Mid-auction information acquisition

This paper studies a model of a sequential auction where bidders are allowed to acquire further information about their valuations of the object in the middle of the auction. It is shown that, in any equilibrium where the distribution of the final price is atornless, a bidder's best response has a simple characterization. In particular, the optimal information acquisition point is the same, regardless of the other bidders' actions. This makes it natural to focus on symmetric, undominated equilibria, as in the Vickrey auction. An existence theorem for such a class of equilibria is presented. The paper also presents some results and numerical simulations that compare this sequential auction with the one-shot auction. 8equential auctions typically yield more expected revenue for the seller than their one-shot counterparts. 80 the possibility of mid-auction information acquisition can provide an explanation for why sequential procedures are more often adopted.

Estratégias de imunização de carteira de renda fixa no Brasil

Este trabalho visa comparar, estatisticamente, o desempenho de duas estratégias de imunização de carteiras de renda fixa, que são recalibradas periodicamente. A primeira estratégia, duração, considera alterações no nível da estrutura a termo da taxa de juros brasileira, enquanto a abordagem alternativa tem como objetivo imunizar o portfólio contra oscilações em nível, inclinação e curvatura. Primeiro, estimamos a curva de juros a partir do modelo polinomial de Nelson & Siegel (1987) e Diebold & Li (2006). Segundo, imunizamos a carteira de renda fixa adotando o conceito de construção de hedge de Litterman & Scheinkman (1991), porém assumindo que as taxas de juros não são observadas. O portfólio imunizado pela estratégia alternativa apresenta empiricamente um desempenho estatisticamente superior ao procedimento de duração. Mostramos também que a frequência ótima de recalibragem é mensal na análise empírica.

Asymetric price adjustment and loss aversion

Ajuste assimétrico de preço é observado em diversos mercados, notavelmente varejo de gasolina: um aumento de custo é passado para os consumidores mais rápido do que uma redução. Eu desenvolvo um modelo de busca dos consumidores que gera essa predição sob aversão à perda. Uma fração dos consumidores ignora os preços no mercado e pode adquirir informação a um custo, o que permite que as firmas tenham lucro com dispersão de preços. Ajuste assimétrico de preço emerge se os consumidores são aversos a perdas em relação a um preço de referência. Custos mais altos tornam os consumidores mais dispostos a procurar, mas também diminui as chances de encontrar preços baixos, gerando uma relação custo-preço convexa.

Revisiting modern portfolio theory

This paper revisits Modern Portfolio Theory and derives eleven properties of Efficient Allocations and Portfolios in the presence of leverage. With different degrees of leverage, an Efficient Portfolio is a linear combination of two portfolios that lie in different efficient frontiers - which allows for an attractive reinterpretation of the Separation Theorem. In particular a change in the investor risk-return preferences will leave the allocation between the Minimum Risk and Risk Portfolios completely unaltered - but will change the magnitudes of the tactical risk allocations within the Risk Portfolio. The paper also discusses the role of diversification in an Efficient Portfolio, emphasizing its more tactical, rather than strategic character

Nonautonomous difference equations with applications

This work is divided in two parts. In the first part we develop the theory of discrete nonautonomous dynamical systems. In particular, we investigate skew-product dynamical system, periodicity, stability, center manifold, and bifurcation. In the second part we present some concrete models that are used in ecology/biology and economics. In addition to developing the mathematical theory of these models, we use simulations to construct graphs that illustrate and describe the dynamics of the models. One of the main contributions of this dissertation is the study of the stability of some concrete nonlinear maps using the center manifold theory. Moreover, the second contribution is the study of bifurcation, and in particular the construction of bifurcation diagrams in the parameter space of the autonomous Ricker competition model. Since the dynamics of the Ricker competition model is similar to the logistic competition model, we believe that there exists a certain class of two-dimensional maps with which we can generalize our results. Finally, using the Brouwer’s fixed point theorem and the construction of a compact invariant and convex subset of the space, we present a proof of the existence of a positive periodic solution of the nonautonomous Ricker competition model.

