The data set was grouped since there were just three occasions in which the seedlings was visited by the researcher. In each of these occasions also the shoot height was measured and therefore it is a time-dependent covariate. Both extended models were used in this example, and the results were very similar.

Time-place learning in food-restricted Nile tilapia

Time-place learning based on food association was investigated in eight food-restricted Nile tilapias. Each fish was individually housed for 10 days in an experimental tank for adjustments to laboratory conditions, and fed daily in excess. Feeding was then interrupted for 17 days. Training was then started, based on a food-restricted regime in a tank divided into three interconnected compartments. Daily food was offered in one compartment (left or right side) of the tank in the morning and on the opposite side in the afternoon, for a continuous 30-day period. Frequency of choices on the right side was measured on days 10, 20 and 30 (during these test days, fish were not fed). Following this 30-day conditioning period, the Nile tilapias were able to switch sides at the correct period of the day to get food, suggesting that food restriction facilitates time-place learning discrimination. (C) 2007 Elsevier B.V. All rights reserved.

Time-place learning in individually reared angelfish, but not in pearl cichlid

Time-place learning based on food association was investigated in the cichlids angelfish (Pterophyllum scalare) and pearl cichlid (Geophagus brasiliensis) reared in isolation, therefore eliminating social influence on foraging. During a 30-day period, food was placed in one side of the aquarium (containing three compartments) in the morning and in the opposite side in the afternoon. Learning was inferred by the number of correct side choices of all fish in each day of test (15th and 30th). During the test day fish were not fed. The angelfish learned to switch sides at the correct day period in order to get food, suggesting this species has time-place learning ability when individually reared. on the other hand, the same was not observed for pearl cichlid. (c) 2006 Elsevier B.V. All rights reserved.

Quantitative comparisons and models of time-averaging in bivalve and brachiopod shell accumulations

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

Time series analysis for minority game simulations of financial markets

The minority game (MG) model introduced recently provides promising insights into the understanding of the evolution of prices, indices and rates in the financial markets. In this paper we perform a time series analysis of the model employing tools from statistics, dynamical systems theory and stochastic processes. Using benchmark systems and a financial index for comparison, several conclusions are obtained about the generating mechanism for this kind of evolution. The motion is deterministic, driven by occasional random external perturbation. When the interval between two successive perturbations is sufficiently large, one can find low dimensional chaos in this regime. However, the full motion of the MG model is found to be similar to that of the first differences of the SP500 index: stochastic, nonlinear and (unit root) stationary. (C) 2002 Elsevier B.V. B.V. All rights reserved.

Naturally light invisible axion in models with large local discrete symmetries

We show that by introducing appropriate local Z(N)(Ngreater than or equal to13) symmetries in electroweak models it is possible to implement an automatic Peccei-Quinn symmetry, at the same time keeping the axion protected against gravitational effects. Although we consider here only an extension of the standard model and a particular 3-3-1 model, the strategy can be used in any kind of electroweak model. An interesting feature of this 3-3-1 model is that if we add (i) right-handed neutrinos, (ii) the conservation of the total lepton number, and (iii) a Z(2) symmetry, the Z(13) and the chiral Peccei-Quinn U(1)P-Q symmetries are both accidental symmetries in the sense that they are not imposed on the Lagrangian but are just a consequence of the particle content of the model, its gauge invariance, renormalizability, and Lorentz invariance. In addition, this model has no domain wall problem.

A model for Hopfions on the space-time S(3)xR

We construct static and time dependent exact soliton solutions for a theory of scalar fields taking values on a wide class of two dimensional target spaces, and defined on the four dimensional space-time S-3 X R. The construction is based on an ansatz built out of special coordinates on S3. The requirement for finite energy introduce boundary conditions that determine an infinite discrete spectrum of frequencies for the oscillating solutions. For the case where the target space is the sphere S-2, we obtain static soliton solutions with nontrivial Hopf topological charges. In addition, such Hopfions can oscillate in time, preserving their topological Hopf charge, with any of the frequencies belonging to that infinite discrete spectrum. (C) 2005 American Institute of Physics.

Quantum discrete phase space dynamics and its continuous limit

The main aspects of a discrete phase space formalism are presented and the discrete dynamical bracket, suitable for the description of time evolution in finite-dimensional spaces, is discussed. A set of operator bases is defined in such a way that the Weyl-Wigner formalism is shown to be obtained as a limiting case. In the same form, the Moyal bracket is shown to be the limiting case of the discrete dynamical bracket. The dynamics in quantum discrete phase spaces is shown not to be attained from discretization of the continuous case.

Incorporating memory effects in phase separation processes

We consider the modification of the Cahn-Hilliard equation when a time delay process through a memory function is taken into account. We then study the process of spinodal decomposition in fast phase transitions associated with a conserved order parameter. Finite-time memory effects are seen to affect the dynamics of phase transition at short times and have the effect of delaying, in a significant way, the process of rapid growth of the order parameter that follows a quench into the spinodal region. These effects are important in several systems characterized by fast processes, like non-equilibrium dynamics in the early universe and in relativistic heavy-ion collisions. (C) 2006 Elsevier B.V. All rights reserved.

A discrete finite-dimensional phase space approach for the description of Fe8 magnetic clusters: Wigner and Husimi functions

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Stochastic quantization of real-time thermal field theory

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)