Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência

O objetivo do presente trabalho é analisar as características empíricas de uma série de retornos de dados em alta freqüência para um dos ativos mais negociados na Bolsa de Valores de São Paulo. Estamos interessados em modelar a volatilidade condicional destes retornos, testando em particular a presença de memória longa, entre outros fenômenos que caracterizam este tipo de dados. Nossa investigação revela que além da memória longa, existe forte sazonalidade intradiária, mas não encontramos evidências de um fato estilizado de retornos de ações, o efeito alavancagem. Utilizamos modelos capazes de captar a memória longa na variância condicional dos retornos dessazonalizados, com resultados superiores a modelos tradicionais de memória curta, com implicações importantes para precificação de opções e de risco de mercado

Self-organized distribution of periodicity and chaos in an electrochemical oscillator

We report a detailed numerical investigation of a prototype electrochemical oscillator, in terms of high-resolution phase diagrams for an experimentally relevant section of the control (parameter) space. The prototype model consists of a set of three autonomous ordinary differential equations which captures the general features of electrochemical oscillators characterized by a partially hidden negative differential resistance in an N-shaped current-voltage stationary curve. By computing Lyapunov exponents, we provide a detailed discrimination between chaotic and periodic phases of the electrochemical oscillator. Such phases reveal the existence of an intricate structure of domains of periodicity self-organized into a chaotic background. Shrimp-like periodic regions previously observed in other discrete and continuous systems were also observed here, which corroborate the universal nature of the occurrence of such structures. In addition, we have also found a structured period distribution within the order region. Finally we discuss the possible experimental realization of comparable phase diagrams.

Tree-ring formation, radial increment periodicity, and phenology of tree species from a seasonal semi-deciduous forest in southeast Brazil

Many tropical tree species produce growth rings in response to seasonal environmental factors that influence the activity of the vascular cambium. We applied the following methods to analyze the annual nature of treering formation of 24 tree species from a seasonal semi-deciduous forest of southeast Brazil: describing wood anatomy and phenology, counting tree rings after cambium markings, and using permanent dendrometer bands. After 7 years of systematic observations and measurements, we found the following: the trees lost their leaves during the dry season and grew new leaves at the end of the same season; trunk increment dynamics corresponded to seasonal changes in precipitation, with higher increment (active period) during the rainy season (October-April) and lower increment (dormant period) during the dry season (May-September); the number of tree rings formed after injuries to the cambium coincided with the number of years since the extraction of the wood samples. As a result of these observations, it was concluded that most study trees formed one growth ring per year. This suggests that tree species from the seasonal semi-deciduous forests of Brazil have an annual cycle of wood formation. Therefore, these trees have potential for use in future studies of tree age and radial growth rates, as well as to infer ecological and regional climatic conditions. These future studies can provide important information for the management and conservation of these endangered forests.

Sudden onset of log-periodicity and superdiffusion in non-Markovian random walks with amnestically induced persistence: exact results

Random walks can undergo transitions from normal diffusion to anomalous diffusion as some relevant parameter varies, for instance the L,vy index in L,vy flights. Here we derive the Fokker-Planck equation for a two-parameter family of non-Markovian random walks with amnestically induced persistence. We investigate two distinct transitions: one order parameter quantifies log-periodicity and discrete scale invariance in the first moment of the propagator, whereas the second order parameter, known as the Hurst exponent, describes the growth of the second moment. We report numerical and analytical results for six critical exponents, which together completely characterize the properties of the transitions. We find that the critical exponents related to the diffusion-superdiffusion transition are identical in the positive feedback and negative feedback branches of the critical line, even though the former leads to classical superdiffusion whereas the latter gives rise to log-periodic superdiffusion.

Pricing intraday dynamics across EUAS and CERS markets

The relative contribution of European Union Allowances (EUAs) and Certified Emission Reductions (CERs) to the price discovery of their common true value has been empirically studied using daily data with inconclusive results. In this paper, we study the short-run and long-run price dynamics between EUAs and CERs future contracts using intraday data. We report a bidirectional feedback causality relationship both in the short-run and in the long-run, with the EUA's market being the leader.

