Are price limits on futures markets that cool? evidence from the brazilian merchantile & futures exchange

This paper investigates the impact of price limits on the Brazil- ian future markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. Our main finding is that price limits drive back prices as they approach the lower limit. There is a strong cool-off effect of the lower limit on the conditional mean, whereas the upper limit seems to entail a weak magnet effect on the conditional variance. We then build a trading strategy that accounts for the cool-off effect so as to demonstrate that the latter has not only statistical, but also economic signifi- cance. The resulting Sharpe ratio indeed is way superior to the buy-and-hold benchmarks we consider.

Are price limits on futures markets that cool?: evidence from the Brazilian Mercantile and Futures Exchange

This paper investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the S˜ao Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. The results indicate that the conditional mean features a floor cool-off effect, whereas the conditional variance significantly increases as the price approaches the upper limit. We then build a trading strategy that accounts for the cool-off effect in the conditional mean so as to demonstrate that the latter has not only statistical, but also economic significance. The in-sample Sharpe ratio indeed is way superior to the buy-and-hold benchmarks we consider, whereas out-of-sample results evince similar performances.

Effect of pre-bloom leaf defoliation on cluster morphology and disease pressure

Mestrado Vinifera Euromaster - Instituto Superior de Agronomia - UL

The impact of companies’ demergers to the stock prices: a Finnish perspective

Tässä kauppatieteiden kandidaatintyössä tutkittiin millaisia vaikutuksia julkisesti noteerattujen yhtiöiden osakekurssissa tapahtuu, kun jo valmiiksi Helsingin pörssissä listattu yritys jakautuu kahdeksi uudeksi pörssiyritykseksi. Molempien yrityksien osakkeita voi tämän jakautumisen jälkeen vapaasti ostaa tai myydä. Aikaisempi tutkimus on pääsääntöisesti keskittynyt Yhdysvaltojen markkinoille ja näiden tutkimusten tuloksien perusteella on monessa tapauksessa havautta, että on mahdollista saavuttaa ylinormaaleja tuottoja, kun pörssiyritys jakautuu kahdeksi uudeksi pörssiyritykseksi. Tässä analyysissä jakautumiset ajallisesti tapahtuivat vuosien 1994 ja 2013 välisenä aikana Suomessa ja näitä jakautumia oli yhteensä 16 kappaletta. Tutkimuksessa on hyödynnetty tilastollisten menetelmien analyysiä sekä CAP-mallia, jotta voitaisiin löytää vastauksia seuraaviin kysymyksiin: Vaikuttaako pörssiyrityksen jakautuminen kahdeksi pörssiyritykseksi alkuperäisen yhtiön ja uuden yhtiön osakekursseihin? Onko vaikutus positiivinen, negatiivinen vai onko jakautumisella mitään havaittavaa vaikutusta? Tämän tutkimuksen tulokset antavat uutta tietoa tutkijoille, analyytikoille, opettajille, opiskelijoille, yrityksille ja yritysten johdolle sekä erityisesti sijoittajille. Tulosten mukaan on nähtävissä monia vaikutuksia osakekursseissa, kun pörssiyritys jakautuu. Vaikutus näyttää kuitenkin olevan jossain määrin yritys-riippuvainen. Kun sijoitetaan oikeaan aikaan, on monia jakautuvia yrityksiä, jotka antavat hyvän tuoton keskimäärin, mutta kuten tavallista ja tyypillistä osakemarkkinoille, on myös jakautuvia yhtiöitä, jotka antavat negatiivisia tuottoja tai tuotot ovat nollassa

Studies on arbuscular mycorrhiza (AM) in the Alentejo (Portugal) using pea mutants resistant to AM fungi as a control tool for field conditions

