Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics. (c) 2005 Elsevier B.V. All rights reserved.

Strong and fast phase modulation for quantitative analysis of photorefractive gratings

A new approach for studying photorefractive gratings in two-wave mixing experiments by a phase modulation technique is presented. The introduction of a large-amplitude, high-frequency sinusoidal phase modulation in one of the input beams blurs the interference pattern and provides powerful harmonic signals for accurate measurements of the grating diffraction efficiency eta and the output phase shift rho between the transmitted and diffracted waves. The blurring of the light fringes can be used to suppress the higher spatial harmonics of the grating, allowing a space-charge field with sinusoidal profile to be recorded. Although the presence of such a strong phase modulation affects the beam coupling in a rather complicated way, it is shown that for the special case of equal intensity input beams, the effect of the phase modulation on eta and rho is reduced to a weakening of the coupling strength. The potentialities of the technique are illustrated in a study of refractive-index waves excited by running interference patterns in a Bi12TiO20 crystal. Expressions for the diffraction efficiency and the output phase shift are derived and used to match numerically calculated curves to the experimental data. The theoretical model is supported by the very good data fitting and allows the computation of important material parameters.

Evidence for a respiratory component, similar to mammalian respiratory sinus arrhythmia, in the heart rate variability signal from the rattlesnake, Crotalus durissus terrificus

Autonomic control of heart rate variability and the central location of vagal preganglionic neurones (VPN) were examined in the rattlesnake ( Crotalus durissus terrificus), in order to determine whether respiratory sinus arrhythmia (RSA) occurred in a similar manner to that described for mammals. Resting ECG signals were recorded in undisturbed snakes using miniature datalogging devices, and the presence of oscillations in heart rate (f(H)) was assessed by power spectral analysis (PSA). This mathematical technique provides a graphical output that enables the estimation of cardiac autonomic control by measuring periodic changes in the heart beat interval. At fH above 19 min(-1) spectra were mainly characterised by low frequency components, reflecting mainly adrenergic tonus on the heart. By contrast, at f(H) below 19 min(-1) spectra typically contained high frequency components, demonstrated to be cholinergic in origin. Snakes with a f(H) > 19 min(-1) may therefore have insufficient cholinergic tonus and/or too high an adrenergic tonus acting upon the heart for respiratory sinus arrhythmia ( RSA) to develop. A parallel study monitored f(Hd) simultaneously with the intraperitoneal pressures associated with lung inflation. Snakes with a fH < 19 min(-1) exhibited a high frequency (HF) peak in the power spectrum, which correlated with ventilation rate (f(V)). Adrenergic blockade by propranolol infusion increased the variability of the ventilation cycle, and the oscillatory component of the f(H) spectrum broadened accordingly. Infusion of atropine to effect cholinergic blockade abolished this HF component, confirming a role for vagal control of the heart in matching f(H) and f(V) in the rattlesnake. A neuroanatomical study of the brainstem revealed two locations for vagal preganglionic neurones (VPN). This is consistent with the suggestion that generation of ventilatory components in the heart rate variability (HRV) signal are dependent on spatially distinct loci for cardiac VPN. Therefore, this study has demonstrated the presence of RSA in the HRV signal and a dual location for VPN in the rattlesnake. We suggest there to be a causal relationship between these two observations.

A study of habitat fragmentation in Southeastern Brazil using remote sensing and geographic information systems (GIS)

The purpose of this work was to study fragmentation of forest formations (mesophytic forest, riparian woodland and savannah vegetation (cerrado)) in a 15,774-ha study area located in the Municipal District of Botucatu in Southeastern Brazil (São Paulo State). A land use and land cover map was made from a color composition of a Landsat-5 thematic mapper (TM) image. The edge effect caused by habitat fragmentation was assessed by overlaying, on a geographic information system (GIS), the land use and land cover data with the spectral ratio. The degree of habitat fragmentation was analyzed by deriving: 1. mean patch area and perimeter; 2. patch number and density; 3. perimeter-area ratio, fractal dimension (D), and shape diversity index (SI); and 4. distance between patches and dispersion index (R). In addition, the following relationships were modeled: 1. distribution of natural vegetation patch sizes; 2. perimeter-area relationship and the number and area of natural vegetation patches; 3. edge effect caused by habitat fragmentation, the values of R indicated that savannah patches (R = 0.86) were aggregated while patches of natural vegetation as a whole (R = 1.02) were randomly dispersed in the landscape. There was a high frequency of small patches in the landscape whereas large patches were rare. In the perimeter-area relationship, there was no sign of scale distinction in the patch shapes, In the patch number-landscape area relationship, D, though apparently scale-dependent, tends to be constant as area increases. This phenomenon was correlated with the tendency to reach a constant density as the working scale was increased, on the edge effect analysis, the edge-center distance was properly estimated by a model in which the edge-center distance was considered a function of the to;al patch area and the SI. (C) 1997 Elsevier B.V. B.V.

