Modeling and predicting the CBOE market volatility index

This paper performs a thorough statistical examination of the time-series properties of the daily market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies not only on the widespread consensus that the VIX is a barometer of the overall market sentiment as to what concerns investors' risk appetite, but also on the fact that there are many trading strategies that rely on the VIX index for hedging and speculative purposes. Preliminary analysis suggests that the VIX index displays long-range dependence. This is well in line with the strong empirical evidence in the literature supporting long memory in both options-implied and realized variances. We thus resort to both parametric and semiparametric heterogeneous autoregressive (HAR) processes for modeling and forecasting purposes. Our main ndings are as follows. First, we con rm the evidence in the literature that there is a negative relationship between the VIX index and the S&P 500 index return as well as a positive contemporaneous link with the volume of the S&P 500 index. Second, the term spread has a slightly negative long-run impact in the VIX index, when possible multicollinearity and endogeneity are controlled for. Finally, we cannot reject the linearity of the above relationships, neither in sample nor out of sample. As for the latter, we actually show that it is pretty hard to beat the pure HAR process because of the very persistent nature of the VIX index.

Structural modeling and mutational analysis of yeast eukaryotic translation initiation factor 5A reveal new critical residues and reinforce its involvement in protein synthesis

Eukaryotic translation initiation factor 5A (eIF5A) is a protein that is highly conserved and essential for cell viability. This factor is the only protein known to contain the unique and essential amino acid residue hypusine. This work focused on the structural and functional characterization of Saccharomyces cerevisiae eIF5A. The tertiary structure of yeast eIF5A was modeled based on the structure of its Leishmania mexicana homologue and this model was used to predict the structural localization of new site-directed and randomly generated mutations. Most of the 40 new mutants exhibited phenotypes that resulted from eIF-5A protein-folding defects. Our data provided evidence that the C-terminal alpha-helix present in yeast eIF5A is an essential structural element, whereas the eIF5A N-terminal 10 amino acid extension not present in archaeal eIF5A homologs, is not. Moreover, the mutants containing substitutions at or in the vicinity of the hypusine modification site displayed nonviable or temperature-sensitive phenotypes and were defective in hypusine modification. Interestingly, two of the temperature-sensitive strains produced stable mutant eIF5A proteins - eIF5A(K56A) and eIF5A(Q22H,L93F)- and showed defects in protein synthesis at the restrictive temperature. Our data revealed important structural features of eIF5A that are required for its vital role in cell viability and underscored an essential function of eIF5A in the translation step of gene expression.

Identification and expression analysis of microRNAs and targets in the biofuel crop sugarcane

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

Growth mechanism of octahedron-like BaMoO4 microcrystals processed in microwave-hydrothermal: Experimental observations and computational modeling

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Isolation, homology modeling and renal effects of a C-type natriuretic peptide from the venom of the Brazilian yellow scorpion (Tityus serrulatus)

Mammalian natriuretic peptides (NPs) have been extensively investigated for use as therapeutic agents in the treatment of cardiovascular diseases. Here, we describe the isolation, sequencing and tridimensional homology modeling of the first C-type natriuretic peptide isolated from scorpion venom. In addition, its effects on the renal function of rats and on the mRNA expression of natriuretic peptide receptors in the kidneys are delineated. Fractionation of Tityusserrulatus venom using chromatographic techniques yielded a peptide with a molecular mass of 2190.64Da, which exhibited the pattern of disulfide bridges that is characteristic of a C-type NP (TsNP, T. serrulatus Natriuretic Peptide). In the isolated perfused rat kidney assay, treatment with two concentrations of TsNP (0.03 and 0.1μg/mL) increased the perfusion pressure, glomerular filtration rate and urinary flow. After 60min of treatment at both concentrations, the percentages of sodium, potassium and chloride transport were decreased, and the urinary cGMP concentration was elevated. Natriuretic peptide receptor-A (NPR-A) mRNA expression was down regulated in the kidneys treated with both concentrations of TsNP, whereas NPR-B, NPR-C and CG-C mRNAs were up regulated at the 0.1μg/mL concentration. In conclusion, this work describes the isolation and modeling of the first natriuretic peptide isolated from scorpion venom. In addition, examinations of the renal actions of TsNP indicate that its effects may be related to the activation of NPR-B, NPR-C and GC-C. © 2013 Elsevier Ltd.

