Long-term memory in financial prices: evidence from the Dutch stock market returns

Prepared for presentation at the Portuguese Finance Network International Conference 2014, Vilamoura, Portugal, June 18-20

Metodologia das opções reais na avaliação de investimentos produtivos: aplicação de um modelo de uma variável estocástica

Os critérios neoclássicos de investimento ignoram três características fundamentais, presentes na grande maioria dos projetos de investimento produtivos, sendo elas a Flexibilidade, a Incerteza e a Irreversibilidade. Face a essas características, a abordagem das Opções Reais parece ser a única abordagem competente quando comparada com critérios como Payback, Taxa Interna de Rendibilidade ou Valor Atual Líquido. Com vista a confirmar estas afirmações, aplica-se a uma situação simulada o modelo de uma variável estocástica, que segue um processo estocástico, mais concretamente um Geometric Brownian Motion com drift, apresentado por Dixit e Pindyck (1994), modelo este que a par dos modelos de duas variáveis estocásticas, como são exemplos os desenvolvidos por McDonald e Siegel (1986) e Adkins e Paxson (2011), constituem aquele que é, tanto quanto sabemos, o “estado da arte” da temática. Com base nesta aplicação recolhemos evidências de que, de facto, através da consideração de oportunidades de investimento perspetivadas em Opções Reais diminuímos a probabilidade de incorrer em decisões de investimento que não são, de acordo com este critério, ótimas para maximizar o valor do projeto em questão.

Fractional Order Description of DNA

This study addresses the deoxyribonucleic acid (DNA) and proposes a procedure based on the association of statistics, information theory, signal processing, Fourier analysis and fractional calculus for describing fundamental characteristics of the DNA. In a first phase the 24 chromosomes of the Human are evaluated. In a second phase, 10 chromosomes for different species are also processed and the results compared. The results reveal invariance in the description and close resemblances with fractional Brownian motion.

Fractional Dynamics in the Rayleigh's Piston

This paper studies the dynamics of the Rayleigh piston using the modeling tools of Fractional Calculus. Several numerical experiments examine the effect of distinct values of the parameters. The time responses are transformed into the Fourier domain and approximated by means of power law approximations. The description reveals characteristics usual in Fractional Brownian phenomena.

Human mobility patterns at the smallest scales

We present a study on human mobility at small spatial scales. Differently from large scale mobility, recently studied through dollar-bill tracking and mobile phone data sets within one big country or continent, we report Brownian features of human mobility at smaller scales. In particular, the scaling exponents found at the smallest scales is typically close to one-half, differently from the larger values for the exponent characterizing mobility at larger scales. We carefully analyze 12-month data of the Eduroam database within the Portuguese university of Minho. A full procedure is introduced with the aim of properly characterizing the human mobility within the network of access points composing the wireless system of the university. In particular, measures of flux are introduced for estimating a distance between access points. This distance is typically non-Euclidean, since the spatial constraints at such small scales distort the continuum space on which human mobility occurs. Since two different ex- ponents are found depending on the scale human motion takes place, we raise the question at which scale the transition from Brownian to non-Brownian motion takes place. In this context, we discuss how the numerical approach can be extended to larger scales, using the full Eduroam in Europe and in Asia, for uncovering the transi- tion between both dynamical regimes.

Macroecologia de carnívoros do Novo Mundo (Mammalia): envelopes de restrição e análise de padrões filogenéticos

The relationship between body size and geographic range was analyzed for 70 species of terrestrial Carnivora ("fissipeds") of the New World, after the control of phylogenetic patterns in the data using phylogenetic eigenvector regression. The analysis from EcoSim software showed that the variables are related as a triangular envelope. Phylogenetic patterns in data were detected by means of phylogenetic correlograms, and 200 simulations of the phenotypic evolution were also performed over the phylogeny. For body size, the simulations suggested a non-linear relationship for the evolution of this character along the phylogeny. For geographic range size, the correlogram showed no phylogenetic patterns. A phylogenetic eigenvector regression was performed on original data and on data simulated under Ornstein-Uhlenbeck process. Since both characters did not evolve under a simple Brownian motion process, the Type I errors should be around 10%, compatible with other methods to analyze correlated evolution. The significant correlation of the original data (r = 0.38; P < 0.05), as well as the triangular envelope, then indicate ecological and adaptive processes connecting the two variables, such as those proposed in minimum viable population models.

