Rescaled range analysis of pluviometric records in SA o pound Paulo State, Brazil

This paper presents an analysis of pluviometric precipitation time series obtained from 45 data collection points, with daily rain measurements (in mm), from 45 counties within the nine climatic regions of the state of SA o pound Paulo, mostly for the period of 1950-1997. SA o pound Paulo State (Brazil) is situated between the inter-tropical climatic zone, dominated by tropical and equatorial masses, and the sub-tropical climatic zone controlled by tropical and polar air masses. Due to this location the State can be divided into three climatic zones: south-east and south-west, which are permanently humid, and north with a well defined dry period. Rescaled range analysis, or R/S analysis, has been used to investigate the scale properties of the time series. We found two clear values for the Hurst exponent, one for a period of 10 to 200 days (H(1)), and another for a period above 210 days (H(2)). The value of H(1) lies between 0.6 to 0.7 for all climatic zones indicating characteristics of persistence. However, H(2) is (i) close to 0.5 for the littoral area, showing random characteristics, (ii) close to 0.6 for mountain areas, indicating persistence characteristics, and (iii) close to 0.4 for the plane area, irrespective of whether the climate is dry or humid, and shows anti-persistence characteristics.

A matter of scale: apparent niche differentiation of diploid and tetraploid plants may depend on extent and grain of analysis

Aim: Emerging polyploids may depend on environmental niche shifts for successful establishment. Using the alpine plant Ranunculus kuepferi as a model system, we explore the niche shift hypothesis at different spatial resolutions and in contrasting parts of the species range. Location: European Alps. Methods: We sampled 12 individuals from each of 102 populations of R. kuepferi across the Alps, determined their ploidy levels, derived coarse-grain (100x100m) environmental descriptors for all sampling sites by downscaling WorldClim maps, and calculated fine-scale environmental descriptors (2x2m) from indicator values of the vegetation accompanying the sampled individuals. Both coarse and fine-scale variables were further computed for 8239 vegetation plots from across the Alps. Subsequently, we compared niche optima and breadths of diploid and tetraploid cytotypes by combining principal components analysis and kernel smoothing procedures. Comparisons were done separately for coarse and fine-grain data sets and for sympatric, allopatric and the total set of populations. Results: All comparisons indicate that the niches of the two cytotypes differ in optima and/or breadths, but results vary in important details. The whole-range analysis suggests differentiation along the temperature gradient to be most important. However, sympatric comparisons indicate that this climatic shift was not a direct response to competition with diploid ancestors. Moreover, fine-grained analyses demonstrate niche contraction of tetraploids, especially in the sympatric range, that goes undetected with coarse-grained data. Main conclusions: Although the niche optima of the two cytotypes differ, separation along ecological gradients was probably less decisive for polyploid establishment than a shift towards facultative apomixis, a particularly effective strategy to avoid minority cytotype exclusion. In addition, our results suggest that coarse-grained analyses overestimate niche breadths of widely distributed taxa. Niche comparison analyses should hence be conducted at environmental data resolutions appropriate for the organism and question under study.

Bit-Width Analysis for General Applications

It has been widely known that a significant part of the bits are useless or even unused during the program execution. Bit-width analysis targets at finding the minimum bits needed for each variable in the program, which ensures the execution correctness and resources saving. In this paper, we proposed a static analysis method for bit-widths in general applications, which approximates conservatively at compile time and is independent of runtime conditions. While most related work focus on integer applications, our method is also tailored and applicable to floating point variables, which could be extended to transform floating point number into fixed point numbers together with precision analysis. We used more precise representations for data value ranges of both scalar and array variables. Element level analysis is carried out for arrays. We also suggested an alternative for the standard fixed-point iterations in bi-directional range analysis. These techniques are implemented on the Trimaran compiler structure and tested on a set of benchmarks to show the results.

