Applications of physics to finance and economics: returns, trading activity and income

This dissertation reports work where physics methods are applied to financial and economical problems. The first part studies stock market data (chapter 1 to 5). The second part is devoted to personal income in the USA (chapter 6). We first study the probability distribution of stock returns at mesoscopic time lags (return horizons) ranging from about an hour to about a month. For mesoscopic times the bulk of the distribution (more than 99% of the probability) follows an exponential law. At longer times, the exponential law continuously evolves into Gaussian distribution. After characterizing the stock returns at mesoscopic time lags, we study the subordination hypothesis. The integrated volatility V_t constructed from the number of trades process can be used as a subordinator for a Brownian motion. This subordination is able to describe approximatly 85% of the stock returns for time lags that start at 1 hour but are shorter than one day. Finally, we show that the CIR process describes well enough the empirical V_t process, such that the corresponding Heston model is able to describe the log-returns x_t process, with approximately the maximum quality that the subordination allows. Finally, we study the time evolution of the personal income distribution. We find that the personal income distribution in the USA has a well-defined two-income-class structure. The majority of population (97-99%) belongs to the lower income class characterized by the exponential Boltzmann-Gibb(``thermal'') distribution, whereas the higher income class (1-3% of population) has a Pareto power-law (``superthermal'') distribution. We show that the ``thermal'' part is stationary in time.Comment: 24 pages and 45 figures. PhD thesis presented to the committee members on May 10th 2005. This thesis is based on 3 published papers with one chapter (chapter 5) with new unpublished result

Monitoring of Iberian wolf expansion in Sabugal: Malcata Region

Relatório de projecto no âmbito de Bolsa Universidade de Lisboa/Fundação Amadeu Dias (2008/2009)Departamento de Biologia Animal, Faculdade de Ciências da Universidade de LisboaScholarship Fundação Amadeu Dias/Universidade de LisboaWind farm construction may cause an effect of repulse on the wildlife. Sabugal – Malcata region has a new wind farm in a zone where the situation of the Iberian wolf (Canis lupus signatus, Cabrera 1907) is considered as precarious. In this context a monitoring project was begun to assess the impact of this infrastructure on the Iberian wolf population. Here are presented the results of eight months of monitoring and some information received during the project about the wolf presence in this region. Every month, signs of wolf presence were prospected in twelve transects in the wind farm adjacent area and fourteen inquires were done to people that can contact with this predator. In all the eight months only two scats were detected and two wolf tracks after a snowfall. The presence of wolves was referred in the inquires as constant before 1990. However, some recent livestock damages were reported. The Roe deer (Capreolus capreolus) seems to be in expansion in this area, being reported in more than half of the inquires. This situation may reveal a new opportunity for settlement of dispersing wolves. The occurrence of the Iberian Wolf in Sabugal – Malcata region continues not to be confirmed, but the designation of probable presence is reinforced.Universidade de Lisboa; Fundação Amadeu Dia