Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normal distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalized assumption of normal distributed financial returns. Thus it is crucial to properly model the distribution tails so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey (2000) and combine the GARCH-type models with the Extreme Value Theory (EVT) to estimate the tails of three financial index returns DJI,FTSE 100 and NIKKEI 225 representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are much more accurate than those from conventional AR-GARCH models assuming normal or Student’s t-distribution innovations when doing out-of-sample estimation (within the insample estimation, this is so for the right tail of the distribution of returns).

PHYLOViZ: phylogenetic inference and data visualization for sequence based typing methods

Background: With the decrease of DNA sequencing costs, sequence-based typing methods are rapidly becoming the gold standard for epidemiological surveillance. These methods provide reproducible and comparable results needed for a global scale bacterial population analysis, while retaining their usefulness for local epidemiological surveys. Online databases that collect the generated allelic profiles and associated epidemiological data are available but this wealth of data remains underused and are frequently poorly annotated since no user-friendly tool exists to analyze and explore it. Results: PHYLOViZ is platform independent Java software that allows the integrated analysis of sequence-based typing methods, including SNP data generated from whole genome sequence approaches, and associated epidemiological data. goeBURST and its Minimum Spanning Tree expansion are used for visualizing the possible evolutionary relationships between isolates. The results can be displayed as an annotated graph overlaying the query results of any other epidemiological data available. Conclusions: PHYLOViZ is a user-friendly software that allows the combined analysis of multiple data sources for microbial epidemiological and population studies. It is freely available at http://www.phyloviz.net.

Quantificação por imagem ponderada em difusão (DWI) das lesões tumorais da mama

Introdução – A técnica de Difusão por Ressonância Magnética (RM), ao avaliar o movimento das moléculas de água nos tecidos, permite inferir sobre a arquitetura dos mesmos, em particular relativamente à celularidade, volume celular e permeabilidade das membranas. O Coeficiente de Difusão Aparente (ADC) é um parâmetro quantificável da imagem ponderada em difusão (DWI). A sua análise poderá fornecer informação clínica adicional sobre estas lesões, sobretudo em relação à sua caracterização histológica. Objetivos – Caracterizar e diferenciar tipos e alguns subtipos de lesões mamárias através da análise do ADC. Metodologia – 20 Mulheres com 23 lesões mamárias foram submetidas a RM mamária: 3 lesões benignas (3 Fibroadenomas-FA) e 20 malignas (16 Carcinomas Ductais Invasivos-CDI, 2 Carcinomas Ductais In Situ-CDIS e 2 Carcinomas Invasivos Lobulares-CLI). Num equipamento 1.5T aplicou-se uma sequência de Difusão (b=0,50,250,500,750,1000 s/mm2). Obteve-se o ADC através do ajuste exponencial da intensidade de sinal das lesões em função do valor de b, fazendo-se corresponder os valores de ADC à respetiva caracterização histológica e posterior comparação com a literatura. Resultados e Discussão – As lesões malignas apresentaram ADCs significativamente (p=0,014) inferiores [(0,94±0,22)x10-3 mm2/s] aos das benignas [(1,43±0,25)x10-3 mm2/s]. A justificação pode residir no aumento da celularidade e consequente restrição da Difusão que se observa nas lesões malignas. Os CDI apresentaram ADCs baixos [(0,88±0,17)x10-3 mm2/s], enquanto que os CDIS apresentaram ADCs mais elevados [(1,33±0,29)x10-3 mm2/s]. Estes resultados estão de acordo com o facto dos CDIS estarem limitados aos ductos mamários, mantendo-se menos alterada a estrutura do tecido adjacente e resultando numa menor restrição à difusão que nos CDI. Verificaram-se diferenças significativas entre FA e CDI (p=0,010) e entre CDI e CDIS (p=0,049). Conclusões – O ADC possibilita a diferenciação entre lesões mamárias benignas e malignas, bem como entre alguns tipos histológicos. O desenvolvimento deste conceito pode representar um avanço no papel da RM na avaliação destas neoplasias. ABSTRACT - Introduction – The Magnetic Resonance (MR) diffusion technique measures the movement of water molecules in tissues. Therefore, it provides useful information about tissue architecture, specially regarding tissue cellularity, cell volume and membrane permeability. The quantification of diffusion weighted imaging (DWI) data is done by measuring the so-called. Apparent Diffusion Coefficient (ADC). This parameter provides additional clinical information about breast lesions, and potentially allows for in-vivo histological characterization. Purpose – To characterize and differentiate breast lesions through ADC analysis. Methodology – The study comprised 20 women, with 23 breast lesions: 3 benign lesions - 3 Fibroadenomas (FA); and 20 malignant - 16 Invasive Ductal Carcinomas (CDI), 2 Ductal Carcinomas In Situ (CDIS), 2 Invasive Lobular Carcinoma (CLI). On a 1.5T equipment a diffusion-weighted sequence with 6 b-values (b=0,50,250,500,750,1000 s/mm2) was used to examine the patients. ADC was obtained by fitting an exponential to data of lesion signal intensity vs. b values. A correspondence of ADC values to histological lesion characterization was done and finally, the results were comparison with the literature. Results and Discussion – Malignant lesions showed inferior ADCs significantly (p=0.014) lower ((0.94±0.22)x10-3 mm2/s) than the benign lesions ((1.43±0.25)x10-3 mm2/s). This may be associated to increasead cellularity in malignant lesions, which result in higher tissue restriction to diffusion. CDI showed low ADC values ((0.88±0.17)x10-3 mm2/s), while the CDIS showed higher ADCs ((1.33±0.29)x10-3 mm2/s). These results agree with the fact that CDIS are limited to mammary ducts, maintaining a less altered neighboring tissue structure, which results in a lower restriction to diffusion than observed in CDI. Significant differences between FA and CDI (p=0.010) and between CDI and CDIS (p=0.049) were observed. Conclusion – The ADC parameter is able to differentiate between malignant and benign breast lesions, as well as between some histological types.

