Integração espacial e eficiência do hedge no mercado sul-americano de soja: comparações entre Brasil e Argentina

Este trabalho tem por objetivo analisar o potencial de desenvolvimento do contrato futuro de soja no Brasil, por meio da atração de hedgers brasileiros e argentinos. Para tanto, faz-se necessário conhecer os padrões das conexões dos preços entre as regiões analisadas. Nesse sentido, o Capítulo 2 investigou a integração espacial do mercado físico de soja no Brasil (região de Sorriso, no Mato Grosso) e na Argentina (região de Rosário, na província de Santa Fé) e comparou ao grau de integração com os Estados Unidos. Foram empregados modelos autorregressivos com threshold (TAR e M-TAR) e modelos vetoriais de correção de erros, lineares e com threshold (VECM e TVECM), visando captar os efeitos dos custos de transação sobre a integração espacial entre essas regiões. Os resultados apontaram que o mercado de soja brasileiro, argentino e norte-americano são integrados, mesmo considerando-se os efeitos dos custos de transação sobre as decisões de arbitragem espacial. Consequentemente, os preços da soja no mercado internacional tendem a refletir o comportamento dos principais países produtores. Apesar disso, o tempo de transmissão de choques de preços mostrou-se, em geral, menor entre Brasil e Argentina, refletindo a proximidade geográfica. Apontou-se também o comportamento assimétrico da transmissão desses choques, uma vez que choques positivos sobre a relação de longo prazo tendem a ser mais persistentes que os negativos. Se o contrato futuro reflete o comportamento de preços de um único mercado físico integrado, deve-se então esperar que o risco de base seja menor para este mercado e, portanto, que a eficiência do hedge seja maior. No Capítulo 3, o objetivo se constituiu em verificar se há maior eficiência no hedge realizado com os contratos com vencimento em março na CME em relação à BM&FBOVESPA, considerando-se as relações de longo prazo entre os preços à vista e futuros, bem como a dinâmica na estrutura de covariâncias condicionais, por meio de modelos de correção de erros (VECM) e modelos de heterocedasticidade condicional generalizados com correlação condicional dinâmica (DCC-GARCH). Os resultados mostraram que, em geral, a introdução da dinâmica nos segundos momentos das distribuições dos erros tende a aumentar a eficiência da estratégia de hedge. Além disso, foi observado que os produtores de Sorriso tendem a obter melhores condições de hedge na CME, embora haja redução da variância ao se operar na BM&FBOVESPA. Por outro lado, a eficiência do hedge para os produtores de Rosário foi significativamente maior na BM&FBOVESPA do que na CME, o que indica o mercado potencial de hedgers argentinos para negociar o contrato futuro de soja local no Brasil.

Exact solution, scaling behaviour and quantum dynamics of a model of an atom-molecule Bose-Einstein condensate

0We study the exact solution for a two-mode model describing coherent coupling between atomic and molecular Bose-Einstein condensates (BEC), in the context of the Bethe ansatz. By combining an asymptotic and numerical analysis, we identify the scaling behaviour of the model and determine the zero temperature expectation value for the coherence and average atomic occupation. The threshold coupling for production of the molecular BEC is identified as the point at which the energy gap is minimum. Our numerical results indicate a parity effect for the energy gap between ground and first excited state depending on whether the total atomic number is odd or even. The numerical calculations for the quantum dynamics reveals a smooth transition from the atomic to the molecular BEC.

Ultra-cold fermions in optical lattices

We summarize recent theoretical results for the signatures of strongly correlated ultra-cold fermions in optical lattices. In particular, we focus on collective mode calculations, where a sharp decrease in collective mode frequency is predicted at the onset of the Mott metal-insulator transition; and correlation functions at finite temperature, where we employ a new exact technique that applies the stochastic gauge technique with a Gaussian operator basis.