Phylogeography of the Solanaceae-infecting Basidiomycota fungus Rhizoctonia solani AG-3 based on sequence analysis of two nuclear DNA loci

Background: the soil fungus Rhizoctonia solani anastomosis group 3 (AG-3) is an important pathogen of cultivated plants in the family Solanaceae. Isolates of R. solani AG-3 are taxonomically related based on the composition of cellular fatty acids, phylogenetic analysis of nuclear ribosomal DNA (rDNA) and beta-tubulin gene sequences, and somatic hyphal interactions. Despite the close genetic relationship among isolates of R. solani AG-3, field populations from potato and tobacco exhibit comparative differences in their disease biology, dispersal ecology, host specialization, genetic diversity and population structure. However, little information is available on how field populations of R. solani AG-3 on potato and tobacco are shaped by population genetic processes. In this study, two field populations of R. solani AG-3 from potato in North Carolina (NC) and the Northern USA; and two field populations from tobacco in NC and Southern Brazil were examined using sequence analysis of two cloned regions of nuclear DNA (pP42F and pP89).Results: Populations of R. solani AG-3 from potato were genetically diverse with a high frequency of heterozygosity, while limited or no genetic diversity was observed within the highly homozygous tobacco populations from NC and Brazil. Except for one isolate (TBR24), all NC and Brazilian isolates from tobacco shared the same alleles. No alleles were shared between potato and tobacco populations of R. solani AG-3, indicating no gene flow between them. To infer historical events that influenced current geographical patterns observed for populations of R. solani AG-3 from potato, we performed an analysis of molecular variance (AMOVA) and a nested clade analysis (NCA). Population differentiation was detected for locus pP89 (Phi(ST) = 0.257, significant at P < 0.05) but not for locus pP42F (Phi(ST) = 0.034, not significant). Results based on NCA of the pP89 locus suggest that historical restricted gene flow is a plausible explanation for the geographical association of clades. Coalescent-based simulations of genealogical relationships between populations of R. solani AG-3 from potato and tobacco were used to estimate the amount and directionality of historical migration patterns in time, and the ages of mutations of populations. Low rates of historical movement of genes were observed between the potato and tobacco populations of R. solani AG-3.Conclusion: the two sisters populations of the basidiomycete fungus R. solani AG-3 from potato and tobacco represent two genetically distinct and historically divergent lineages that have probably evolved within the range of their particular related Solanaceae hosts as sympatric species.

Smart structures health monitoring using artificial neural network

This paper presents a non-model based technique to detect and locate structural damage with the use of artificial neural networks. This method utilizes high frequency structural excitation (typically greater than 30 kHz) through a surface-bonded piezoelectric sensor/actuator to detect changes in structural point impedance due to the presence of damage. Two sets of artificial neural networks were developed in order to detect, locate and characterize structural damage by examining changes in the measured impedance curves. A simulation beam model was developed to verify the proposed method. An experiment was successfully performed in detecting damage on a 4-bay structure with bolted-joints, where the bolts were progressively released.

About the nanoporosity elimination above 800 degrees C in xerogels prepared from TEOS sono-hydrolysis

Small angle X-ray scattering measurements, bulk and skeleton density data and an in-situ study by dilatometric thermal analysis about the nanoporosity elimination above 800 degreesC in TEOS sonogels are presented. Apparently, two processes act during the nanoporosity elimination, which precedes the foaming phenomenon often observed in such systems. The first, with an activation energy of (3.9 +/- 0.4) x 10(2) kJ/mol and high frequency factor, is the controlling process of the most nanoporosity elimination at higher temperature. The value of this activation energy is compatible to that for viscous flux throughout densification process in typical silica-based materials. The second, with an activation energy of (49 +/- 5) kJ/mol and low frequency factor, seems to be the controlling process of the first and extremely slow nanoporosity elimination at low temperature.

