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.

Microarrays as a functional approach to the transcriptome

Knowing a cell’s transcriptome is a fundamental requisite in order to analyze its response to the environment. Microarrays have supposed a revolution on this field as they are able to yield an overview of gene expression at any environmental condition on a genome-wide scale. This technique consists in the hybridisation of a nucleic acid sample, previously marked, with a probe (which might be made up of cDNA, oligonucleotides or PCR products) anchored to a solid surface (made of glass, plastic, silicon...) giving as a result a dot grid which reveals, after image analysis, which genes are being expressed. Nevertheless, this only can be achieved if information on the species genome has been generated. Different kinds of expression microarrays exist attending to the probe’s nature and the method used in its synthesis. In this poster two of these will be treated: Spotted Microarrays, for which the probe is synthesised prior to its fixation to the array and allow the analysis of two targets simultaneously. They can be easily customized, but lack high reproducibility and sensitivity. Oligonucleotide Microarrays, which are characterized by the direct printing of the probe on the array. In this case the probes consist on, invariably, oligonucleotides that are complementary to a small fraction of the gene it is representing at the microarray. Their application is somewhat restricted. This fact, however, makes them more reproducible. Currently, the approach towards the transcriptome studies from the Next Generation Sequencing technologies offers a large volume of information in a short amount of time needing less previous information on the target organism than that needed by microarrays, but their expensive price limits their use. The versatility of the latter, together with their reduced costs in comparison to other techniques, makes them an interesting resource in applications that may need less complexity.

Measurement of the WZ -> lvll cross section and limits on anomalous triple gauge couplings in p(p)over-bar collisions at root s=1.96 TeV

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

W gamma Production and Limits on Anomalous WW gamma Couplings in p(p)over-bar Collisions at root s=1.96 TeV

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Z(gamma) production and limits on anomalous ZZ(gamma) and Z(gamma gamma) couplings in p(p)over-bar collisions at root s 1.96 TeV

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Improved Upper Limits on the Stochastic Gravitational-Wave Background from 2009-2010 LIGO and Virgo Data

Gravitational waves from a variety of sources are predicted to superpose to create a stochastic background. This background is expected to contain unique information from throughout the history of the Universe that is unavailable through standard electromagnetic observations, making its study of fundamental importance to understanding the evolution of the Universe. We carry out a search for the stochastic background with the latest data from the LIGO and Virgo detectors. Consistent with predictions from most stochastic gravitational-wave background models, the data display no evidence of a stochastic gravitational-wave signal. Assuming a gravitational-wave spectrum of Omega(GW)(f) = Omega(alpha)(f/f(ref))(alpha), we place 95% confidence level upper limits on the energy density of the background in each of four frequency bands spanning 41.5-1726 Hz. In the frequency band of 41.5-169.25 Hz for a spectral index of alpha = 0, we constrain the energy density of the stochastic background to be Omega(GW)(f) < 5.6 x 10(-6). For the 600-1000 Hz band, Omega(GW)(f) < 0.14(f/900 Hz)(3), a factor of 2.5 lower than the best previously reported upper limits. We find Omega(GW)(f) < 1.8 x 10(-4) using a spectral index of zero for 170-600 Hz and Omega(GW)(f) < 1.0(f/1300 Hz)(3) for 1000-1726 Hz, bands in which no previous direct limits have been placed. The limits in these four bands are the lowest direct measurements to date on the stochastic background. We discuss the implications of these results in light of the recent claim by the BICEP2 experiment of the possible evidence for inflationary gravitational waves.

Capacity limits for the detection of changing visual features

Capacity limits in visual attention have traditionally been studied using static arrays of elements from which an observer must detect a target defined by a certain visual feature or combination of features. In the current study we use this visual search paradigm, with accuracy as the dependent variable, to examine attentional capacity limits for different visual features undergoing change over time. In Experiment 1, detectability of a single changing target was measured under conditions where the type of change (size, speed, colour), the magnitude of change, the set size and homogeneity of the unchanging distractors were all systematically varied. Psychometric function slopes were calculated for different experimental conditions and ‘change thresholds’extracted from these slopes were used in Experiment 2, in which multiple supra-threshold changes were made, simultaneously, either to a single or to two or three different stimulus elements. These experiments give an objective psychometric paradigm for measuring changes in visual features over time. Results favour object-based accounts of visual attention, and show consistent differences in the allocation of attentional capacity to different perceptual dimensions.