A obra de triangulis omnimodis libri quinque de Johann Müller Regiomontanus (1436 1476): uma contribuição para o desenvolvimento da trigonometria

Trigonometry, branch of mathematics related to the study of triangles, developed from practical needs, especially relating to astronomy, Surveying and Navigation. Johann Müller, the Regiomontanus (1436-1476) mathematician and astronomer of the fifteenth century played an important role in the development of this science. His work titled De Triangulis Omnimodis Libri Quinque written around 1464, and published posthumously in 1533, presents the first systematic exposure of European plane and spherical trigonometry, a treatment independent of astronomy. In this study we present a description, translation and analysis of some aspects of this important work in the history of trigonometry. Therefore, the translation was performed using a version of the book Regiomontanus on Triangles of Barnabas Hughes, 1967. In it you will find the original work in Latin and an English translation. For this study, we use for most of our translation in Portuguese, the English version, but some doubt utterance, statement and figures were made by the original Latin. In this work, we can see that trigonometry is considered as a branch of mathematics which is subordinated to geometry, that is, toward the study of triangles. Regiomontanus provides a large number of theorems as the original trigonometric formula for the area of a triangle. Use algebra to solve geometric problems and mainly shows the first practical theorem for the law of cosines in spherical trigonometry. Thus, this study shows some of the development of the trigonometry in the fifteenth century, especially with regard to concepts such as sine and cosine (sine reverse), the work discussed above, is of paramount importance for the research in the history of mathematics more specifically in the area of historical analysis and critique of literary sources or studying the work of a particular mathematician

Controle preditivo não linear baseado no modelo de Hammerstein com prova de estabilidade

The Predictive Controller has been receiving plenty attention in the last decades, because the need to understand, to analyze, to predict and to control real systems has been quickly growing with the technological and industrial progress. The objective of this thesis is to present a contribution for the development and implementation of Nonlinear Predictive Controllers based on Hammerstein model, as well as to its make properties evaluation. In this case, in the Nonlinear Predictive Controller development the time-step linearization method is used and a compensation term is introduced in order to improve the controller performance. The main motivation of this thesis is the study and stability guarantee for the Nonlinear Predictive Controller based on Hammerstein model. In this case, was used the concepts of sections and Popov Theorem. Simulation results with literature models shows that the proposed approaches are able to control with good performance and to guarantee the systems stability

Máquina de vetores-suporte intervalar

The Support Vector Machines (SVM) has attracted increasing attention in machine learning area, particularly on classification and patterns recognition. However, in some cases it is not easy to determinate accurately the class which given pattern belongs. This thesis involves the construction of a intervalar pattern classifier using SVM in association with intervalar theory, in order to model the separation of a pattern set between distinct classes with precision, aiming to obtain an optimized separation capable to treat imprecisions contained in the initial data and generated during the computational processing. The SVM is a linear machine. In order to allow it to solve real-world problems (usually nonlinear problems), it is necessary to treat the pattern set, know as input set, transforming from nonlinear nature to linear problem. The kernel machines are responsible to do this mapping. To create the intervalar extension of SVM, both for linear and nonlinear problems, it was necessary define intervalar kernel and the Mercer s theorem (which caracterize a kernel function) to intervalar function

Euler e os números pentagonais

The present investigation includes a study of Leonhard Euler and the pentagonal numbers is his article Mirabilibus Proprietatibus Numerorum Pentagonalium - E524. After a brief review of the life and work of Euler, we analyze the mathematical concepts covered in that article as well as its historical context. For this purpose, we explain the concept of figurate numbers, showing its mode of generation, as well as its geometric and algebraic representations. Then, we present a brief history of the search for the Eulerian pentagonal number theorem, based on his correspondence on the subject with Daniel Bernoulli, Nikolaus Bernoulli, Christian Goldbach and Jean Le Rond d'Alembert. At first, Euler states the theorem, but admits that he doesn t know to prove it. Finally, in a letter to Goldbach in 1750, he presents a demonstration, which is published in E541, along with an alternative proof. The expansion of the concept of pentagonal number is then explained and justified by compare the geometric and algebraic representations of the new pentagonal numbers pentagonal numbers with those of traditional pentagonal numbers. Then we explain to the pentagonal number theorem, that is, the fact that the infinite product(1 x)(1 xx)(1 x3)(1 x4)(1 x5)(1 x6)(1 x7)... is equal to the infinite series 1 x1 x2+x5+x7 x12 x15+x22+x26 ..., where the exponents are given by the pentagonal numbers (expanded) and the sign is determined by whether as more or less as the exponent is pentagonal number (traditional or expanded). We also mention that Euler relates the pentagonal number theorem to other parts of mathematics, such as the concept of partitions, generating functions, the theory of infinite products and the sum of divisors. We end with an explanation of Euler s demonstration pentagonal number theorem

