Time varying price discovery

We show how multivariate GARCH models can be used to generate a time-varying “information share” (Hasbrouck, 1995) to represent the changing patterns of price discovery in closely related securities. We find that time-varying information shares can improve credit spread predictions.

Changes of a mutualistic network over time: reanalysis over a 10-year period

We analyzed the structure of a multispecific network or interacting ants and plants bearing extrafloral nectaries recorded in 1990 and again in 2000 in La Mancha, Veracruz, Mexico. We assessed the replicability of the number of interactions found among species and also whether there had been changes in the network structure associated with appearance of new ant and plant species during. that 10-year period. Our results show that the nested topology of the network was similar between sampling dates, group dissimilarity increased, mean number of interactions for ant species increased, the frequency distribution of standardized degrees reached higher values for plant species, more ant species and fewer plant species constituted the core of the more recent network, and the presence of new ant and plant species increased while their contribution to nestedness remained the same. Generalist species (i.e., those with the most links or interactions) appeared to maintain the stability of the network because the new species incorporated into the communities were linked to this core of generalists. Camponotus planatus was the most extreme generalist ant species (the one with the most links) in both networks, followed by four other ant species; but other species changed either their position along the continuum of generalists relative to specialists or their presence or absence within the network. Even though new species moved into the area during the decade between the surveys, the overall network structure remained unmodified.

Bose systems in spatially random or time-varying potentials

Bose systems, subject to the action of external random potentials, are considered. For describing the system properties, under the action of spatially random potentials of arbitrary strength, the stochastic mean-field approximation is employed. When the strength of disorder increases, the extended Bose-Einstein condensate fragments into spatially disconnected regions, forming a granular condensate. Increasing the strength of disorder even more transforms the granular condensate into the normal glass. The influence of time-dependent external potentials is also discussed. Fastly varying temporal potentials, to some extent, imitate the action of spatially random potentials. In particular, strong time-alternating potential can induce the appearance of a nonequilibrium granular condensate.

Concentric characterization and classification of complex network nodes: Application to an institutional collaboration network

Differently from theoretical scale-free networks, most real networks present multi-scale behavior, with nodes structured in different types of functional groups and communities. While the majority of approaches for classification of nodes in a complex network has relied on local measurements of the topology/connectivity around each node, valuable information about node functionality can be obtained by concentric (or hierarchical) measurements. This paper extends previous methodologies based on concentric measurements, by studying the possibility of using agglomerative clustering methods, in order to obtain a set of functional groups of nodes, considering particular institutional collaboration network nodes, including various known communities (departments of the University of Sao Paulo). Among the interesting obtained findings, we emphasize the scale-free nature of the network obtained, as well as identification of different patterns of authorship emerging from different areas (e.g. human and exact sciences). Another interesting result concerns the relatively uniform distribution of hubs along concentric levels, contrariwise to the non-uniform pattern found in theoretical scale-free networks such as the BA model. (C) 2008 Elsevier B.V. All rights reserved.

Development of a fast capillary electrophoresis method for the determination of propranolol-Total analysis time reduction strategies

The aim of this study was to develop a fast capillary electrophoresis method for the determination of propranolol in pharmaceutical preparations. In the method development the pH and constituents of the background electrolyte were selected using the effective mobility versus pH curves. Benzylamine was used as the internal standard. The background electrolyte was composed of 60 mmol L(-1) tris(hydroxymethyl)aminomethane and 30 mmol L(-1) 2-hydroxyisobutyric acid,at pH 8.1. Separation was conducted in a fused-silica capillary (32 cm total length and 8.5 cm effective length, 50 mu m I.D.) with a short-end injection configuration and direct UV detection at 214 nm. The run time was only 14 s. Three different strategies were studied in order to develop a fast CE method with low total analysis time for propranolol analysis: low flush time (Lflush) 35 runs/h, without flush (Wflush) 52 runs/h, and Invert (switched polarity) 45 runs/h. Since the three strategies developed are statistically equivalent, Mush was selected due to the higher analytical frequency in comparison with the other methods. A few figures of merit of the proposed method include: good linearity (R(2) > 0.9999); limit of detection of 0.5 mg L(-1): inter-day precision better than 1.03% (n = 9) and recovery in the range of 95.1-104.5%. (C) 2009 Elsevier B.V. All rights reserved.

