Stable distributions are extensively used to analyze earnings of financial assets, such as exchange rates and stock prices assets. In this paper we propose a simple and strongly consistent estimator for the scale parameter of a symmetric stable Levy distribution. The advantage of this estimator is that your computational time is minimum thus it can be used to initialize intensive computational procedure such as maximum likelihood. With random samples of sized n we testedthe efficacy of these estimators by Monte Carlo method. We also included applications for three data sets.

Stable distributions are extensively used to analyze earnings of financial assets, such as exchange rates and stock prices assets. In this paper we propose a simple and strongly consistent estimator for the scale parameter of a symmetric stable Levy distribution. The advantage of this estimator is that your computational time is minimum thus it can be used to initialize intensive computational procedure such as maximum likelihood. With random samples of sized n we testedthe efficacy of these estimators by Monte Carlo method. We also included applications for three data sets.

In this work, maximum flows observed in the Paranapanema river basin are modeled by a mixture of two GEV distributions whose components correspond to the summer and winter subpopulations. The nonlinear discriminant function allowed to confirm the assumption of mixture model.The proposed model is then used to determine probabilities of exceedance and return periods associated with extreme flows, which are of fundamental importance for hydraulic projects. The results show significant differences when a mixture model is used and therefore an approach more coherent with the observed data.

In this work, maximum flows observed in the Paranapanema river basin are modeled by a mixture of two GEV distributions whose components correspond to the summer and winter subpopulations. The nonlinear discriminant function allowed to confirm the assumption of mixture model.The proposed model is then used to determine probabilities of exceedance and return periods associated with extreme flows, which are of fundamental importance for hydraulic projects. The results show significant differences when a mixture model is used and therefore an approach more coherent with the observed data.

This paper discusses the Hawkes process to modeling of the offering book, especially the ETF it iShare Ibovespa index fund. The study aimed to investigate the dynamics of the influences of the offers in relation to the past orders. We study too to the interaction of the order rates of the opposing sides of the Book. Another point addressed is the verification of the operating strategy that captures the dynamics studied. At the first moment, the univariate approach was performed and in the second moment the multivariate of the Hawkes process. The results show that in both cases the Hawkes process it fits well to the data. The fit model indicates that agents have similar behaviors when they act as buyers or sellers of assets. As for the strategy, it was not possible to establish spare gains from changes in bid rates. However, these results are due to the it bid-ask spread more that the pre...

This paper discusses the Hawkes process to modeling of the offering book, especially the ETF it iShare Ibovespa index fund. The study aimed to investigate the dynamics of the influences of the offers in relation to the past orders. We study too to the interaction of the order rates of the opposing sides of the Book. Another point addressed is the verification of the operating strategy that captures the dynamics studied. At the first moment, the univariate approach was performed and in the second moment the multivariate of the Hawkes process. The results show that in both cases the Hawkes process it fits well to the data. The fit model indicates that agents have similar behaviors when they act as buyers or sellers of assets. As for the strategy, it was not possible to establish spare gains from changes in bid rates. However, these results are due to the it bid-ask spread more that the pre...