Stand-alone posterior ressection of lumbar hemivertebrae: case report

Background: In this case report we presented the stand-alone posterior approach for hemivertebra resection with unilateral laminar hooks.Case report: The patient was male and five years old. The coronal and sagital X-Rays images showed a failure of vertebral formation, segmented hemivertebra of third lumbar vertebra. The segmented hemivertebra caused a thoracolumbar scoliosis from T12 to L4 (rightside convexity), of 30 degrees (Cobb angle). The patient was submitted to a hemivertebra resection from posterior approach with two unilateral laminars hooks stabilization (superior lamina in L2 and inferior lamina of L4) in association to a compression system and autologus bone graft. The coronal X-Ray image after surgery showed a partial improvement to 25 degrees (Cobb angle) between L2 and L4. After three years of follow up it was not observed system failure (hook pull-out), maintance of curve (25 degrees of Cobb angle) and correction of trunk inbalance.Conclusion: The hemivertebra resection with posterior approach is safe, with satisfactory correction of scoliosis curve, which means is a good choice for congenital scoliosis surgical treatment.

Estimates for the Poisson kernel and Hardy spaces on compact manifolds

We study Hardy spaces on the boundary of a smooth open subset or R-n and prove that they can be defined either through the intrinsic maximal function or through Poisson integrals, yielding identical spaces. This extends to any smooth open subset of R-n results already known for the unit ball. As an application, a characterization of the weak boundary values of functions that belong to holomorphic Hardy spaces is given, which implies an F. and M. Riesz type theorem. (C) 2004 Elsevier B.V. All rights reserved.

PERIODIC PERTURBATION of QUADRATIC SYSTEMS WITH TWO INFINITE HETEROCLINIC CYCLES

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Time-periodic perturbation of a Lienard equation with an unbounded homoclinic loop

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Periodic perturbations of quadratic planar polynomial vector fields

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Condições de energia de hawking e ellis e a equação de raychaudhuri

In the Einstein s theory of General Relativity the field equations relate the geometry of space-time with the content of matter and energy, sources of the gravitational field. This content is described by a second order tensor, known as energy-momentum tensor. On the other hand, the energy-momentum tensors that have physical meaning are not specified by this theory. In the 700s, Hawking and Ellis set a couple of conditions, considered feasible from a physical point of view, in order to limit the arbitrariness of these tensors. These conditions, which became known as Hawking-Ellis energy conditions, play important roles in the gravitation scenario. They are widely used as powerful tools for analysis; from the demonstration of important theorems concerning to the behavior of gravitational fields and geometries associated, the gravity quantum behavior, to the analysis of cosmological models. In this dissertation we present a rigorous deduction of the several energy conditions currently in vogue in the scientific literature, such as: the Null Energy Condition (NEC), Weak Energy Condition (WEC), the Strong Energy Condition (SEC), the Dominant Energy Condition (DEC) and Null Dominant Energy Condition (NDEC). Bearing in mind the most trivial applications in Cosmology and Gravitation, the deductions were initially made for an energy-momentum tensor of a generalized perfect fluid and then extended to scalar fields with minimal and non-minimal coupling to the gravitational field. We also present a study about the possible violations of some of these energy conditions. Aiming the study of the single nature of some exact solutions of Einstein s General Relativity, in 1955 the Indian physicist Raychaudhuri derived an equation that is today considered fundamental to the study of the gravitational attraction of matter, which became known as the Raychaudhuri equation. This famous equation is fundamental for to understanding of gravitational attraction in Astrophysics and Cosmology and for the comprehension of the singularity theorems, such as, the Hawking and Penrose theorem about the singularity of the gravitational collapse. In this dissertation we derive the Raychaudhuri equation, the Frobenius theorem and the Focusing theorem for congruences time-like and null congruences of a pseudo-riemannian manifold. We discuss the geometric and physical meaning of this equation, its connections with the energy conditions, and some of its several aplications.