Structural change in macroeconomic time series: A complex systems perspective

We demonstrate that the process of generating smooth transitions Call be viewed as a natural result of the filtering operations implied in the generation of discrete-time series observations from the sampling of data from an underlying continuous time process that has undergone a process of structural change. In order to focus discussion, we utilize the problem of estimating the location of abrupt shifts in some simple time series models. This approach will permit its to address salient issues relating to distortions induced by the inherent aggregation associated with discrete-time sampling of continuous time processes experiencing structural change, We also address the issue of how time irreversible structures may be generated within the smooth transition processes. (c) 2005 Elsevier Inc. All rights reserved.

Peer mentoring works!

This report draws on the findings of a three year study into peer mentoring conducted at 6 Higher Education Institutions (HEIs), 5 of which were in the UK, 1 of which was in Norway. Following a multiple case-study design, quantitative and qualitative research was conducted in collaboration with the project partners. The research findings provide empirical evidence that peer mentoring works! In particular the report provides: - An Executive Summary outlining the main project findings - A synopsis of the relevant literature – and a link to a much larger literature review undertaken at the beginning of the study - A working conceptual framework and set of research questions - An overview and rationale of the methodological approach and tools - Evidence of the value of peer mentoring in promoting a ‘smooth’ transition into university - Evidence that peer mentoring works by providing the means by which new students can access peer support in both social and academic spheres throughout their first year - Identification of the main challenges of peer mentoring - Evidence of the manner in which writing peer mentoring works by providing bespoke help for individual students - A discussion section in which a new approach to peer mentoring, Transition+, is proposed. The report concludes with recommendations for: Higher Education Institutions: Students: Policy Makers: and, Individuals within HEIs wishing to establish peer mentoring.

Peer mentoring in higher education:a multidimensional approach to conceptualising the role of peer mentoring programmes in enhancing the first year undergraduate experience

Across the literature researchers agree that the concept of mentoring results in positive outcomes for both mentors and mentees alike (Enrich et al, 2004). From a pedagogical perspective, student focused mentoring activities in Higher Education are generally perceived to comprise dyadic or triadic relationships that encapsulate a diverse range of learning strategies and/or support mechanisms. Whilst there exists a significant amount of literature regarding the wider value of Peer Mentoring in Higher Education, there remains a notable gap in knowledge about the value of such programmes in enhancing the first year undergraduate experience and thus promoting a smooth transition to University. Using the emergent study findings of a large international project, a multidimensional conceptual framework bringing together the theoretical, conceptual and contextual determinants of Peer Mentoring is proposed. This framework makes a distinctive contribution to current pedagogical theory and practice – particularly in relation to the first year experience.

Specialist business skills of international students

This paper follows on from that presented at the last BEST conference in Edinburgh (Higson & Hamilton-Jones(2004)). At that stage, the authors outlined their initial research work with students studying on the yearlong International Foundation programmes. at three local FE Colleges allied to Aston University. The research (funded by the University's Teaching Quality Enhancement Funds (TQEF) involved questionnaires and interviews with staff and students (the latter all from overseas). it aimed to identify ways to improve the learning experience of students on the International Foundation programmes, to aid their smooth transition to full degree programmes in Business and Management and to improve the progression rates of such students while studying at Aston. The initial research findings were used to design a module for those students' progress to degree programmes in Aston Business School. This paper discusses how the module was designed, its content and the assessment methods used to help determine whether students are achieving the learning outcomes. The basic principle was to identify areas of study where the International Foundation Programme students needed help in order to improve their learning styles to assist them with the requirements of other modules that they would be studying during their time at Aston. Particular emphasis was put on the need to develop active learners who were not disadvantaged by their lack of awareness of UK culture and society and who were as comfortable performing written work under examination conditions or presenting orally as their UK counterparts. An additional aim was to prepare these students for the placement year which was a compulsory part of their degree. The module, therefore, comprises a range of inputs for a number of staff, a company visit, weekly reflective learning leading to Personal Development Plan (PDP) work, formal examinations, presentations, group work •and individual case studies. This paper also reports on the initial reaction of the students and tutors to the new learning experience with currently 30 participants undertaking the module. Provisional findings suggest that the International Foundation programme has prepared the students well for degree-level work and that as a group of international students they are much more analytical and, after studying the module interactive than their counterparts who have come directly onto Aston degrees. It has shown them still to be quite passive learners, comfortable with facts and lecture-style learning environments, but less comfortable when asked to use their own initiatives. Continuing progress needs to be made in terms of encouraging them to develop a reflective approach to learning with the students taking some time to feel comfortable with an analytical approach to learning. In addition, im account of the students' reactions to having to work through a formal (PDP) and the results of their first assessments will be provided. At Aston, this work is being used as a pilot to recognise good practice with regards to work with further groups of international students. it is hoped that this would have widespread application across the sector.

