Evaluating the efficiency of fractional integration parameter estimators

This article deals with the efficiency of fractional integration parameter estimators. This study was based on Monte Carlo experiments involving simulated stochastic processes with integration orders in the range]-1,1[. The evaluated estimation methods were classified into two groups: heuristics and semiparametric/maximum likelihood (ML). The study revealed that the comparative efficiency of the estimators, measured by the lesser mean squared error, depends on the stationary/non-stationary and persistency/anti-persistency conditions of the series. The ML estimator was shown to be superior for stationary persistent processes; the wavelet spectrum-based estimators were better for non-stationary mean reversible and invertible anti-persistent processes; the weighted periodogram-based estimator was shown to be superior for non-invertible anti-persistent processes.

Price dispersion and price indexes

The traditional theory of price index numbers is based on the law of one price. But in the real world, we frequently observe the existence of an equilibrium price dispersion instead of one price of equilibrium. This article discusses the effects of price dispersion on two price indexes: the cost of living index and the consumer price index. With price dispersion and consumer searching for the lowest price, these indexes cannot be interpreted as deterministic indicators, but as stochastic indicators, and they can be biased if price dispersion is not taken into account. A measure for the bias of the consumer price index is proposed and the article ends with an estimation of the bias based on data obtained from the consumer price index calculated for the city of Sao Paulo, Brazil, from January 1988 through December 2004. The period analysed is very interesting, because it exhibits different inflationary environments: high levels and high volatility of the rates of inflation with great price dispersion until July 1994 and low and relatively stable rates of inflation with prices less dispersed after August 1994.

Optimal reserve management and sovereign debt

Most models currently used to determine optimal foreign reserve holdings take the level of international debt as given. However, given the sovereign`s willingness-to-pay incentive problems, reserve accumulation may reduce sustainable debt levels. In addition, assuming constant debt levels does not allow addressing one of the puzzles behind using reserves as a means to avoid the negative effects of crisis: why do not sovereign countries reduce their sovereign debt instead? To study the joint decision of holding sovereign debt and reserves, we construct a stochastic dynamic equilibrium model calibrated to a sample of emerging markets. We obtain that the reserve accumulation does not play a quantitatively important role in this model. In fact, we find the optimal policy is not to hold reserves at all. This finding is robust to considering interest rate shocks, sudden stops, contingent reserves and reserve dependent output costs. (c) 2008 Elsevier B.V. All rights reserved.

Fragmentation of a Neotropical migratory fish population by a century-old dam

Loss of connectivity in impounded rivers is among the impacts imposed by dams, and mitigation measures such as fish passages might not accomplish their purpose of reestablishing an efficient bi-directional gene flow in the fish populations affected. As a consequence, fish populations remain fragmented, and a new interpopulational structure may develop, with increased risk of reduced genetic diversity and stochastic extinction. In order to evaluate the effects of the Gavio Peixoto Dam, which was constructed almost a century ago on the Jacar,-Gua double dagger u River in the Upper Parana River basin, Brazil, a comparative morphometric study was undertaken on the populations of the Neotropical migratory characid fish Salminus hilarii living up- and downstream of this dam. Population dynamics, spatial segregation, and habitat use by different age classes were monitored for 2 years. We found that segregation caused by the dam and long periods with no efficient connection by fish passages have led to fragmentation and interpopulational structuring of S. hilarii, as revealed by canonical variable analysis of morphometric features. The fish populations occupying the up- and downstream sections have succeeded in performing short-distance reproductive migrations in the main river and tributaries, have found suitable habitats for completing their life cycle, and have been able to maintain distinct small-sized populations so far.

Drinfield twists and alegebraic Bethe ansatz of the supersymmetric t-J model

We construct the Drinfeld twists (factorizing F-matrices) for the supersymmetric t-J model. Working in the basis provided by the F-matrix (i.e. the so-called F-basis), we obtain completely symmetric representations of the monodromy matrix and the pseudo-particle creation operators of the model. These enable us to resolve the hierarchy of the nested Bethe vectors for the gl(2\1) invariant t-J model.