Hemoglobin and HFE gene polymorphisms in Brazilian populations in regions endemic for malaria

Our objective was to determine how the distribution of red blood cell diseases is related to malaria occurrence in north Brazil, a region endemic for malaria. We evaluated the incidence of two mutations in the HFE gene, H63D and C282Y, in two study groups: a control blood donor group, with no indication of malaria infection, and a group constituted of malaria patients of four states of the Amazonian region. The hemoglobin polymorphisms were obtained by HPLC and classical laboratory methodologies, and the two mutations in the HFE gene were assayed by PCR-RFLP. We found a high frequency of alpha thalassemia, but there were no significant differences between blood donors and malaria patients. There were also no significant differences in the frequencies of HbA(2); however, the frequency of HbF was significantly different in individuals with malaria from Para and Rondonia. The mean number of reticulocytes was significantly reduced in the blood donors from the northern region, suggesting an adaptive strategy of these populations to parasitic attack by Plasmodium. Most individuals were heterozygous for the H63D allele of the HFE gene in both study groups. In the blood donors group, the greatest frequency of the H63D allele was found in Caucasians of all the states. In the malaria patients group in Rondonia, there was a high frequency of the H63D allele among the non-Caucasians. In the other states, and in the malaria patients group, the H63D allele was the most frequent among the Caucasians. Based on our results, we suggest that the maintenance of polymorphism of the mutations in the gene HFE can be explained by selective factors other than malaria, or it is due to simple allelic oscillation and by the constant gene flow among the populations in Brazil.

Structural health evaluation by optimization techinique and artificial neural network

This paper presents two different approaches to detect, locate, and characterize structural damage. Both techniques utilize electrical impedance in a first stage to locate the damaged area. In the second stage, to quantify the damage severity, one can use neural network, or optimization technique. The electrical impedance-based, which utilizes the electromechanical coupling property of piezoelectric materials, has shown engineering feasibility in a variety of practical field applications. Relying on high frequency structural excitations, this technique is very sensitive to minor structural changes in the near field of the piezoelectric sensors, and therefore, it is able to detect the damage in its early stage. Optimization approaches must be used for the case where a good condensed model is known, while neural network can be also used to estimate the nature of damage without prior knowledge of the model of the structure. The paper concludes with an experimental example in a welded cubic aluminum structure, in order to verify the performance of these two proposed methodologies.

Phylogenetic and evolutionary aspects of Paracoccidioides brasiliensis reveal a long coexistence with animal hosts that explain several biological features of the pathogen

The habitat of the mycelial saprobic form of Paracoccidio ides brasiliensis, which produces the infectious propagula, has not been determined and has proven difficult for mycologists to describe. The fungus has been rarely isolated from the environment, the disease has a prolonged latency period and no outbreaks have been reported. These facts have precluded the adoption of preventive measures to avoid infection. The confirmation of natural infections in nine-banded armadillos (Dasypus novemcinctus) with P. brasiliensis, in high frequency and wide geographic distribution, has opened new avenues for the study and understanding of its ecology. Armadillos belong to the order Xenarthra, which has existed in South America ever since the Paleocene Era (65 million years ago), when the South American subcontinent was still a detached land, before the consolidation of what is now known as the American continent. on the other hand, strong molecular evidence suggests that P. brasiliensis and other dimorphic pathogenic fungi - such as Blastomyces dermatitidis, Coccidioides immitis and Histoplasma capsulatum - belong to the family Onygenaceae sensu Into (order Onygenales, Ascomycota), which appeared around 150 million years ago.P. brasiliensis ecology and relation to its human host are probably linked to the fungal evolutionary past, especially its long coexistence with and adaptation to animal hosts other than Homo sapiens, of earlier origin. Instead of being a blind alley, the meaning of parasitism for dimorphic pathogenic fungi should be considered as an open two-way avenue, in which the fungus may return to the environment, therefore contributing to preserve its teleomorphic (sexual) and anamorphic (asexual) forms in a defined and protected natural habitat. (c) 2006 Elsevier B.V. All rights reserved.