Use of social network analysis to indentify the coopetition in a commercial cluster plan

The cluster provides a greater commercial relationship between the companies that comprise it. This encourages companies to adopt competitive structures that allow solving problems that would hardly alone (Lubeck et. Al., 2011). With that this paper aims to describe the coopetition between companies operating on a commercial cluster planned, from the point of view of retailers, taking as a basis the theoretical models proposed by Bengtsson and Kock (1999) and Leon (2005) and operationalized by means of Social Network Analysis (SNA). Data collection consisted of two phases, the first exploratory aspect to identify the actors, and the second was characterized as descriptive as it aims to describe the coopetition among the enterprises. As a result we identified the companies that cooperate and compete simultaneously (coopetition), firms that only compete, companies just cooperate and businesses that do not compete and do not cooperate (coexistence)

A study on time-varying quantile and its applications

This Thesis is the result of my Master Degree studies at the Graduate School of Economics, Getúlio Vargas Foundation, from January 2004 to August 2006. am indebted to my Thesis Advisor, Professor Luiz Renato Lima, who introduced me to the Econometrics' world. In this Thesis, we study time-varying quantile process and we develop two applications, which are presented here as Part and Part II. Each of these parts was transformed in paper. Both papers were submitted. Part shows that asymmetric persistence induces ARCH effects, but the LMARCH test has power against it. On the other hand, the test for asymmetric dynamics proposed by Koenker and Xiao (2004) has correct size under the presence of ARCH errors. These results suggest that the LM-ARCH and the Koenker-Xiao tests may be used in applied research as complementary tools. In the Part II, we compare four different Value-at-Risk (VaR) methodologies through Monte Cario experiments. Our results indicate that the method based on quantile regression with ARCH effect dominates other methods that require distributional assumption. In particular, we show that the non-robust method ologies have higher probability to predict VaRs with too many violations. We illustrate our findings with an empirical exercise in which we estimate VaR for returns of São Paulo stock exchange index, IBOVESPA, during periods of market turmoil. Our results indicate that the robust method based on quantile regression presents the least number of violations.

Brazilian indexing and inertial inflation: evidence from time-varying estimates of an inflation transfer function

This paper is a theoretica1 and empirica1 study of the re1ationship between indexing po1icy and feedback mechanisms in the inflationary adjustment process in Brazil. The focus of our study is on two policy issues: (1) did the Brazilian system of indexing of interest rates, the exchange rate, and wages make inflation so dependent on its own past values that it created a significant feedback process and inertia in the behaviour of inflation in and (2) was the feedback effect of past inf1ation upon itself so strong that dominated the effect of monetary/fiscal variables upon current inflation? This paper develops a simple model designed to capture several "stylized facts" of Brazi1ian indexing po1icy. Separate ru1es of "backward indexing" for interest rates, the exchange rate, and wages, reflecting the evolution of po1icy changes in Brazil, are incorporated in a two-sector model of industrial and agricultural prices. A transfer function derived irom this mode1 shows inflation depending on three factors: (1) past values of inflation, (2) monetary and fiscal variables, and (3) supply- .shock variables. The indexing rules for interest rates, the exchange rate, and wages place restrictions on the coefficients of the transfer function. Variations in the policy-determined parameters of the indexing rules imply changes in the coefficients of the transfer function for inflation. One implication of this model, in contrast to previous results derived in analytically simpler models of indexing, is that a higher degree of indexing does not make current inflation more responsive to current monetary shocks. The empirical section of this paper studies the central hypotheses of this model through estimation of the inflation transfer function with time-varying parameters. The results show a systematic non-random variation of the transfer function coefficients closely synchronized with changes in the observed values of the wage-indexing parameters. Non-parametric tests show the variation of the transfer function coefficients to be statistically significant at the time of the changes in wage indexing rules in Brazil. As the degree of indexing increased, the inflation feadback coefficients increased, while the effect of external price and agricultura shocs progressively increased and monetary effects progressively decreased.