Probing the scalar-pseudoscalar mixing in the 125 GeV Higgs particle with current data

LHC has found hints for a Higgs particle of 125 GeV. We investigate the possibility that such a particle is a mixture of scalar and pseudoscalar states. For definiteness, we concentrate on a two-Higgs doublet model with explicit CP violation and soft Z(2) violation. Including all Higgs production mechanisms, we determine the current constraints obtained by comparing h -> yy with h -> VV*, and comment on the information which can be gained by measurements of h -> b (b) over bar. We find bounds vertical bar s(2)vertical bar less than or similar to 0.83 at one sigma, where vertical bar s(2)vertical bar = 0 (vertical bar s(2)vertical bar = 1) corresponds to a pure scalar (pure pseudoscalar) state.

A Service Integration Platform for Collaborative Networks

Integrated manufacturing constitutes a complex system made of heterogeneous information and control subsystems. Those subsystems are not designed to the cooperation. Typically each subsystem automates specific processes, and establishes closed application domains, therefore it is very difficult to integrate it with other subsystems in order to respond to the needed process dynamics. Furthermore, to cope with ever growing marketcompetition and demands, it is necessary for manufacturing/enterprise systems to increase their responsiveness based on up-to-date knowledge and in-time data gathered from the diverse information and control systems. These have created new challenges for manufacturing sector, and even bigger challenges for collaborative manufacturing. The growing complexity of the information and communication technologies when coping with innovative business services based on collaborative contributions from multiple stakeholders, requires novel and multidisciplinary approaches. Service orientation is a strategic approach to deal with such complexity, and various stakeholders' information systems. Services or more precisely the autonomous computational agents implementing the services, provide an architectural pattern able to cope with the needs of integrated and distributed collaborative solutions. This paper proposes a service-oriented framework, aiming to support a virtual organizations breeding environment that is the basis for establishing short or long term goal-oriented virtual organizations. The notion of integrated business services, where customers receive some value developed through the contribution from a network of companies is a key element.

Mantle source heterogeneity, magma generation and magmatic evolution at Terceira Island (Azoresarchipelago): Constraints from elemental and isotopic (Sr, Nd, Hf, and Pb) data