Radiocarbon analysis in an Alpine ice core: Record of anthropogenic and biogenic contributions to carbonaceous Radiocarbon analysis in an Alpine ice core: Record of anthropogenic and biogenic contributions to carbonaceous aerosols in the past (1650-1940)

Long-term concentration records of carbonaceous particles (CP) are of increasing interest in climate research due to their not yet completely understood effects on climate. Nevertheless, only poor data on their concentrations and sources before the 20th century are available. We present a first long-term record of organic carbon (OC) and elemental carbon (EC) concentrations – the two main fractions of CP – along with the corresponding fraction of modern carbon (fM) derived from radiocarbon (14C) analysis in ice. This allows a distinction and quantification of natural (biogenic) and anthropogenic (fossil) sources in the past. CP were extracted from an ice archive, with resulting carbon quantities in the microgram range. Analysis of 14C by accelerator mass spectrometry (AMS) was therefore highly demanding. We analysed 33 samples of 0.4 to 1 kg ice from a 150.5 m long ice core retrieved at Fiescherhorn glacier in December 2002 (46°33'3.2" N, 08°04'0.4" E; 3900 m a.s.l.). Samples were taken from bedrock up to the firn/ice transition, covering the time period 1650–1940 and thus the transition from the pre-industrial to the industrial era. Before ~1850, OC was approaching a purely biogenic origin with a mean concentration of 24 μg kg−1 and a standard deviation of 7 μg kg−1. In 1940, OC concentration was about a factor of 3 higher than this biogenic background, almost half of it originating from anthropogenic sources, i.e. from combustion of fossil fuels. The biogenic EC concentration was nearly constant over the examined time period with 6 μg kg−1 and a standard deviation of 1 μg kg−1. In 1940, the additional anthropogenic input of atmospheric EC was about 50 μg kg−1.

Are European equity markets efficient? New evidence from fractal analysis

We report an empirical analysis of long-range dependence in the returns of eight stock market indices, using the Rescaled Range Analysis (RRA) to estimate the Hurst exponent. Monte Carlo and bootstrap simulations are used to construct critical values for the null hypothesis of no long-range dependence. The issue of disentangling short-range and long-range dependence is examined. Pre-filtering by fitting a (short-range) autoregressive model eliminates part of the long-range dependence when the latter is present, while failure to pre-filter leaves open the possibility of conflating short-range and long-range dependence. There is a strong evidence of long-range dependence for the small central European Czech stock market index PX-glob, and a weaker evidence for two smaller western European stock market indices, MSE (Spain) and SWX (Switzerland). There is little or no evidence of long-range dependence for the other five indices, including those with the largest capitalizations among those considered, DJIA (US) and FTSE350 (UK). These results are generally consistent with prior expectations concerning the relative efficiency of the stock markets examined. © 2011 Elsevier Inc.

Memória de longo prazo nos retornos acionistas dos índices de referência da euronext, implicações para a hipótese de mercados eficientes e contributo fractal para aperfeiçoamento do capital asset pricing model