Possibilidades e limites da avaliação da qualidade de vida : análise dos instrumentos WHOQOL e modelos clássicos de qualidade de vida no trabalho = Possibilities and limits of quality of life assessment : analysis of WHOQOL instruments and quality of work life classical models

Universidade Estadual de Campinas . Faculdade de Educação Física

Democracy on the edge: limits and possibilities for the implementation of an urban reform agenda in Brazil

In Brazil the 1990s constituted years of institutional achievements in the fields of housing and urban rights, given the incorporation of the principles of the social function of cities and property, the recognition of tenure rights for slum dwellers and the direct participation of citizens in the decision making process of urban policies, within the 1988 Constitution. These proposals have become the pillars of the Urban Reform agenda which has penetrated the federal government apparatus since the creation of the Ministry of Cities under Lula's administration. The article evaluates the limits and possibilities for the implementation of this agenda through the analysis of two policies proposed by the Ministry: the National Council of Cities and the campaign for Participatory Master Plans. The approach is based on the organization of the Brazilian State in terms of urban development, the relationship with the political system and the characteristics of Brazilian democracy.

Multiple classical limits in relativistic and nonrelativistic quantum mechanics

The existence of a classical limit describing the interacting particles in a second-quantized theory of identical particles with bosonic symmetry is proved. This limit exists in addition to the previously established classical limit with a classical field behavior, showing that the limit h -> 0 of the theory is not unique. An analogous result is valid for a free massive scalar field: two distinct classical limits are proved to exist, describing a system of particles or a classical field. The introduction of local operators in order to represent kinematical properties of interest is shown to break the permutation symmetry under some localizability conditions, allowing the study of individual particle properties.

Active to Sterile Neutrino Mixing Limits from Neutral-Current Interactions in MINOS

Results are reported from a search for active to sterile neutrino oscillations in the MINOS long-baseline experiment, based on the observation of neutral-current neutrino interactions, from an exposure to the NuMI neutrino beam of 7.07 x 10(20) protons on target. A total of 802 neutral-current event candidates is observed in the Far Detector, compared to an expected number of 754 +/- 28(stat) +/- 37(syst) for oscillations among three active flavors. The fraction f(s) of disappearing nu(mu) that may transition to nu(s) is found to be less than 22% at the 90% C.L.

E-contracting with price configuration for Web services and QoS

The large amount of information in electronic contracts hampers their establishment due to high complexity. An approach inspired in Software Product Line (PL) and based on feature modelling was proposed to make this process more systematic through information reuse and structuring. By assessing the feature-based approach in relation to a proposed set of requirements, it was showed that the approach does not allow the price of services and of Quality of Services (QoS) attributes to be considered in the negotiation and included in the electronic contract. Thus, this paper also presents an extension of such approach in which prices and price types associated to Web services and QoS levels are applied. An extended toolkit prototype is also presented as well as an experiment example of the proposed approach.

Role of price and enforcement in water allocation: Insights from Game Theory

As many countries are moving toward water sector reforms, practical issues of how water management institutions can better effect allocation, regulation, and enforcement of water rights have emerged. The problem of nonavailability of water to tailenders on an irrigation system in developing countries, due to unlicensed upstream diversions is well documented. The reliability of access or equivalently the uncertainty associated with water availability at their diversion point becomes a parameter that is likely to influence the application by users for water licenses, as well as their willingness to pay for licensed use. The ability of a water agency to reduce this uncertainty through effective water rights enforcement is related to the fiscal ability of the agency to monitor and enforce licensed use. In this paper, this interplay across the users and the agency is explored, considering the hydraulic structure or sequence of water use and parameters that define the users and the agency`s economics. The potential for free rider behavior by the users, as well as their proposals for licensed use are derived conditional on this setting. The analyses presented are developed in the framework of the theory of ""Law and Economics,`` with user interactions modeled as a game theoretic enterprise. The state of Ceara, Brazil, is used loosely as an example setting, with parameter values for the experiments indexed to be approximately those relevant for current decisions. The potential for using the ideas in participatory decision making is discussed. This paper is an initial attempt to develop a conceptual framework for analyzing such situations but with a focus on the reservoir-canal system water rights enforcement.