A synchronous transition protocol with periodicity for global scheduling of multimode real-time systems on multiprocessors

We consider the global scheduling problem of multimode real-time systems upon identical multiprocessor platforms. During the execution of a multimode system, the system can change from one mode to another such that the current task set is replaced with a new task set. Thereby, ensuring that deadlines are met requires not only that a schedulability test is performed on tasks in each mode but also that (i) a protocol for transitioning from one mode to another is specified and (ii) a schedulability test for each transition is performed. In this paper, we extend the synchronous transition protocol SM-MSO in order to take into account mode-independent tasks [1], i.e., tasks of which the execution pattern must not be jeopardized by the mode changes.

Two protocols without periodicity for the global and preemptive scheduling problem of multi-mode real-time systems upon multiprocessor Platforms

We consider the problem of scheduling a multi-mode real-time system upon identical multiprocessor platforms. Since it is a multi-mode system, the system can change from one mode to another such that the current task set is replaced with a new task set. Ensuring that deadlines are met requires not only that a schedulability test is performed on tasks in each mode but also that (i) a protocol for transitioning from one mode to another is specified and (ii) a schedulability test for each transition is performed. We propose two protocols which ensure that all the expected requirements are met during every transition between every pair of operating modes of the system. Moreover, we prove the correctness of our proposed algorithms by extending the theory about the makespan determination problem.

Intraday volatility

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Absence of both circadian rhythm and Trypanosoma cruzi periodicity with xenodiagnosis in chronic chagasic individuals

Xenodiagnoses were performed every 3 hours using 10 Triatoma infestans 3rd instar for 24 to 72 hours, in 18 chronic chagasics with positive serology and/or xenodiagnosis. There was no statistically significant difference in the positivity of assays performed during the day (9:00 to 18:00h) compared to those performed at night (21:00 to 6:00h), (chi² = 0.1526 p = 0.696). Xenodiagnosis was performed in ten of the patients for 13 successive days but there was no periodicity detected in the positive assays.

Normal forms for rational difference equations with applications to the global periodicity problem

We propose a classification and derive the associated normal forms for rational difference equations with complex coefficients. As an application, we study the global periodicity problem for second order rational difference equations with complex coefficients. We find new necessary conditions as well as some new examples of globally periodic equations.

Please die during office hours : periodicity of cardiovascular events in switzerland between 1969 and 2007

Purpose: to evaluate and compare the periodical patterns of death from cardiovascular disease (CVD), including acute myocardial infarction (AMI) and stroke in the Swiss population between the years 1969 and 2007.¦Methods: Swiss mortality database for the period of 1969- 2007 (2'362'430 deaths overall). The number of deaths due to CVD, AMI and stroke according to the time of day, day of the week and month were assessed, overall and after dividing the events according to gender and age (< 65 or ≥65 years old).¦Results: In general and for all four subgroups according to age and sex, there is a daily variation in the number of deaths with a first peak in the morning (8h00 -12h00) and a smaller second peak in the late afternoon (14h - 18h). Both males and females have similar hourly patterns, although the magnitude of the difference diminishes in older patients particularly for people who die from stroke. For the weekly variation, there seems to be a significant trend only in the younger population with the lowest mortality rates on Sunday and the highest on Mondays for all diseases. When it comes to seasonal variation according to month, the trend is more significant in the elder patients with the highest death rates during the winter months (+31%) and the lowest in the summer (July/August).¦Conclusion: There is a timely pattern for CVD, AMI and stroke deaths in Switzerland. This pattern changes according to the age and sex of the patients. Knowing this trend, its triggering factors and consequences, perhaps there could be measures put in place to prevent, diagnose and treat the population which is the most vulnerable at certain times.

The periodicity of crises: a survey of the literature

This paper examines the literature on the periodical recurrence of economic crises up to the 1840s, illustrating how the awareness of this phenomenon was far more widespread than the few existing histories of business cycle theories indicate, and also that early writers were more interested in emphasizing the intermittent return of crises rather than their precise timing