Morfologia do Mycobacterium leprae hominis e do M. leprae muris: estudo baseado na microscopia electrônica e de contraste de fases

Hansen's Bacillus: By electron microscopy this bacillus shows membrane and halo, this being more visible when sorrounding the globi or bundles of bacilli; shows, also, free granules of various sizes which were before considered as dust of the dyes; shows external granules bound with the membrane and some times branching. By phases contrast microscopy examining leproma suspensions and subcataneous lymph at 400 x we saw many free granules with intense rotatory movement; granulated bacilli with screw, skip or stroke motion, producing slow progressive motion. All such elementes are surrounded by a halo, corresponding to the classical gloea. By a patient and delayed examination we were able to see that the internal granules are motile and help the progression of the bacilli, giving the impression that the cytoplasm is liquid. By a lasting observation we could see the larger granules form prolapse, like a pseudopode and abandon the bacilli and going in very rapid rotatory movement. There are branched bacilli; there are pedunculated fred granules like comets. The addition of a drop of formol at the preparation stops all movements. Stefansky's Bacillus: Repeated examination by RCA electron microscope, type EMU-25 of fresh suspensions of rat lepromas, led us to confirm the close relationship between human and murine leprosy agents. We examined also material from carabo (Lepra bubalorum) from Java, but due to fixation, the material was unsuitable for comparative studies. The Stefansky's bacilli showed also emmbranes and halos, internal or external granules (smaller than those of Hansen's bacillus). The bacilli shaded by chromium look thicker and shorter than those of Hansen. Due to electron bombardment both, Hansen's and Stefansky's baccilli suffer considerable alterations in their structure, showing black barrs of chromatin condensation at their extremities as also in their centers. By phase microscopy the Stefansky's bacilli showed elements with 1, 2 (bipolar), 3 or more internal small granules, developing identical movements as those of Hansen. The globi seem to be non-motile but the free bacilli appearing around the globi show intense movement. At 1000 x the examination is less satisfactory than at 400 x. The addition of formol solution in the preparation suppresses all movements, even the brownian, but the material becomes more suitable for the study of static morphology of the bacilli. CONCLUSION - The electron and phases contrast microscopy of leprous material from different types and phases of the disease may explain some of the unknown aspects of the biology and morphology of the bacilli.

Reflected Backward Stochastic Differential Equation with Jumps and RCLL Obstacle

In this paper we study one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an independent Poisson point process when the solution is forced to stay above a right continuous left-hand limited obstacle. We prove existence and uniqueness of the solution by using a penalization method combined with a monotonic limit theorem.

Tightening of DNA knots by supercoiling facilitates their unknotting by type II DNA topoisomerases.

Using numerical simulations, we compare properties of knotted DNA molecules that are either torsionally relaxed or supercoiled. We observe that DNA supercoiling tightens knotted portions of DNA molecules and accentuates the difference in curvature between knotted and unknotted regions. The increased curvature of knotted regions is expected to make them preferential substrates of type IIA topoisomerases because various earlier experiments have concluded that type IIA DNA topoisomerases preferentially interact with highly curved DNA regions. The supercoiling-induced tightening of DNA knots observed here shows that torsional tension in DNA may serve to expose DNA knots to the unknotting action of type IIA topoisomerases, and thus explains how these topoisomerases could maintain a low knotting equilibrium in vivo, even for long DNA molecules.

A Simple Characterization of Dynamic Completeness in Continuous Time

This paper investigates dynamic completeness of financial markets in which the underlying risk process is a multi-dimensional Brownian motion and the risky securities dividends geometric Brownian motions. A sufficient condition, that the instantaneous dispersion matrix of the relative dividends is non-degenerate, was established recently in the literature for single-commodity, pure-exchange economies with many heterogenous agents, under the assumption that the intermediate flows of all dividends, utilities, and endowments are analytic functions. For the current setting, a different mathematical argument in which analyticity is not needed shows that a slightly weaker condition suffices for general pricing kernels. That is, dynamic completeness obtains irrespectively of preferences, endowments, and other structural elements (such as whether or not the budget constraints include only pure exchange, whether or not the time horizon is finite with lump-sum dividends available on the terminal date, etc.)