The utilization and management of arbuscular mycorrhiza (AM) symbiosis may improve production and sustainability of the cropping system. For this purpose, native AM fungi (AMF) were sought and tested for their efficiency to increase plant growth by enhanced P uptake and by alleviation of drought stress. Pot experiments with safflower (Carthamus tinctorius) and pea (Pisum sativum) in five soils (mostly sandy loamy Luvisols) and field experiments with peas were carried out during three years at four different sites. Host plants were grown in heated soils inoculated with AMF or the respective heat sterilized inoculum. In the case of peas, mutants resistant to AMF colonization were used as non-mycorrhizal controls. The mycorrhizal impact on yields and its components, transpiration, and P and N uptake was studied in several experiments, partly under varying P and N levels and water supply. Screening of native AMF by most probable number bioassays was not very meaningful. Soil monoliths were placed in the open to simulate field conditions. Inoculation with a native AMF mix improved grain yield, shoot and leaf growth variables as compared to control. Exposed to drought, higher soil water depletion of mycorrhizal plants resulted in a haying-off effect. The growth response to this inoculum could not be significantly reproduced in a subsequent open air pot experiment at two levels of irrigation and P fertilization, however, safflower grew better at higher P and water supply by multiples. The water use efficiency concerning biomass was improved by the AMF inoculum in the two experiments. Transpiration rates were not significantly affected by AM but as a tendency were higher in non-mycorrhizal safflower. A fundamental methodological problem in mycorrhiza field research is providing an appropriate (negative) control for the experimental factor arbuscular mycorrhiza. Soil sterilization or fungicide treatment have undesirable side effects in field and greenhouse settings. Furthermore, artificial rooting, temperature and light conditions in pot experiments may interfere with the interpretation of mycorrhiza effects. Therefore, the myc- pea mutant P2 was tested as a non-mycorrhizal control in a bioassay to evaluate AMF under field conditions in comparison to the symbiotic isogenetic wild type of var. FRISSON as a new integrative approach. However, mutant P2 is also of nod- phenotype and therefore unable to fix N2. A 3-factorial experiment was carried out in a climate chamber at high NPK fertilization to examine the two isolines under non-symbiotic and symbiotic conditions. P2 achieved the same (or higher) biomass as wild type both under good and poor water supply. However, inoculation with the AMF Glomus manihot did not improve plant growth. Differences of grain and straw yields in field trials were large (up to 80 per cent) between those isogenetic pea lines mainly due to higher P uptake under P and water limited conditions. The lacking N2 fixation in mutants was compensated for by high mineral N supply as indicated by the high N status of the pea mutant plants. This finding was corroborated by the results of a major field experiment at three sites with two levels of N fertilization. The higher N rate did not affect grain or straw yields of the non-fixing mutants. Very efficient AMF were detected in a Ferric Luvisol on pasture land as revealed by yield levels of the evaluation crop and by functional vital staining of highly colonized roots. Generally, levels of grain yield were low, at between 40 and 980 kg ha-1. An additional pot trial was carried out to elucidate the strong mycorrhizal effect in the Ferric Luvisol. A triplication of the plant equivalent field P fertilization was necessary to compensate for the mycorrhizal benefit which was with five times higher grain yield very similar to that found in the field experiment. However, the yield differences between the two isolines were not always plausible as the evaluation variable because they were also found in (small) field test trials with apparently sufficient P and N supply and in a soil of almost no AMF potential. This similarly occurred for pea lines of var. SPARKLE and its non-fixing mycorrhizal (E135) and non-symbiotic (R25) isomutants, which were tested in order to exclude experimentally undesirable benefits by N2 fixation. In contrast to var. FRISSON, SPARKLE was not a suitable variety for Mediterranean field conditions. This raises suspicion putative genetic defects other than symbiotic ones may be effective under field conditions, which would conflict with the concept of an appropriate control. It was concluded that AMF resistant plants may help to overcome fundamental problems of present research on arbuscular mycorrhiza, but may create new ones.

Subject-ventilator synchrony during neural versus pneumatically triggered non-invasive helmet ventilation