Oxygen plasma treatment of sisal fibers and polypropylene: Effects on mechanical properties of composites

Polypropylene powder and sisal fibers were oxygen plasma treated, and the mechanical properties of their composites were tested. Two main effects were investigated: the incorporation of oxygen polar groups in the polypropylene surface and the surface degradation and chain scission of both polypropylene and sisal fibers. Prior to these treatments, three reactor configurations were tested to investigate the best condition for both effects to occur in PP film. Results showed that polypropylene-cellulose adhesion forces are about an order of magnitude higher for PP film treatments at 13.56 MHz than at 40 kHz owing to much higher chain scission at lower frequencies, although it probably also occurs at high frequency and high power. Polypropylene powder treated with oxygen plasma in optimum conditions for polar group incorporation did not result in improvement in any composite mechanical property, probably owing to the polymer melting. Sisal fibers and PP powder treated In conditions of surface degradation did not improve flexural or tensile properties but resulted in higher impact resistance, comparable to the improvement obtained with the addition of compatibilizer.

Effects of Cold Water Immersion and Active Recovery on Post-Exercise Heart Rate Variability

The aim of the present study was to investigate the potential benefits of cold water immersion (CWI) and active recovery (AR) on blood lactate concentration ([Lac]) and heart rate variability (HRV) indices following high-intensity exercise. 20 male subjects were recruited. on the first visit, an incremental test was performed to determine maximal oxygen consumption and the associated speed (MAS). The remaining 3 visits for the performance of constant velocity exhaustive tests at MAS and different recovery methods (6 min) were separated by 7-day intervals [randomized: CWI, AR or passive recovery (PR)]. The CWI and AR lowered [Lac] (p < 0.05) at 11, 13 and 15 min after exercise cessation in comparison to PR. There was a 'time' and 'recovery mode' interaction for 2 HRV indices: standard deviation of normal R-R intervals (SDNN) (partial eta squared = 0.114) and natural log of low-frequency power density (lnLF) (partial eta squared = 0.090). CWI presented significantly higher SDNN compared to PR at 15 min of recovery (p < 0.05). In addition, greater SDNN values were found in CWI vs. AR during the application of recovery interventions, and at 30 and 75 min post-exercise (p < 0.05 for all differences). The lnLF during the recovery interventions and at 75 min post-exercise was greater using CWI compared with AR (p < 0.05). For square root of the mean of the sum of the squares of differences between adjacent R-R intervals (RMSSD) and natural log of high-frequency power density (lnHF), a moderate effect size was found between CWI and PR during the recovery interventions and at 15 min post-exercise. Our findings show that AR and CWI offer benefits regarding the removal of [Lac] following high-intensity exercise. While limited, CWI results in some improvement in post-exercise cardiac autonomic regulation compared to AR and PR. Further, AR is not recommended if the aim is to accelerate the parasympathetic reactivation.

Parasitos e/ou comensais intestinais em pacientes neoplásicos submetidos à quimioterapia

The objective of this study was to verify the prevalence of intestinal parasites and/or commensals in the neoplastic patients undergoing chemotherapy. Stool samples were analyzed by the method of Lutz (1919) and Rugai (1954), in triplicate. This work was composed of three groups, the first one (GI) formed by neoplastic patients that are not undergoing chemotherapy, the second (GII) comprised patients who were undergoing chemotherapy, and the third group (GIII) consisting of patients who completed chemotherapy. A total of 30 patients (GI-5, GII-18 and GIII-7) were screened at the Assis Regional Hospital of the Unified Health System of Assis, São Paulo. Additional information on antiparasitic treatment and tumor type were obtained by questionnaire. The positivity was 66.7% (20 cases) for intestinal parasites and/or commensals. The helminths were Ascaris lumbricoides (36.7%), Hookworms (20%) and Hymenolepis diminuta (3.3%). Among the highlights are protozoan Giardia lamblia (46.7%), Entamoeba coli (6.7%), E. histolytica/dispar (3.3%), Endolimax nana (3.3%) and Iodameba butschlii (3.3%). The high frequency of intestinal parasites and/or commensals in the neoplastic patients can be attributed to poor personal hygiene and lack of immunity to reinfection and poor knowledge of the prophylaxis of infection by protozoa and helminths. The results indicate the necessity of adopting a new criterion for neoplastic patients undergoing chemotherapy, primarily performing parasitological diagnosis, treatment and monitoring of cure of intestinal parasitic infections in this risk group.

Structural refinement, optical and microwave dielectric properties of BaZrO3

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

South Atlantic Ocean cyclogenesis climatology simulated by regional climate model (RegCM3)

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