On the distribution of high-frequency stock market traded volume: a dynamical scenario

This manuscript reports a stochastic dynamical scenario whose associated stationary probability density function is exactly a previously proposed one to adjust high-frequency traded volume distributions. This dynamical conjecture, physically connected to superstatiscs, which is intimately related with the current nonextensive statistical mechanics framework, is based on the idea of local fluctuations in the mean traded volume associated to financial markets agents herding behaviour. The corroboration of this mesoscopic model is done by modelising NASDAQ 1 and 2 minute stock market traded volume

Statistical mixing and aggregation in Feller diffusion

We consider Feller mean-reverting square-root diffusion, which has been applied to model a wide variety of processes with linearly state-dependent diffusion, such as stochastic volatility and interest rates in finance, and neuronal and populations dynamics in natural sciences. We focus on the statistical mixing (or superstatistical) process in which the parameter related to the mean value can fluctuate - a plausible mechanism for the emergence of heavy-tailed distributions. We obtain analytical results for the associated probability density function (both stationary and time dependent), its correlation structure and aggregation properties. Our results are applied to explain the statistics of stock traded volume at different aggregation scales.Comment: 16 pages, 3 figures. To be published in Journal of Statistical Mechanics: Theory and Experimen

Statistics of football dynamics

We investigate the dynamics of football matches. Our goal is to characterize statistically the temporal sequence of ball movements in this collective sport game, searching for traits of complex behavior. Data were collected over a variety of matches in South American, European and World championships throughout 2005 and 2006. We show that the statistics of ball touches presents power-law tails and can be described by $q$-gamma distributions. To explain such behavior we propose a model that provides information on the characteristics of football dynamics. Furthermore, we discuss the statistics of duration of out-of-play intervals, not directly related to the previous scenario.Comment: 7 page

LINFOMAS CUTÂNEOS DE CÉLULAS T: PAPEL DAS CÉLULAS NK E T CIRCULANTES NA DEFESA ANTI-TUMORAL

O cancro é uma doença complexa caracterizada por um crescimento descontrolado de células próprias do organismo. O sistema imune tem a capacidade de identificar estas células e desenvolver mecanismos de forma a elimina-las. Na tentativa de melhorar o conhecimento sobre como o sistema imune reage perante a presença de células neoplásicas, têm sido realizados numerosos estudos, envolvendo diferentes tipos de tumores. Os linfomas cutâneos de células T (LCCT), grupo de patologias malignas caracterizado pela proliferação de linfócitos T (LT) na pele, têm sido alvos destes estudos. Contudo, embora alguns demonstrem que as células imunológicas intervêm ao longo da evolução da doença, este assunto é ainda controverso

Sustainable management of human water consumption: a preliminary case study in North-Eastern of Portugal

Portugal is experiencing a drought. In April, 2005, about 80% of the country, including our study area, has a severe to extreme drought. Hence, there are a lot of difficulties in regards to the current water needs for human consumption, agriculture, ecosystem, etc. This is a scenario that can repeat itself more often in the future because of the effects of climate change. Proper water management is one of the key issues that can make sustainability practical. We studied and utilized a multi-dimensional model in order to capture the dynamics of water use in Portugal. To begin with, we used a municipality in the North-eastern part of the country called Bragança. Although it is more humid than the southern municipalities, nonetheless it has had severe water problems this year. We used four different dimensions to understand the sustainability of the water supply system of the municipality. These are: price, quantity of the water used, quality of the water used, and the mode of life. Their values were in binomial form: price (free / pay, as some part of the system operated free of charge), quantity of water (low / high, a threshold was defined to separate the two levels), quality of water (satisfactory / unsatisfactory, as related to the legal norms), and mode of life (rural / urban, a crude first step characterization of this social parameter). The results show that the worst scenario reflects the following situation (free, high, unsatisfactory, rural). And the best is (pay, low, satisfactory, urban). This preliminary study has made the authorities of the municipality more aware of the problems of the system and a number of them are being solved. However, to make the model more useful towards a sustainable management, its further refinement is underway, to be also applied to other regions

Liquidity and the multiscaling properties of the volume traded on the stock market

We investigate the correlation properties of transaction data from the New York Stock Exchange. The trading activity f(t) of each stock displays a crossover from weaker to stronger correlations at time scales 60-390 minutes. In both regimes, the Hurst exponent H depends logarithmically on the liquidity of the stock, measured by the mean traded value per minute. All multiscaling exponents tau(q) display a similar liquidity dependence, which clearly indicates the lack of a universal form assumed by other studies. The origin of this behavior is both the long memory in the frequency and the size of consecutive transactions.Comment: 7 pages, 3 figures, submitted to Europhysics Letter