OBJECTIVE: Patient-ventilator synchrony during non-invasive pressure support ventilation with the helmet device is often compromised when conventional pneumatic triggering and cycling-off were used. A possible solution to this shortcoming is to replace the pneumatic triggering with neural triggering and cycling-off-using the diaphragm electrical activity (EA(di)). This signal is insensitive to leaks and to the compliance of the ventilator circuit. DESIGN: Randomized, single-blinded, experimental study. SETTING: University Hospital. PARTICIPANTS AND SUBJECTS: Seven healthy human volunteers. INTERVENTIONS: Pneumatic triggering and cycling-off were compared to neural triggering and cycling-off during NIV delivered with the helmet. MEASUREMENTS AND RESULTS: Triggering and cycling-off delays, wasted efforts, and breathing comfort were determined during restricted breathing efforts (<20% of voluntary maximum EA(di)) with various combinations of pressure support (PSV) (5, 10, 20 cm H(2)O) and respiratory rates (10, 20, 30 breath/min). During pneumatic triggering and cycling-off, the subject-ventilator synchrony was progressively more impaired with increasing respiratory rate and levels of PSV (p < 0.001). During neural triggering and cycling-off, effect of increasing respiratory rate and levels of PSV on subject-ventilator synchrony was minimal. Breathing comfort was higher during neural triggering than during pneumatic triggering (p < 0.001). CONCLUSIONS: The present study demonstrates in healthy subjects that subject-ventilator synchrony, trigger effort, and breathing comfort with a helmet interface are considerably less impaired during increasing levels of PSV and respiratory rates with neural triggering and cycling-off, compared to conventional pneumatic triggering and cycling-off.

Decomposing the sales promotion bump accounting for cross-category effects

Extant research on the decomposition of unit sales bumps due to price promotions considers these effects only within a single product category. This article introduces a framework that accommodates specific cross-category effects. Empirical results based on daily data measured at the item/SKU level show that the effects of promotions on sales in other categories are modest. Between-category complementary effects (20%) are, on average, substantially larger than between-category substitution effects (11%). Hence, a promotion of an item has an average net spin-off effect of (20 - 11 =) 9% of its own effect. The number of significant cross-category effects is low, which means that we expect that, most of the time, it is sufficient to look at within-category effects only. We also find within-category complementary effects, which implies that competitive items within the category may benefit from a promotion. We find small stockpiling effects (6%), modest cross-item effects (22%), and substantial category-expansion effects (72%). The cross-item effects are the result of cross-item substitution effects within the category (26%) and within-category complementary effects (4%). Approximately 15% (= 11% / 72%) of the category-expansion effect is due to between-category substitution effects of dependent categories.

The impact of El Nino Southern Oscillation phases on off-season maize yield for a subtropical region of Brazil

In recent years, maize has become one of the main alternative crops for the autumn winter growing season in the central-western and southeastern regions of Brazil. However, water deficits, sub-optimal temperatures and low solar radiation levels are common problems that are experienced during this growing season by local farmers. One methodology to assess the impact of variable weather conditions on crop production is the use of crop simulation models. The goal of this study was to evaluate the effect of climate variability on maize yield for a subtropical region of Brazil. Specific objectives for this study were (1) to analyse the effect of El Nino Southern Oscillation (ENSO) on precipitation and air temperature for four locations in the state of Sao Paulo and (2) to analyse the impact of ENSO on maize grown off-season for the same four locations using a crop simulation model. For each site, historical weather data were categorised as belonging to one of three phases of ENSO: El Nino (warm sea surface temperature anomalies in the Pacific), La Nina (cool sea surface temperature anomalies) or neutral, based on an index derived from observed sea surface temperature anomalies. During El Nino, there is a tendency for an increase in the rainfall amount during May for the four selected locations, and also during April, mainly in three of the locations, resulting in an increase in simulated maize yield planted between February 15 and March 15. In general, there was a decrease in the simulated yield for maize grown off-season during neutral years. This study showed how a crop model can be used to assess the impact of climate variability on the yield of maize grown off-season in a subtropical region of Brazil. The outcomes of this study can be very useful for both policy makers and local farmers for agricultural planning and decision making. Copyright (C) 2009 Royal Meteorological Society

The effect of mountain bike suspensions on vibrations and off-road uphill performance.