Hydrodynamic modeling and morphological analysis of Lake Água Preta: one of the water sources of Belém-PA-Brazil

The main contribution from this paper includes the hydrodynamic modeling and morphological analysis of Lake Água Preta in Belém city, Pará State, Brazil. The lake bathymetry was taken through the data provided by COSANPA (the local sanitation and water supply company) dating back to 1975, and from a 2009 field study. Both bathymetries produced two terrain elevation models, which were used for morphological analysis and hydrodynamic simulations. The morphological analysis has revealed that, from 1975 to 2009, the annual mean rate of sedimentation varies between 23,065 and 29,081 m3/year. Through this result, the sedimentation time of Lake Água Preta, from 2009, has been calculated, which varies between 295 and 381 years, maintaining the same rate of sedimentation, water consumption and pumping. The hydrodynamic model simulated the depths and velocities, showing a slight flow with velocities ranging from 0 to 33 cm/s. This flow is established between water input and output of the lake, which is used as reservoir of Belém city.

Mathematical modeling and analysis of the flocculation process in chambers in series

In this study, the flocculation process in continuous systems with chambers in series was analyzed using the classical kinetic model of aggregation and break-up proposed by Argaman and Kaufman, which incorporates two main parameters: K (a) and K (b). Typical values for these parameters were used, i. e., K (a) = 3.68 x 10(-5)-1.83 x 10(-4) and K (b) = 1.83 x 10(-7)-2.30 x 10(-7) s(-1). The analysis consisted of performing simulations of system behavior under different operating conditions, including variations in the number of chambers used and the utilization of fixed or scaled velocity gradients in the units. The response variable analyzed in all simulations was the total retention time necessary to achieve a given flocculation efficiency, which was determined by means of conventional solution methods of nonlinear algebraic equations, corresponding to the material balances on the system. Values for the number of chambers ranging from 1 to 5, velocity gradients of 20-60 s(-1) and flocculation efficiencies of 50-90 % were adopted.

Binding of antioxidant flavone isovitexin to human serum albumin investigated by experimental and computational assays

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

The zero-inflated Conway-Maxwell-Poisson distribution: Bayesian inference, regression modeling and influence diagnostic

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

MATERIAL MODELING AND ANALYSIS FOR THE DEVELOPMENT OF A REALISTIC BLAST HEADFORM

Blast traumatic brain injury (BTBI) has become an important topic of study because of the increase of such incidents, especially due to the recent growth of improvised explosive devices (IEDs). This thesis discusses a project in which laboratory testing of BTBI was made possible by performing blast loading on experimental models simulating the human head. Three versions of experimental models were prepared – one having a simple geometry and the other two having geometry similar to a human head. For developing the head models, three important parts of the head were considered for material modeling and analysis – the skin, skull and brain. The materials simulating skin, skull and brain went through many testing procedures including dynamic mechanical analysis (DMA). For finding a suitable brain simulant, several materials were tested under low and high frequencies. Step response analysis, rheometry and DMA tests were performed on materials such as water based gels, oil based mixtures and silicone gels cured at different temperatures. The gelatins and silicone gels showed promising results toward their use as brain surrogate materials. Temperature degradation tests were performed on gelatins, indicating the fast degradation of gelatins at room temperature. Silicone gels were much more stable compared to the water based gels. Silicone gels were further processed using a thinner-type additive gel to bring the dynamic modulus values closer to those of human brain matter. The obtained values from DMA were compared to the values for human brain as found in literature. Then a silicone rubber brain mold was prepared to give the brain model accurate geometry. All the components were put together to make the entire head model. A steel mount was prepared to attach the head for testing at the end of the shock tube. Instrumentation was implemented in the head model to obtain effective results for understanding more about the possible mechanisms of BTBI. The final head model was named the Realistic Explosive Dummy Head or the “RED Head.” The RED Head offered potential for realistic experimental testing in blast loading conditions by virtue of its material properties and geometrical accuracy.

Alternative Tasks for the Teaching and the Learning of functions: analysis of an intervention in the High School

In this paper we focus on the application of two mathematical alternative tasks to the teaching and learning of functions with high school students. The tasks were elaborated according to the following methodological approach: (i) Problem Solving and/or mathematics investigation and (ii) a pedagogical proposal, which defends that mathematical knowledge is developed by means of a balance between logic and intuition. We employed a qualitative research approach (characterized as a case study) aimed at analyzing the didactic pedagogical potential of this type of methodology in high school. We found that tasks such as those presented and discussed in this paper provide a more significant learning for the students, allowing a better conceptual understanding, becoming still more powerful when one considers the social-cultural context of the students.

