Testing the Markov property with ultra-high frequency financial data

This paper develops a framework to nonparametrically test whether discretevalued irregularly-spaced financial transactions data follow a Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some discrete level. This framework is convenient for it accommodates not only the irregular spacing of transactions data, but also price discreteness. Under such an observation rule, the current price duration is independent of previous price durations given the current price realization. A simple nonparametric test then follows by examining whether this conditional independence property holds. Finally, we investigate whether or not bid-ask spreads follow Markov processes using transactions data from the New York Stock Exchange. The motivation lies on the fact that asymmetric information models of market microstructures predict that the Markov property does not hold for the bid-ask spread. The results are mixed in the sense that the Markov assumption is rejected for three out of the five stocks we have analyzed.Bid-ask spread, nonparametric testing, price durations, Markov property, ultra-high frequency data

The Relation Between Bank Resolutions and Information Environment: Evidence from the Auctions for Failed Banks

This study examines the impact of disclosure requirements on the resolution costs of failed banks. Consistent with the hypothesis that disclosure requirements mitigate information asymmetries in the auctions for failed banks, I find that, when failed banks are subject to more comprehensive disclosure requirements, regulators incur lower costs of closing a bank and retain a lower portion of the failed bank's assets, while bidders that are geographically more distant are more likely to participate in the bidding for the failed bank. The paper provides new insights into the relation between disclosure and the reorganization of a banking system when the regulators' preferred plan of action is to promote the acquisition of undercapitalized banks by healthy ones. The results suggest that disclosure regulation policy influences the cost of resolution of a bank and, as a result, could be an important factor in the definition of the optimal resolution strategy during a banking crisis event.Sanford J. Grossman Fellowship in Honor of Arnold Zellne

Dimensionamento ótimo do sistema de irrigação e barragens da bacia do rio Acaraú-Ceará

Um correto dimensionamento de um sistema de recursos hídricos, procurando-se otimizar o retorno econômico dos projetos que dele fazem parte, é um aspecto fundamental do planejamento do uso da água em uma bacia hidrográfica. É de interesse para a sociedade uma otimização dos recursos financeiros a serem alocados para uma região. Neste trabalho estuda-se a otimização do dimensionamento de um sistema composto de 7 barragens e 7 sub-projetos de irrigação na bacia do rio Acaraú, no Estado do Ceará. Utiliza-se, para isso, uma formulação matemática que é resolvida por programação linear mista com inteiros, com uma função objetivo de maximização dos benefícios líquidos presentes do sistema, sujeita a restrições de balanço hídrico e de compatibilização entre os projetos. Em seguida é feita uma "sintonia fina" dos resultados por simulação, demonstrando-se a viabilidade do dimensionamento. Comparando-se os resultados obtidos com a solução adotada por estudo recente sobre a bacia, que utiliza abordagens tradicionais, conclui-se ser de fundamental importância a otimização do dimensionamento de um sistema de recursos hídricos, quando obtêm-se um retorno econômico bastante superior

The Importance of Medicinal Chemistry Knowledge in the Clinical Pharmacist's Education

Objective. To show why medicinal chemistry must be a key component of the education of pharmacy students, as well as in the pharmacist's practice. Findings. Five case reports were selected by their clinically relevant elements of medicinal chemistry and were explained using structure-activity relationship data of the drugs involved in the case easily obtained from primary literature and in medicinal chemistry textbooks. Summary. This paper demonstrates how critical clinical decisions can be addressed using medicinal chemistry knowledge. While such knowledge may not explain all clinical decisions, medicinal chemistry concepts are essential for the education of pharmacy students to explain drug action in general and clinical decisions.Univ Fed Sao Paulo, Diadema, SP, BrazilUniv Fed Sao Paulo, Diadema, SP, BrazilWeb of Scienc

World Equity Markets: A New Approach for Segmentation (in English)

This paper is an assessment of international equity-market integration and uses an innovative approach to segment equity markets into related geographic areas. The authors´ focus is on the relationships among the returns of the dominant national equity indexes by continent. To understand how these indexes have evolved, the authors will concentrate on a reduced number of dimensions extracted from principal components analysis. They will demonstrate that each one of these components is particularly associated with certain groups of nations and less associated with others.interaction, principal components analysis, returns

