A model for the Yield curve

The starting point is an interrogation about the non-broken character of the term structure of interest rates. Some arguments for that smooth character are presented here, all of which are based upon the assumption that market participants - arbitrageurs and speculators - always try to explore any misalignments discovered in the interest market. This led to the basic concept behind the model that the current short-term rate determines most of the value of the rate level for the subsequent period. A linear model describing that simple relationship is assumed and that constitutes the building block from where one can develop the mathematical equations necessary to work with different sets of market data. A number of different yield curves were modelled by adjustment to real market data using this basic model, all of them showing a very high quality of the fits when measured by the non-linear ratio R2. Nevertheless this fact still needs to be confirmed as the examples were drawn from non-independent markets and from a very short time window. The model can be improved by simple addition of a liquidity premium depend only upon the maturity of the rates. However, that improvement sophisticates tremendously the mathematical tractability of any real situation without any assurance that this added cost compensates for the increased quality of the fit. The model is designed around only 3 parameters that can all be interpreted in economic terms. Two of them, in particular, bring a significant improvement over the traditional views frequently extracted from the shape of the yield curve. Provided future tests confirm the high quality of the basic and the improved (with a liquidity premium) models, both are supportive of the expectation hypothesis (EH) and the liquidity premium hypothesis (LPH).

A Fast and Accurate Nonlinear Spectral Method for Image Recognition and Registration

This article addresses the problem of two- and higher dimensional pattern matching, i.e. the identification of instances of a template within a larger signal space, which is a form of registration. Unlike traditional correlation, we aim at obtaining more selective matchings by considering more strict comparisons of gray-level intensity. In order to achieve fast matching, a nonlinear thresholded version of the fast Fourier transform is applied to a gray-level decomposition of the original 2D image. The potential of the method is substantiated with respect to real data involving the selective identification of neuronal cell bodies in gray-level images.Comment: 4 pages, 3 figure

On quasi-Jacobi and Jacobi-quasi bialgebroids

We study quasi-Jacobi and Jacobi-quasi bialgebroids and their relationships with twisted Jacobi and quasi Jacobi manifolds. We show that we can construct quasi-Lie bialgebroids from quasi-Jacobi bialgebroids, and conversely, and also that the structures induced on their base manifolds are related via a quasi Poissonization

Melhoramento para resistência a doenças e pragas do feijoeiro comum.

Palestra

Portuguese Yeld Curve: Volatility and Correlations

Stronger competition in Europe triggered by the launch of the Euro and increasing regulatory demands upon the capitalisation of banks and other financial intermediaries in the continent have raised the importance of a sound and accurate measurement of the risks brought to them by the positions they take in different assets. In Portugal banks still invest predominantly in debt instruments due to the small size of the domestic equity market, and this makes their profitability and solvency more sensitive to interest rate volatility than to the uncertainty of equity indices. But some VaR models require statistic information about the form of the local yield curve as well as how it tends to evolve along the time. However, it is important to note that there are reasons to believe that a common currency within the EU does not eliminate differences at this level between, on one hand, small and peripheral countries and, on the other hand, central and larger ones. This paper makes a first approach into this direction suggesting models to estimate the Portuguese yield curve, the spreads against German spot rates, and some values of volatility and correlation for our domestic interest rates.N/

The Power Spectrum of Galaxies in the Nearby Universe

We compute the power spectrum of galaxy density fluctuations in a recently completed redshift survey of optically-selected galaxies in the southern hemisphere (SSRS2). The amplitude and shape of the SSRS2 power spectrum are consistent with results of the Center for Astrophysics redshift survey of the northern hemisphere (CfA2), including the abrupt change of slope on a scale of 30-50Mpc/h; these results are reproducible for independent volumes of space and variations are consistent with the errors estimated from mock surveys. Taken together, the SSRS2 and CfA2 form a complete sample of 14,383 galaxies which covers one-third of the sky. The power spectrum of this larger sample continues to rise on scales up to ~ 200Mpc/h, with weak evidence for flattening on the largest scales. The SSRS2+CfA2 power spectrum and the power spectrum constraints implied by COBE are well-matched by an Omega*h ~ 0.2, Omega+lambda_0=1 CDM model with minimal biasing of optically-selected galaxies.Comment: Accepted for publication in The Astrophysical Journal Letters, Sept. 23, 1994. 10 pages uuencoded compressed postscript, including two figures. JHU-9410200

What are the Best Hierarchical Descriptors for Complex Networks?

This work reviews several hierarchical measurements of the topology of complex networks and then applies feature selection concepts and methods in order to quantify the relative importance of each measurement with respect to the discrimination between four representative theoretical network models, namely Erd\"{o}s-R\'enyi, Barab\'asi-Albert, Watts-Strogatz as well as a geographical type of network. The obtained results confirmed that the four models can be well-separated by using a combination of measurements. In addition, the relative contribution of each considered feature for the overall discrimination of the models was quantified in terms of the respective weights in the canonical projection into two dimensions, with the traditional clustering coefficient, hierarchical clustering coefficient and neighborhood clustering coefficient resulting particularly effective. Interestingly, the average shortest path length and hierarchical node degrees contributed little for the separation of the four network models.Comment: 9 pages, 4 figure