Comparative Statics of Asset Prices: the effect of other assets' risk

Currently, financial economics is unable to predict changes in asset prices with respect to changes in the underlying risk factors, even when an asset's dividend is independent of a given factor. This paper takes steps towards addressing this issue by highlighting a crucial component of wealth effects on asset prices hitherto ignored by the literature. Changes in wealth do not only alter an agents risk aversion, but also her perceived 'riskiness' of a security. The latter enhances significantly the extent to which market- clearing leads to endogenously-generated correlation across asset prices, over and above that induced by correlation between payoffs, giving the appearance of 'contagion.'

Oxidative potential of a panel of carbonaceous and metallic nanoparticles

Characterisation of nanoparticles (NP) based on size distribution, surface area, reactivity, and aggregation status of nanoparticles (NP) are of prime importance because they are usually closely related to toxicity. To date, most of the toxicity studies are quite time and money consuming. In the present study we report the oxidative properties of a panel of various NP (four Carbonaceous, nine Metal oxides, and one Metal as showed in Table 1) assessed with an acellular reactivity test measuring dithiothreitol (DTT) consumption (Sauvain et al. 2008). Such a test allows determining the ability of NP to catalyse the transfer of electrons from DTT to oxygen. DTT is used as a reductant species. NP were diluted and sonicated in Tween 80® to a final concentration of 50 g/mL. Printex 90 was diluted 5 times before doing the DTT assay because of its expected higher activity. Suspensions were characterised for NP size distribution by Nanoparticle Tracking Analysis (Nanosight©). Fresh solutions were incubated with DTT (100 μM). Aliquots were taken every 5 min and the remaining DTT was determined by reacting it with DTNB. The reaction rate was determined for NP suspensions and blank in parallel. The mean Brownian size distribution of NP agglomerates in suspension is presented in Table 1. D values correspond to 10th, and 50th percentiles of the particle diameters. All the NP agglomerated in Tween 80 with a D50 size corresponding to at least twice their primary size, except for Al2O3 (300 nm). The DTT test showed Printex 90 sample to be the most reactive one, followed by Diesel EPA and Nanotubes. Most of the metallic NP was nonresponding toward this test, except for NiO and Ag which reacted positively and ZnO which presented the most negative reactivity (see Figure 1). This last observation suggests that electron transfer between DTT and oxygen is hindered in presence of ZnO compared with the blank. Such "stabilization" could be attributable to ZnO dissolution and complexation between Zn2+ ions and DTT.

On Lundh's percolation diffusion

A collection of spherical obstacles in the unit ball in Euclidean space is said to be avoidable for Brownian motion if there is a positive probability that Brownian motion diffusing from some point in the ball will avoid all the obstacles and reach the boundary of the ball. The centres of the spherical obstacles are generated according to a Poisson point process while the radius of an obstacle is a deterministic function. If avoidable configurations are generated with positive probability Lundh calls this percolation diffusion. An integral condition for percolation diffusion is derived in terms of the intensity of the point process and the function that determines the radii of the obstacles.

Effects of physiological self-crowding of DNA on shape and biological properties of DNA molecules with various levels of supercoiling.

DNA in bacterial chromosomes and bacterial plasmids is supercoiled. DNA supercoiling is essential for DNA replication and gene regulation. However, the density of supercoiling in vivo is circa twice smaller than in deproteinized DNA molecules isolated from bacteria. What are then the specific advantages of reduced supercoiling density that is maintained in vivo? Using Brownian dynamics simulations and atomic force microscopy we show here that thanks to physiological DNA-DNA crowding DNA molecules with reduced supercoiling density are still sufficiently supercoiled to stimulate interaction between cis-regulatory elements. On the other hand, weak supercoiling permits DNA molecules to modulate their overall shape in response to physiological changes in DNA crowding. This plasticity of DNA shapes may have regulatory role and be important for the postreplicative spontaneous segregation of bacterial chromosomes.

On Lundh's percolation diffusion

A collection of spherical obstacles in the unit ball in Euclidean space is said to be avoidable for Brownian motion if there is a positive probability that Brownian motion diffusing from some point in the ball will avoid all the obstacles and reach the boundary of the ball. The centres of the spherical obstacles are generated according to a Poisson point process while the radius of an obstacle is a deterministic function. If avoidable con gurations are generated with positive probability Lundh calls this percolation di usion. An integral condition for percolation di ffusion is derived in terms of the intensity of the point process and the function that determines the radii of the obstacles.