Biocover performance of landfill methane oxidation: Experimental results

Abstract: An experimental passive methane oxidation biocover (PMOB) was constructed within the existing final cover of the St-Nicéphore landfill. Its substrate consisted of a 0.80-m-thick mixture of sand and compost. The goal of this experiment was to evaluate the performance of the PMOB in reducing CH 4 CH4 emissions when submitted to an increasing methane load. The CH 4 CH4 load applied started with 9.3 g CH 4  m −2  d −1 9.3 g CH4 m−2 d−1 . When the site had to be closed for the winter, the CH 4 CH4 input was 820 g CH 4  m −2  d −1 820 g CH4 m−2 d−1 . Throughout the study, practically all the CH 4 CH4 input was oxidized; absolute removal rates were linearly correlated to methane loading; and the oxidation zone was established between 0.6–0.8 m. These results seem to indicate that the upper limit potential of this PMOB to oxidize CH 4 CH4 was not necessarily reached during the study period. Surface CH 4 CH4 concentration scans showed no signs of leaks. The substrate offered excellent conditions for the growth of methanotrophs, whose count averaged 3.91×10 8  CFU g dw −1 3.91×108 CFU g dw−1 soil

Detailed theoretical models for extra-solar planet-host stars: The "red stragglers" HD37124 and HD46375

In this paper we analyse and discuss the HR Diagram position of two extra-solar planet-host stars - HD37124 and HD46375 - by means of theoretical stellar evolution models. This work was triggered by the results obtained by Laws et al. (2003) who found that these stars were in contradiction to the expectation based on their high metallicity. Fixing the age of both stars with the value based on their chromospheric activity levels and computing our own evolutionary models using the CESAM code, we are able to reproduce the observed luminosity, effective temperature and metallicity of both stars for a set of stellar parameters that are astrophysically reliable even if it is non-trivial to interpret the absolute values for these parameters. Our results are discussed in the context of the stellar properties of low mass stars.Comment: 6 pages, 2 figures, A&A, in pres

Causal model to describe the variation of faecal coliform concentrations in a pilot-scale test consisting of ponds aligned in series

Abstract: In this study, the application of path analysis was tested to validate a causal model developed to verify the influence on several factors of the variation of faecal coliform concentration in pilot-scale ponds that treat domestic wastewater under distinct physical and operational characteristics. The ponds, aligned in series, are located in the city of Campina Grande, Northeastern Brazil. The model proved to be efficient for describing the variation in both secondary facultative and maturation ponds. The coefficient of determination (R2) varied between 0.66 and 0.84 for the facultative ponds and between 0.54 and 0.95 for the maturation ponds. Effluent faecal coliform concentration was negatively affected by solar radiation in shallow ponds and positively affected by influent faecal coliform concentration in deep ponds. Typically the effects related to phytoplankton photosynthetic activity were well characterized in all shallow maturation ponds. Faecal coliform concentration was negatively affected by pH in almost all the cases. This model is not suitable for anaerobic ponds.La méthodologie du Path analysis a été employé afin de tester un modèle causal qui a été développé pour vérifier l’influence de plusieurs facteurs sur la variation de la concentration en coliformes fécaux dans des étangs de traitement des eaux usées pilotes. Ces dernières sont opérées selon des caractéristiques physiques et fonctionnelles distinctes. Les étangs, alignés en série, se trouvent dans la ville de Campina Grande, dans le Nordeste brésilien. Le modèle s’est révélé efficace pour décrire la variation de la concentration de coliformes fécaux dans les étangs secondaires facultatifs, de même que dans les étangs de maturation. Le coefficient de détermination (R2) a varié de 0,66 à 0,84 dans étangs facultatifs et de 0,54 à 0,95 dans les étangs de maturation. La concentration en coliformes fécaux de l’effluent a été négativement affectée par les radiations solaires dans les étangs peu profonds et positivement affectée par la concentration en coliformes fécaux de l’influent dans les étangs profonds. Habituellement, les effets associés à l’activité de photosynthèse du phytoplancton étaient bien caractérisés dans les étangs de maturation peu profonds. La concentration en coliformes fécaux a été négativement affectée par le pH dans presque tous les cas. Ce modèle ne s’applique aux étangs anaérobies