Não existe uma definição única de processo de memória de longo prazo. Esse processo é geralmente definido como uma série que possui um correlograma decaindo lentamente ou um espectro infinito de frequência zero. Também se refere que uma série com tal propriedade é caracterizada pela dependência a longo prazo e por não periódicos ciclos longos, ou que essa característica descreve a estrutura de correlação de uma série de longos desfasamentos ou que é convencionalmente expressa em termos do declínio da lei-potência da função auto-covariância. O interesse crescente da investigação internacional no aprofundamento do tema é justificado pela procura de um melhor entendimento da natureza dinâmica das séries temporais dos preços dos ativos financeiros. Em primeiro lugar, a falta de consistência entre os resultados reclama novos estudos e a utilização de várias metodologias complementares. Em segundo lugar, a confirmação de processos de memória longa tem implicações relevantes ao nível da (1) modelação teórica e econométrica (i.e., dos modelos martingale de preços e das regras técnicas de negociação), (2) dos testes estatísticos aos modelos de equilíbrio e avaliação, (3) das decisões ótimas de consumo / poupança e de portefólio e (4) da medição de eficiência e racionalidade. Em terceiro lugar, ainda permanecem questões científicas empíricas sobre a identificação do modelo geral teórico de mercado mais adequado para modelar a difusão das séries. Em quarto lugar, aos reguladores e gestores de risco importa saber se existem mercados persistentes e, por isso, ineficientes, que, portanto, possam produzir retornos anormais. O objetivo do trabalho de investigação da dissertação é duplo. Por um lado, pretende proporcionar conhecimento adicional para o debate da memória de longo prazo, debruçando-se sobre o comportamento das séries diárias de retornos dos principais índices acionistas da EURONEXT. Por outro lado, pretende contribuir para o aperfeiçoamento do capital asset pricing model CAPM, considerando uma medida de risco alternativa capaz de ultrapassar os constrangimentos da hipótese de mercado eficiente EMH na presença de séries financeiras com processos sem incrementos independentes e identicamente distribuídos (i.i.d.). O estudo empírico indica a possibilidade de utilização alternativa das obrigações do tesouro (OT’s) com maturidade de longo prazo no cálculo dos retornos do mercado, dado que o seu comportamento nos mercados de dívida soberana reflete a confiança dos investidores nas condições financeiras dos Estados e mede a forma como avaliam as respetiva economias com base no desempenho da generalidade dos seus ativos. Embora o modelo de difusão de preços definido pelo movimento Browniano geométrico gBm alegue proporcionar um bom ajustamento das séries temporais financeiras, os seus pressupostos de normalidade, estacionariedade e independência das inovações residuais são adulterados pelos dados empíricos analisados. Por isso, na procura de evidências sobre a propriedade de memória longa nos mercados recorre-se à rescaled-range analysis R/S e à detrended fluctuation analysis DFA, sob abordagem do movimento Browniano fracionário fBm, para estimar o expoente Hurst H em relação às séries de dados completas e para calcular o expoente Hurst “local” H t em janelas móveis. Complementarmente, são realizados testes estatísticos de hipóteses através do rescaled-range tests R/S , do modified rescaled-range test M - R/S e do fractional differencing test GPH. Em termos de uma conclusão única a partir de todos os métodos sobre a natureza da dependência para o mercado acionista em geral, os resultados empíricos são inconclusivos. Isso quer dizer que o grau de memória de longo prazo e, assim, qualquer classificação, depende de cada mercado particular. No entanto, os resultados gerais maioritariamente positivos suportam a presença de memória longa, sob a forma de persistência, nos retornos acionistas da Bélgica, Holanda e Portugal. Isto sugere que estes mercados estão mais sujeitos a maior previsibilidade (“efeito José”), mas também a tendências que podem ser inesperadamente interrompidas por descontinuidades (“efeito Noé”), e, por isso, tendem a ser mais arriscados para negociar. Apesar da evidência de dinâmica fractal ter suporte estatístico fraco, em sintonia com a maior parte dos estudos internacionais, refuta a hipótese de passeio aleatório com incrementos i.i.d., que é a base da EMH na sua forma fraca. Atendendo a isso, propõem-se contributos para aperfeiçoamento do CAPM, através da proposta de uma nova fractal capital market line FCML e de uma nova fractal security market line FSML. A nova proposta sugere que o elemento de risco (para o mercado e para um ativo) seja dado pelo expoente H de Hurst para desfasamentos de longo prazo dos retornos acionistas. O expoente H mede o grau de memória de longo prazo nos índices acionistas, quer quando as séries de retornos seguem um processo i.i.d. não correlacionado, descrito pelo gBm(em que H = 0,5 , confirmando- se a EMH e adequando-se o CAPM), quer quando seguem um processo com dependência estatística, descrito pelo fBm(em que H é diferente de 0,5, rejeitando-se a EMH e desadequando-se o CAPM). A vantagem da FCML e da FSML é que a medida de memória de longo prazo, definida por H, é a referência adequada para traduzir o risco em modelos que possam ser aplicados a séries de dados que sigam processos i.i.d. e processos com dependência não linear. Então, estas formulações contemplam a EMH como um caso particular possível.

Persistence characteristics in financial prices: evidence from the portuguese stock market returns

The objective of this article is to provide additional knowledge to the discussion of long-term memory, leaning over the behavior of the main Portuguese stock index. The first four moments are calculated using time windows of increasing size and sliding time windows of fixed size equal to 50 days and suggest that daily returns are non-ergodic and non-stationary. Seeming that the series is best described by a fractional Brownian motion approach, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA). The findings indicate evidence of long term memory in the form of persistence. This evidence of fractal structure suggests that the market is subject to greater predictability and contradicts the efficient market hypothesis in its weak form. This raises issues regarding theoretical modeling of asset pricing. In addition, we carried out a more localized (in time) study to identify the evolution of the degree of long-term dependency over time using windows 200-days and 400-days. The results show a switching feature in the index, from persistent to anti-persistent, quite evident from 2010.

Long-term dependence in financial prices: evidence from the Belgian stock market returns

This article aims to contribute to the discussion of long-term dependence, focusing on the behavior of the main Belgian stock index. Non-parametric analyzes of the general characteristics of temporal frequency show that daily returns are non-ergodic and non-stationary. Therefore, we use the rescaled-range analysis (R/S) and the detrended fluctuation analysis (DFA), under the fractional Brownian motion approach, and we found slight evidence of long-term dependence. These results refute the random walk hypothesis with i.i.d. increments, which is the basis of the EMH in its weak form, and call into question some theoretical modeling of asset pricing. Other more localized complementary study, to identify the evolution of the degree of dependence over time windows, showed that the index has become less persistent from 2010. This may mean a maturing market by the extension of the effects of current financial crisis.