Concurrent multiscale modelling of atomistic and hydrodynamic processes in liquids

Fluctuations of liquids at the scales where the hydrodynamic and atomistic descriptions overlap are considered. The importance of these fluctuations for atomistic motions is discussed and examples of their accurate modelling with a multi-space-time-scale fluctuating hydrodynamics scheme are provided. To resolve microscopic details of liquid systems, including biomolecular solutions, together with macroscopic fluctuations in space-time, a novel hybrid atomistic-fluctuating hydrodynamics approach is introduced. For a smooth transition between the atomistic and continuum representations, an analogy with two-phase hydrodynamics is used that leads to a strict preservation of macroscopic mass and momentum conservation laws. Examples of numerical implementation of the new hybrid approach for the multiscale simulation of liquid argon in equilibrium conditions are provided. © 2014 The Author(s) Published by the Royal Society.

Price transmission in the EU wholesale petroleum markets

This article employs nonlinear smooth transition models to analyze the relationship between upstream and midstream prices of petroleum products. We test for the presence of nonlinearities in price linkages using both weekly series constructed using official EU procedures and also daily industry series applied for the first time. Our results show that the estimated shape of the transition function and equilibrium reversion path depend on the frequency of the price dataset. Our analysis of the crude oil to wholesale price transmission provides evidence of nonlinearities when prices are observed with daily frequency. The nature of the nonlinearities provides evidence in support of the existence of menu costs or, more generally, frictions in the markets rather than supply adjustment costs. This result differs from that found for the U.S. petroleum markets. © 2012 American Statistical Association.

A comprehensive portfolio construction under stochastic environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. ^ A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: (a) increase the efficiency of the portfolio optimization process, (b) implement large-scale optimizations, and (c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. ^ The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. ^ The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH). ^

A Comprehensive Portfolio Construction Under Stochastic Environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: a) increase the efficiency of the portfolio optimization process, b) implement large-scale optimizations, and c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH).

New Developments in Tourism and Hotel Demand Modeling and Forecasting

Abstract Purpose The purpose of the study is to review recent studies published from 2007-2015 on tourism and hotel demand modeling and forecasting with a view to identifying the emerging topics and methods studied and to pointing future research directions in the field. Design/Methodology/approach Articles on tourism and hotel demand modeling and forecasting published in both science citation index (SCI) and social science citation index (SSCI) journals were identified and analyzed. Findings This review found that the studies focused on hotel demand are relatively less than those on tourism demand. It is also observed that more and more studies have moved away from the aggregate tourism demand analysis, while disaggregate markets and niche products have attracted increasing attention. Some studies have gone beyond neoclassical economic theory to seek additional explanations of the dynamics of tourism and hotel demand, such as environmental factors, tourist online behavior and consumer confidence indicators, among others. More sophisticated techniques such as nonlinear smooth transition regression, mixed-frequency modeling technique and nonparametric singular spectrum analysis have also been introduced to this research area. Research limitations/implications The main limitation of this review is that the articles included in this study only cover the English literature. Future review of this kind should also include articles published in other languages. The review provides a useful guide for researchers who are interested in future research on tourism and hotel demand modeling and forecasting. Practical implications This review provides important suggestions and recommendations for improving the efficiency of tourism and hospitality management practices. Originality/value The value of this review is that it identifies the current trends in tourism and hotel demand modeling and forecasting research and points out future research directions.

