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.

Feeding level and frequency for freshwater angelfish

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Habitat use and home range of brown-nosed coati, Nasua nasua (Carnivora: Procyonidae) in the Brazilian Cerrado biome

The brown-nosed coati (Nasua nasua) is a carnivorous species found in all the Brazilian biomes, some of which are endangered areas. The aim of this work was to determine the habitat use and selection, home range and core area of N. nasua in the Cerrado biome, central region of Tocantins, Brazil. The study was carried out in an area of approximately 20 000ha from May 2000 to July 2002. A total of seven box traps were placed in the area for 13 months, three of 11 captured animals were followed and monitored by radio-tracking during 13 months. The monitoring was conducted once a day, three times a week using a car and walking through the study area (radio-tracking and visual contact). The results demonstrate that these three males used more frequently the gallery forest formation, followed by cerrado and wetlands. The use of gallery forest by these animals indicated an habitat selection (Proportion test, z=12.98, p< 0.01). Besides, adult males used the gallery forest more frequently (Fisher's exact test, p<0.01) and wetlands less frequently (Fisher's exact test, p<0.01) than juvenile males, without significant differences between animal ages for cerrado percentage of habitat use. Besides, results also showed a gallery forest selection by adult (Proportion test z= 13.62, p<0.01) and juvenile (Proportion test z=2.68, p<0.01) males, and a wetland selection by the juvenile male (Proportion test z=3.90, p<0.01). The home ranges varied from 2.20 to 7.55km2 for the Minimum Convex Polygon 100% (MCP 100%) and from 4.38 to 13.32km2 for the Harmonic Mean 95% (HM 95%). The smallest home range overlap occurred between the adult males (Nm1 and Nm3), and the greatest between the juvenile Njm2 and the adult Nm1. The average of the core area (HM 75%) for the three monitored animals represented 21.29% of the home range calculated with HM 95%. No overlap between core areas was observed for adult males, but, it was an overlap between the core area of the juvenile male and its band with that of the two adult males. The present study provides new data on core area size and frequency habitat use by adult and juvenile males of N. nasua in the Brazilian Cerrado, that may support conservation efforts. Rev. Biol. Trop. 58 (3): 1069-1077. Epub 2010 September 01.

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.

Deriving the magnitude of niobium off-center displacement in ferroelectric niobates from infrared spectroscopy

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

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.

Frequency of class I anti-HLA alloantibodies in patients infected by HIV-1

O objetivo deste estudo foi avaliar a presença de aloanticorpos anti-HLA classe I em pacientes infectados pelo HIV-1 e relacioná-la aos diferentes cursos clínicos da doença. Amostras de sangue de 145 indivíduos HIV positivo foram coletadas em tubos com EDTA. A infecção pelo HIV-1 foi confirmada por teste ELISA e a presença de aloanticorpos anti-HLA classe I determinada em seguida. A evolução clínica foi definida como rápida (<1 ano entre diagnóstico e morte), moderada (1-3 anos) ou lenta (>3 anos). A presença de aloanticorpos anti-HLA classe I foi menor em indivíduos saudáveis em relação aos infectados pelo HIV-1 (4,2% contra 32,4%). Porém, a distribuição destes aloanticorpos entre os indivíduos infectados foi igual, independente da evolução clínica. Deste modo, a presença de aloanticorpos anti-HLA classe I não é um fator determinante na piora clínica do paciente.

On anomalous diffusion and the fractional generalized Langevin equation for a harmonic oscillator

The fractional generalized Langevin equation (FGLE) is proposed to discuss the anomalous diffusive behavior of a harmonic oscillator driven by a two-parameter Mittag-Leffler noise. The solution of this FGLE is discussed by means of the Laplace transform methodology and the kernels are presented in terms of the three-parameter Mittag-Leffler functions. Recent results associated with a generalized Langevin equation are recovered.

Neural Network-Based Approach for Identification of the Harmonic Content of a Nonlinear Load in a Single-Phase System

In this paper an alternative method based on artificial neural networks is presented to determine harmonic components in the load current of a single-phase electric power system with nonlinear loads, whose parameters can vary so much in reason of the loads characteristic behaviors as because of the human intervention. The first six components in the load current are determined using the information contained in the time-varying waveforms. The effectiveness of this method is verified by using it in a single-phase active power filter with selective compensation of the current drained by an AC controller. The proposed method is compared with the fast Fourier transform.