Long-term memory in financial prices: evidence from the Dutch stock market returns

Prepared for presentation at the Portuguese Finance Network International Conference 2014, Vilamoura, Portugal, June 18-20

Purification and characterisation of Vibriophage isolated from Mangalavanam mangrove

The temperate, filamentous phage ФMV -5 isolated from Mangalavanam mangrove of Kochi, using the environmental strain of Vibrio sp. MV-5 shares many similar properties with other marine phage isolates, while also remaining unique. The study has revealed that the interaction of temperate phages and the microbial population in the marine environment may contribute significantly to microbial genetic diversity and composition by conversion and transduction and which requires greater study.Prophages contribute a substantial share of the mobile DNA of their bacterial hosts and seem to influence the short-term evolution of pathogenic bacteria. Automated methods for systematic investigation of prophages and other mobile DNA elements in the available bacterial genome sequences will be necessary to understand their role in bacterial genome evolution. In the past, phages were mainly investigated as the simplest model systems in molecular biology. Now it is increasingly realized that phage research will be instrumental in the understanding of bacterial abundance in the environment. One can predict that phage research will impact diverse areas such as geochemistry and medicine. Success will largely depend on integrative multidisciplinary approaches in this field. Clearly, further studies are required to understand how vibriophages interact with Vibrios to promote this organism's acquisition of the critical genes which alter its virulence or adaptation to its environmental niche.It is evident from this study and comparison with those reports cited above that vibriophage ФMV-5 is a previously unreported bacteriophage. It is recommended that the minimum requirement for reporting a new phage should be novel morphological markers and a description of host range, both of which have been achieved in this study.

Validez del supuesto de neutralidad del horizonte de tiempo en el CAPM y la metodología del rango reescalado: aplicación a Colombia

La existencia de memoria de largo plazo en las series financieras implica que los retornos de un activo hoy pueden tener incidencia sobre los retornos futuros, incluso más allá del corto plazo. En presencia de dicha memoria el horizonte de inversión elegido puede resultar en diferentes condiciones de riesgo para el inversionista. Peters (1989 y 1992), Mandelbrot (1972), León y Vivas (2010), entre otros, encuentran evidencia de dependencia de largo plazo de las series de tiempo financieras y muestran sus principales implicaciones. Este documento se ocupa de extender el análisis al uso del supuesto de neutralidad del horizonte de tiempo en el CAPM, estimando el efecto cuantitativo de la existencia de dependencia de largo plazo en este modelo según lo desarrollado por Greene y Fieltz (1980). Los resultados para una muestra de acciones colombianas y estadounidenses muestran que la distribución de la medida del riesgo sistémico en el modelo, el beta, es estadísticamente diferente cuando se incorpora el efecto de dependencia de largo plazo; por lo tanto, los retornos esperados de estas acciones cambian. En el mercado colombiano se observa una sobreestimación del beta cuando no se realiza el ajuste propuesto, mientras que en las acciones estadounidenses analizadas el beta sin el ajuste se encuentra subestimado. En cuanto a los retornos esperados, estos son sobrevalorados al no tener en cuenta el ajuste por dependencia de largo plazo, tanto en las acciones colombianas como en las estadounidenses.

The binding of synthetic triiodo L-thyronine analogs to human transthyretin: Molecular basis of cooperative and non-cooperative ligand recognition

Transthyretin (TTR) is a tetrameric beta-sheet-rich transporter protein directly involved in human amyloid diseases. Several classes of small molecules can bind to TTR delaying its amyloid fibril formation, thus being promising drug candidates to treat TTR amyloidoses. In the present study, we characterized the interactions of the synthetic triiodo L-thyronine analogs and thyroid hormone nuclear receptor TR beta-selecfive agonists GC-1 and GC-24 with the wild type and V30M variant of human transthyretin (TTR). To achieve this aim, we conducted in vitro TTR acid-mediated aggregation and isothermal titration calorimetry experiments and determined the TTR:GC-1 and TTR:GC-24 crystal structures. Our data indicate that both GC-1 and GC-24 bind to TTR in a non-cooperative manner and are good inhibitors of TTR aggregation, with dissociation constants for both hormone binding sites (HBS) in the low micromolar range. Analysis of the crystal structures of TTRwt:GC-1(24) complexes and their comparison with the TTRwt X-ray structure bound to its natural ligand thyroxine (T4) suggests, at the molecular level, the basis for the cooperative process displayed by T4 and the non-cooperative process provoked by both GC-1 and GC-24 during binding to TTR. (C) 2010 Elsevier Inc. All rights reserved.