An Islanding Detection Method based on Impedance Estimation and Grid Identification for Grid-Tie Distributed Power Generation Systems

Power system policies are broadly on track to escalate the use of renewable energy resources in electric power generation. Integration of dispersed generation to the utility network not only intensifies the benefits of renewable generation but also introduces further advantages such as power quality enhancement and freedom of power generation for the consumers. However, issues arise from the integration of distributed generators to the existing utility grid are as significant as its benefits. The issues are aggravated as the number of grid-connected distributed generators increases. Therefore, power quality demands become stricter to ensure a safe and proper advancement towards the emerging smart grid. In this regard, system protection is the area that is highly affected as the grid-connected distributed generation share in electricity generation increases. Islanding detection, amongst all protection issues, is the most important concern for a power system with high penetration of distributed sources. Islanding occurs when a portion of the distribution network which includes one or more distributed generation units and local loads is disconnected from the remaining portion of the grid. Upon formation of a power island, it remains energized due to the presence of one or more distributed sources. This thesis introduces a new islanding detection technique based on an enhanced multi-layer scheme that shows superior performance over the existing techniques. It provides improved solutions for safety and protection of power systems and distributed sources that are capable of operating in grid-connected mode. The proposed active method offers negligible non-detection zone. It is applicable to micro-grids with a number of distributed generation sources without sacrificing the dynamic response of the system. In addition, the information obtained from the proposed scheme allows for smooth transition to stand-alone operation if required. The proposed technique paves the path towards a comprehensive protection solution for future power networks. The proposed method is converter-resident and all power conversion systems that are operating based on power electronics converters can benefit from this method. The theoretical analysis is presented, and extensive simulation results confirm the validity of the analytical work.

Juvenile-mature wood transition in pine: correlation between wood properties and candidate gene expression profiles

There is a strong desire to exploit transcriptomics data from model species for the genetic improvement of non-model crops. Here, we use gene expression profiles from the commercial model Pinus taeda to identify candidate genes implicated in juvenile-mature wood transition in the non-model relative, P. sylvestris. Re-analysis of 'public domain' SAGE data from xylem tissues of P. taeda revealed 283 mature-abundant and 396 juvenile-abundant tags (P < 0.01), of which 70 and 137, respectively matched to genes with known function. Based on sequence similarity, we then isolated 16 putative homologues of genes that in P. taeda exhibited widest divergence in expression between juvenile and mature samples. Candidate expression levels in P. sylvestris were almost invariably differential between juvenile and mature woody tissue samples among two cohorts of five trees collected from the same seed source and selected for genetic uniformity by genetic distance analysis. However, the direction of differential expression was not always consistent with that described in the original P. taeda SAGE data. Correlation was observed between gene expression and juvenile-mature wood anatomical characteristics by OPLS analysis. Four candidates (alpha-tubulin, porin MIP1, lipid transfer protein and aquaporin like protein) apparently had greatest influence on the wood traits measured. Speculative function of these genes in relation to juvenile-mature wood transition is briefly explored. Thus, we demonstrate the feasibility of exploiting SAGE data from a model species to identify consistently differentially expressed candidates in a related non-model species.

Modulation of smooth muscle cell function: Morphological evidence for a contractile to synthetic transition in the rat ventral prostate after castration

In this study, we evaluated the involvement of rat ventral prostate smooth muscle cells (SMC) in secretory activity and whether this function is modulated after castration. Cell morphology was examined at both light and electron microscopy levels and the organelles involved in secretory function were labeled by the zinc-iodide-osmium (ZIO) method at the ultrastructural level and their volume density was determined by stereology. Castration resulted in marked changes of the SMC, which adopted a spinous aspect and abandoned the layered arrangement observed in the prostates of non-castrated rats. The volume density of ZIO reactive organelles increased progressively after castration, reaching significantly higher levels 21 days after castration, Since previous studies have demonstrated that SMC express SMC markers (even 21 days after castration) and are able to respond to adrenergic stimulation, we concluded that differentiated SMC are able to shift from a predominantly contractile to a more synthetic phenotype without changing their differentiation status. (c) 2005 International Federation for Cell Biology. Published by Elsevier Ltd. All rights reserved.