Um modelo "time-varying markov-Switching" para crescimento econômico e algoritmo de estimação

Este trabalho elabora um modelo para investigação do padrão de variação do crescimento econômico, entre diferentes países e através do tempo, usando um framework Markov- Switching com matriz de transição variável. O modelo desenvolvido segue a abordagem de Pritchett (2003), explicando a dinâmica do crescimento a partir de uma coleção de diferentes estados – cada qual com seu sub-modelo e padrão de crescimento – através dos quais os países oscilam ao longo do tempo. A matriz de transição entre os diferentes estados é variante no tempo, dependendo de variáveis condicionantes de cada país e a dinâmica de cada estado é linear. Desenvolvemos um método de estimação generalizando o Algoritmo EM de Diebold et al. (1993) e estimamos um modelo-exemplo em painel com a matriz de transição condicionada na qualidade das instituições e no nível de investimento. Encontramos três estados de crescimento: crescimento estável, ‘milagroso’ e estagnação - virtualmente coincidentes com os três primeiros de Jerzmanowski (2006). Os resultados mostram que a qualidade das instituições é um importante determinante do crescimento de longo prazo enquanto o nível de investimento tem papel diferenciado: contribui positivamente em países com boa qualidade de instituições e tem papel pouco relevante para os países com instituições medianas ou piores.

A time-varying markov-switching model for economic growth

This paper investigates economic growth’s pattern of variation across and within countries using a Time-Varying Transition Matrix Markov-Switching Approach. The model developed follows the approach of Pritchett (2003) and explains the dynamics of growth based on a collection of different states, each of which has a sub-model and a growth pattern, by which countries oscillate over time. The transition matrix among the different states varies over time, depending on the conditioning variables of each country, with a linear dynamic for each state. We develop a generalization of the Diebold’s EM Algorithm and estimate an example model in a panel with a transition matrix conditioned on the quality of the institutions and the level of investment. We found three states of growth: stable growth, miraculous growth, and stagnation. The results show that the quality of the institutions is an important determinant of long-term growth, whereas the level of investment has varying roles in that it contributes positively in countries with high-quality institutions but is of little relevance in countries with medium- or poor-quality institutions.

Recurrence of particles in static and time varying oval billiards

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

The propagator for a charged oscillator with a time-dependent mass in a time-varying electromagnetic field

We make a change of variables and a time reparametrization in the Schrödinger equation in order to obtain the propagator of a charged oscillator with a time-dependent mass and frequency under the influence of time-varying electric and magnetic fields, in terms of the simple propagators of harmonic oscillators with constant frequencies and masses. We also discuss the Jackiw transformation and others as a particular case of ours. © 1991.

Identification of steel bars immersed in reinforced concrete based on experimental results of eddy current testing and artificial neural network analysis

This paper presents an experimental research on the use of eddy current testing (ECT) and artificial neural networks (ANNs) in order to identify the gauge and position of steel bars immersed in concrete structures. The paper presents details of the ECT probe and concrete specimens constructed for the tests, and a study about the influence of the concrete on the values of measured voltages. After this, new measurements were done with a greater number of specimens, simulating a field condition and the results were used to generate training and validation vectors for multilayer perceptron ANNs. The results show a high percentage of correct identification with respect to both, the gauge of the bar and of the thickness of the concrete cover. © 2013 Copyright Taylor and Francis Group, LLC.

Regular and switching platform: Bone stress analysis with varying implant diameter

The aim of this study was to evaluate stress distribution of the peri-implant bone by simulating the biomechanical influence of implants with different diameters of regular or platform switched connections by means of 3-dimensional finite element analysis. Five mathematical models of an implant-supported central incisor were created by varying the diameter (5.5 and 4.5 mm, internal hexagon) and abutment platform (regular and platform switched). For the cortical bone, the highest stress values (rmax and rvm) were observed in situation R1, followed by situations S1, R2, S3, and S2. For the trabecular bone, the highest stress values (rmax) were observed in situation S3, followed by situations R1, S1, R2, and S2. The influence of platform switching was more evident for cortical bone than for trabecular bone and was mainly seen in large platform diameter reduction.