Mathematical modeling and analysis of the particle interactions in the direct filtration using the colloidal theory

This work used the colloidal theory to describe forces and energy interactions of colloidal complexes in the water and those formed during filtration run in direct filtration. Many interactions of particle energy profiles between colloidal surfaces for three geometries are presented here in: spherical, plate and cylindrical; and four surface interactions arrangements: two cylinders, two spheres, two plates and a sphere and a plate. Two different situations were analyzed, before and after electrostatic destabilization by action of the alum sulfate as coagulant in water studies samples prepared with kaolin. In the case were used mathematical modeling by extended DLVO theory (from the names: Derjarguin-Landau-Verwey-Overbeek) or XDLVO, which include traditional approach of the electric double layer (EDL), surfaces attraction forces or London-van der Waals (LvdW), esteric forces and hydrophobic forces, additionally considering another forces in colloidal system, like molecular repulsion or Born Repulsion and Acid-Base (AB) chemical function forces from Lewis.

Multi-q pattern analysis: A case study in image classification

This paper compares the effectiveness of the Tsallis entropy over the classic Boltzmann-Gibbs-Shannon entropy for general pattern recognition, and proposes a multi-q approach to improve pattern analysis using entropy. A series of experiments were carried out for the problem of classifying image patterns. Given a dataset of 40 pattern classes, the goal of our image case study is to assess how well the different entropies can be used to determine the class of a newly given image sample. Our experiments show that the Tsallis entropy using the proposed multi-q approach has great advantages over the Boltzmann-Gibbs-Shannon entropy for pattern classification, boosting image recognition rates by a factor of 3. We discuss the reasons behind this success, shedding light on the usefulness of the Tsallis entropy and the multi-q approach. (C) 2012 Elsevier B.V. All rights reserved.

Identification and expression analysis of microRNAs and targets in the biofuel crop sugarcane

Abstract Background MicroRNAs (miRNAs) are small regulatory RNAs, some of which are conserved in diverse plant genomes. Therefore, computational identification and further experimental validation of miRNAs from non-model organisms is both feasible and instrumental for addressing miRNA-based gene regulation and evolution. Sugarcane (Saccharum spp.) is an important biofuel crop with publicly available expressed sequence tag and genomic survey sequence databases, but little is known about miRNAs and their targets in this highly polyploid species. Results In this study, we have computationally identified 19 distinct sugarcane miRNA precursors, of which several are highly similar with their sorghum homologs at both nucleotide and secondary structure levels. The accumulation pattern of mature miRNAs varies in organs/tissues from the commercial sugarcane hybrid as well as in its corresponding founder species S. officinarum and S. spontaneum. Using sugarcane MIR827 as a query, we found a novel MIR827 precursor in the sorghum genome. Based on our computational tool, a total of 46 potential targets were identified for the 19 sugarcane miRNAs. Several targets for highly conserved miRNAs are transcription factors that play important roles in plant development. Conversely, target genes of lineage-specific miRNAs seem to play roles in diverse physiological processes, such as SsCBP1. SsCBP1 was experimentally confirmed to be a target for the monocot-specific miR528. Our findings support the notion that the regulation of SsCBP1 by miR528 is shared at least within graminaceous monocots, and this miRNA-based post-transcriptional regulation evolved exclusively within the monocots lineage after the divergence from eudicots. Conclusions Using publicly available nucleotide databases, 19 sugarcane miRNA precursors and one new sorghum miRNA precursor were identified and classified into 14 families. Comparative analyses between sugarcane and sorghum suggest that these two species retain homologous miRNAs and targets in their genomes. Such conservation may help to clarify specific aspects of miRNA regulation and evolution in the polyploid sugarcane. Finally, our dataset provides a framework for future studies on sugarcane RNAi-dependent regulatory mechanisms.

Inhibitors of Trypanosoma brucei trypanothione reductase: comparative molecular field analysis modeling and structural basis for selective inhibition

Background: Sleeping sickness is a major cause of death in Africa. Since no secure treatment is available, the development of novel therapeutic agents is urgent. In this context, the enzyme trypanothione reductase (TR) is a prominent molecular target that has been investigated in drug design for sleeping sickness. Results: In this study, comparative molecular field analysis models were generated for a series of Trypanosoma brucei TR inhibitors. Statistically significant results were obtained and the models were applied to predict the activity of external test sets, with good correlation between predicted and experimental results. We have also investigated the structural requirements for the selective inhibition of the parasite's enzyme over the human glutathione reductase. Conclusion: The quantitative structure-activity relationship models provided valuable information regarding the essential molecular requirements for the inhibitory activity upon the target protein, providing important insights into the design of more potent and selective TR inhibitors.