HOME RANGES AND MOVEMENTS OF COYOTES IN THE NORTHERN CHIHUAHUAN DESERT

The coyote (Canis latrans) is among the most studied animals in North America. Because of its adaptability and success as a predator, the coyote has flourished and is still expanding its range. Coyotes can now be found throughout most of North America and south into Central America (Voight and Berg 1987). Studies in recent years have been extensive to understand the interrelationships of prey and coyotes (Shelton and Klindt 1974, Beckoff and Wells 1981), as well as demographic relationships (Davis et al. 1975, Knowlton and Stoddart 1978, Mitchell 1979, Bowen 1981) and feeding strategies (Todd and Keith 1976, Andelt et al. 1987, MacCracken and Hansen 1987, Gese et al. 1988a). With the advance of radio telemetry, researchers have investigated lifestyle characteristics spatially with home ranges or temporally with movements in relation to habitat requirements. Researchers have studied home ranges of coyotes in various regions of the United States (Livaitis and Shaw 1980, Andelt 1981, Springer 1982, Pyrah 1984, Gese et al. 1988a) and Canada (Bowen 1982). Some studies of home range were separated by season (Ozoga and Harger 1966) or relation to nearby food sources (Danner and Smith 1980). Home range analysis in relation to social interactions of coyotes has been either neglected, overlooked, or avoided. Gese et al. (1988a) recognized a transient class of coyote by home range size. Coyote social systems are very complex and can vary by season or locality in addition to some reports of group or pack systems (Hamlin and Schweitzer 1979, Beckoff and Wells 1981, Bowen 1981, Gese et al. 1988b). Coyotes maintain communication with conspecifics through vocal and olfactory signals (Lehner 1987, Bowen and McTaggert Cowan 1980). Social interactions may be by far the most complex and least understood aspect related to coyote ecology. Coyote movements can be related to many factors including food, water, cover, and social interactions. Movements in relation to food sources are well documented (Fitch 1948, Todd and Keith 1976, Danner and Smith 1980) although reports on movements in relation to water have not been reported, probably because of limited research in desert situations. There has been some mention of coyotes' movements in relation to cover (Wells and Beckoff 1982). The objectives of this study were to delineate annual and seasonal home ranges, movements, and habitat use of coyotes in the northern Chihuahuan desert.

Diffusion of linear paraffins in nanoporous silica

The diffusion of hexane, heptane, octane, and decane in nanoporous MCM-41 silica at various temperatures is investigated by the zero-length-column method. The diffusion coefficients are derived by a complete-time-range analysis of desorption curves at different purge flow rates and temperatures. The results show that the calculated low-coverage diffusivity values decrease monotonically, and the derived Henry's law constants increase, as the carbon number of paraffins increases. The study reveals that transport is strongly influenced by intracrystalline diffusion and dominated by the sorbate-sorbent interaction. The diffusion activation energy and adsorption isosteric heat at zero loading increase monotonically with the carbon number of linear paraffins, but their ratio is essentially constant for each adsorbate compound.

Diffusion of n-decane in mesoporous MCM-41 silicas

We investigate here the diffusion of n-decane in nanoporous MCM-41 silicas with pore diameters between 3.0 and 4.3 nm, and at various temperatures and purge flow rates, by the Zero Length Column method. A complete-time-range analysis of desorption curves is used to derive the diffusion coefficient, and the effect of pore size, purge flow rate and temperature on the diffusion character is systematically studied. The results show that the calculated low-coverage diffusivity values are strongly dependent on temperature but only weakly dependent on pore size. The study reveals that transport is controlled by intracrystalline diffusion and dominated by sorbate-sorbent interaction, with the experimental isosteric heat matching the potential energy of flat-lying n-decane molecules on the surface, determined using a united atom model. The diffusion activation energy and adsorption isosteric heat at zero loading for the different pore size MCM-41 samples vary in a narrow range respectively, and their ratio is essentially constant over the pore size range studied. The study shows that the ZLC method is an effective tool to investigate the diffusion kinetics of hydrocarbons in mesoporous MCM-41 materials. (c) 2005 Elsevier Inc. All rights reserved.