Characterization of the rat exploratory behavior in the elevated plus-maze with Markov chains

The elevated plus-maze is an animal model of anxiety used to study the effect of different drugs on the behavior of the animal It consists of a plus-shaped maze with two open and two closed arms elevated 50 cm from the floor The standard measures used to characterize exploratory behavior in the elevated plus-maze are the time spent and the number of entries in the open arms In this work we use Markov chains to characterize the exploratory behavior of the rat in the elevated plus-maze under three different conditions normal and under the effects of anxiogenic and anxiolytic drugs The spatial structure of the elevated plus-maze is divided into squares which are associated with states of a Markov chain By counting the frequencies of transitions between states during 5-min sessions in the elevated plus-maze we constructed stochastic matrices for the three conditions studied The stochastic matrices show specific patterns which correspond to the observed behaviors of the rat under the three different conditions For the control group the stochastic matrix shows a clear preference for places in the closed arms This preference is enhanced for the anxiogenic group For the anxiolytic group the stochastic matrix shows a pattern similar to a random walk Our results suggest that Markov chains can be used together with the standard measures to characterize the rat behavior in the elevated plus-maze (C) 2010 Elsevier B V All rights reserved

Quantum analysis of the nondegenerate optical parametric oscillator with injected signal

In this paper we study the nondegenerate optical parametric oscillator with injected signal, both analytically and numerically. We develop a perturbation approach which allows us to find approximate analytical solutions, starting from the full equations of motion in the positive-P representation. We demonstrate the regimes of validity of our approximations via comparison with the full stochastic results. We find that, with reasonably low levels of injected signal, the system allows for demonstrations of quantum entanglement and the Einstein-Podolsky-Rosen paradox. In contrast to the normal optical parametric oscillator operating below threshold, these features are demonstrated with relatively intense fields.

Risk attitude, planting conditions and the value of seasonal forecasts to a dryland wheat grower

The value of a seasonal forecasting system based on phases of the Southern Oscillation was estimated for a representative dryland wheat grower in the vicinity of Goondiwindi. In particular the effects on this estimate of risk attitude and planting conditions were examined. A recursive stochastic programming approach was used to identify the grower's utility-maximising action set in the event of each of the climate patterns over the period 1894-1991 recurring In the imminent season. The approach was repeated with and without use of the forecasts. The choices examined were, at planting, nitrogen application rate and cultivar and, later in the season, choices of proceeding with or abandoning each wheat activity, The value of the forecasting system was estimated as the maximum amount the grower could afford to pay for its use without expected utility being lowered relative to its non use.

Pulsed quadrature-phase squeezing of solitary waves in chi((2)) parametric waveguides

It is shown that coherent quantum simultons (simultaneous solitary waves at two different frequencies) can undergo quadrature-phase squeezing as they propagate through a dispersive chi((2)) waveguide. This requires a treatment of the coupled quantized fields including a quantized depleted pump field. A technique involving nonlinear stochastic parabolic partial differential equations using a nondiagonal coherent state representation in combination with an exact Wigner representation on a reduced phase space is outlined. We explicitly demonstrate that group-velocity matched chi((2)) waveguides which exhibit collinear propagation can produce quadrature-phase squeezed simultons. Quasi-phase-matched KTP waveguides, even with their large group-velocity mismatch between fundamental and second harmonic at 425 nm, can produce 3 dB squeezed bright pulses at 850 nm in the large phase-mismatch regime. This can be improved to more than 6 dB by using group-velocity matched waveguides.

Evaluation of the cytogenetic effects of I-131 preceded by recombinant human thyrotropin (rhTSH) in peripheral lymphocytes of Wistar rats

The present study was carried out to investigate the cytogenetic effects of therapeutic exposure to radioiodine preceded by rhTSH in an animal model. Three groups of Wistar rats (n = 6) were used: one group was treated only with I-131 (11.1 MBq/animal); the other two groups received rhTSH (1.2 mu g/rat of either Thyrogen or rhTSH-IPEN, respectively) 24 h before administration of radioiodine. The percentage of lymphocytes with chromosome aberrations and the average number of aberrations and of dicentrics per cell were determined on blood samples collected 24 h, 7 and 30 days after administration of I-131. The data show that the treatment with radioiodine alone or associated with rhTSH resulted in a greater quantity of chromosome alterations in relation to basal values after 24 h, with a gradual decline after 7 and 30 days of treatment. An increase in chromosome alterations was also seen after rhTSH treatment alone. Neither of the treatments, i.e., with I-131 alone or associated with hormone, resulted in an aneugenic effect or influenced the kinetics of cellular proliferation in rat blood lymphocytes. There was no significant difference between the cytogenetic effects of Thyrogen and rhTSH-IPEN treatment. These data suggest that the treatment with radioiodine, associated or not with rhTSH, affects to a limited extent a relatively small number of cells although the occurrence of late stochastic effects could not be discarded.

A fuzzy Reed-Frost model for epidemic spreading

In this paper, we present a fuzzy approach to the Reed-Frost model for epidemic spreading taking into account uncertainties in the diagnostic of the infection. The heterogeneities in the infected group is based on the clinical signals of the individuals (symptoms, laboratorial exams, medical findings, etc.), which are incorporated into the dynamic of the epidemic. The infectivity level is time-varying and the classification of the individuals is performed through fuzzy relations. Simulations considering a real problem with data of the viral epidemic in a children daycare are performed and the results are compared with a stochastic Reed-Frost generalization.

Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.