AIM: This study evaluates the effect of front suspension (FS) and dual suspension (DS) mountain-bike on performance and vibrations during off-road uphill riding. METHODS: Thirteen male cyclists (27+/-5 years, 70+/-6 kg, VO(2max)59+/-6 mL.kg(-1).min(-1), mean+/-SD) performed, in a random sequence, at their lactate threshold, an off-road uphill course (1.69 km, 212 m elevation gain) with both type of bicycles. Variable measured: a) VO(2) consumption (K4b2 analyzer, Cosmed), b) power output (SRM) c) gain in altitude and d) 3-D accelerations under the saddle and at the wheel (Physilog, EPFL, Switzerland). Power spectral analy- sis (Fourier) was performed from the vertical acceleration data. RESULTS: Respectively for the FS and DS mountain bike: speed amounted to 7.5+/-0.7 km.h(-1) and 7.4+/-0.8 km.h(-1), (NS), energy expenditure 1.39+/-0.16 kW and 1.38+/-0.18, (NS), gross efficiency 0.161+/-0.013 and 0.159+/-0.013, (NS), peak frequency of vibration under the saddle 4.78+/-2.85 Hz and 2.27+/-0.2 Hz (P<0.01) and median-frequency of vertical displacements of the saddle 9.41+/-1.47 Hz and 5.78+/-2.27 Hz (P<0.01). CONCLUSION: Vibrations at the saddle level of the DS bike are of low frequencies whereas those of the FS bike are mostly of high frequencies. In the DS bike, the torque produced by the cyclist at the pedal level may generate low frequency vibrations. We conclude that the DS bike absorbs more high frequency vibrations, is more comfortable and performs as well as the FS bicycle.

Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency

We consider two new approaches to nonparametric estimation of the leverage effect. The first approach uses stock prices alone. The second approach uses the data on stock prices as well as a certain volatility instrument, such as the CBOE volatility index (VIX) or the Black-Scholes implied volatility. The theoretical justification for the instrument-based estimator relies on a certain invariance property, which can be exploited when high frequency data is available. The price-only estimator is more robust since it is valid under weaker assumptions. However, in the presence of a valid volatility instrument, the price-only estimator is inefficient as the instrument-based estimator has a faster rate of convergence. We consider two empirical applications, in which we study the relationship between the leverage effect and the debt-to-equity ratio, credit risk, and illiquidity.

Effect of ambient gas on the expansion dynamics of plasma plume formed by laser blow off of thin film

A study has been carried out to understand the influence of ambient gases on the dynamics of laser-blow-off plumes of multi-layered LiF–C thin film. Plume images at various time intervals ranging from 100 to 3000 ns have been recorded using an intensified CCD camera. Enhancement in the plume intensity and change in size and shape occurs on introducing ambient gases and these changes are highly dependent on the nature and composition of the ambient gas used. Velocity of the plume was found to be higher in helium ambient whereas intensity enhancement is greater in argon environment. The plume shapes have maximum size at 10−2 and 10−1 Torr of Ar and He pressures, respectively. As the background pressure increases further (>10−2 Torr: depending on the nature of gas), the plume gets compressed/focused in the lateral direction. Internal structure formation and turbulences are observed at higher pressures (>10−1 Torr) in both ambient gases.

Effect of Metarhizium anisopliae fungus on off-host Rhipicephalus (Boophilus) microplus from tick-infested pasture under cattle grazing in Brazil

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Effect of environmental factors on the abundance of decapod crustaceans from soft bottoms off southeastern Brazil

Este estudo investigou a importância dos fatores ambientais sobre os padrões de abundância dos decápodos na costa sudeste brasileira. Amostragens foram feitas mensalmente de janeiro/1998 a dezembro/1999 em Ubatumirim e Mar Virado, região de Ubatuba, usando um barco de pesca camaroneiro equipado com redes doublerig. Foram selecionadas seis áreas adjacentes aos costões rochosos. Amostras de água de fundo foram coletadas usando garrafa de Nansen, para mensurar a temperatura e salinidade. Amostras de sedimento foram obtidas utilizando pegador de Van Veen, para determinação da textura e conteúdo de matéria orgânica. A associação dos fatores ambientais com a abundância das espécies foi verificada através da Análise de Correspondência Canônica (α = 0,05). Quarenta e uma espécies de Decapoda foram utilizadas na análise multivariada. A análise indicou que a textura do sedimento (phi) e a temperatura foram os fatores mais fortemente correlacionados (p < 0,05) com a abundância espacial e temporal das espécies. Considerando a região de estudo como zona de transição faunística, incluindo espécies de origem tropical e subantártica, as espécies responderam diferentemente aos fatores ambientais, principalmente à temperatura. Possivelmente os decápodos ajustem sua distribuição de acordo com suas limitações fisiológicas intrínsecas, como resultado dos recursos disponíveis.