This work addresses the present-day (<100 ka) mantle heterogeneity in the Azores region through the study of two active volcanic systems from Terceira Island. Our study shows that mantle heterogeneities are detectable even when "coeval" volcanic systems (Santa Barbara and Fissural) erupted less than 10 km away. These volcanic systems, respectively, reflect the influence of the Terceira and D. Joao de Castro Bank end-members defined by Beier et at (2008) for the Terceira Rift Santa Barbara magmas are interpreted to be the result of mixing between a HIMU-type component, carried to the upper mantle by the Azores plume, and the regional depleted MORB magmas/source. Fissural lavas are characterized by higher Ba/Nb and Nb/U ratios and less radiogenic Pb-206/Pb-204, Nd-143/Nd-144 and Hf-176/Hf-177, requiring the small contribution of delaminated sub-continental lithospheric mantle residing in the upper mantle. Published noble gas data on lavas from both volcanic systems also indicate the presence of a relatively undegassed component, which is interpreted as inherited from a lower mantle reservoir sampled by the ascending Azores plume. As inferred from trace and major elements, melting began in the garnet stability field, while magma extraction occurred within the spinel zone. The intra-volcanic system's chemical heterogeneity is mainly explained by variable proportions of the above-mentioned local end-members and by crystal fractionation processes. (C) 2011 Elsevier By. All rights reserved.

On the solubility of three disperse anthraquinone dyes in supercritical carbon dioxide: new experimental data and correlation

Solubility measurements of quinizarin. (1,4-dihydroxyanthraquinone), disperse red 9 (1-(methylamino) anthraquinone), and disperse blue 14 (1,4-bis(methylamino)anthraquinone) in supercritical carbon dioxide (SC CO2) were carried out in a flow type apparatus, at a temperature range from (333.2 to 393.2) K and at pressures from (12.0 to 40.0) MPa. Mole fraction solubility of the three dyes decreases in the order quinizarin (2.9 x 10(-6) to 2.9.10(-4)), red 9 (1.4 x 10(-6) to 3.2 x 10(-4)), and blue 14 (7.8 x 10(-8) to 2.2 x 10(-5)). Four semiempirical density based models were used to correlatethe solubility of the dyes in the SC CO2. From the correlation results, the total heat of reaction, heat of vaporization plus the heat of solvation of the solute, were calculated and compared with the results presented in the literature. The solubilities of the three dyes were correlated also applying the Soave-Redlich-Kwong cubic equation of state (SRK CEoS) with classical mixing rules, and the physical properties required for the modeling were estimated and reported.

Symbolic Knowledge Extraction from Trained Neural Networks Governed by Lukasiewicz Logics

This work describes a methodology to extract symbolic rules from trained neural networks. In our approach, patterns on the network are codified using formulas on a Lukasiewicz logic. For this we take advantage of the fact that every connective in this multi-valued logic can be evaluated by a neuron in an artificial network having, by activation function the identity truncated to zero and one. This fact simplifies symbolic rule extraction and allows the easy injection of formulas into a network architecture. We trained this type of neural network using a back-propagation algorithm based on Levenderg-Marquardt algorithm, where in each learning iteration, we restricted the knowledge dissemination in the network structure. This makes the descriptive power of produced neural networks similar to the descriptive power of Lukasiewicz logic language, minimizing the information loss on the translation between connectionist and symbolic structures. To avoid redundance on the generated network, the method simplifies them in a pruning phase, using the "Optimal Brain Surgeon" algorithm. We tested this method on the task of finding the formula used on the generation of a given truth table. For real data tests, we selected the Mushrooms data set, available on the UCI Machine Learning Repository.

Osteometria radiográfica de fetos: contributo para a estimativa da idade à data da morte

A estimativa da idade gestacional em restos cadavéricos de fetos é importante em contextos forenses. Para esse efeito, os especialistas forenses recorrem à avaliação do padrão de calcificação dentária e/ou ao estudo do esqueleto. Neste último, o comprimento das diáfises de ossos longos é um dos métodos mais utilizados, sendo utilizadas tabelas e equações de regressão de obras pouco actuais ou baseadas em dados ecográficos, cujas medições diferem das efectuadas directamente no osso. Este trabalho tem como objectivo principal a construção de tabelas e equações de regressão para a população Portuguesa, com base na medição das diáfises de fémur, tíbia e úmero, utilizando radiografias post-mortem, que não diferem muito das medições em osso. Pretende-se também determinar qual dos três ossos é mais credível e se existem diferenças significativas entre fetos de género feminino e de género masculino.

Scalable Unified Transform Architecture for Advanced Video Coding Embedded Systems

A novel high throughput and scalable unified architecture for the computation of the transform operations in video codecs for advanced standards is presented in this paper. This structure can be used as a hardware accelerator in modern embedded systems to efficiently compute all the two-dimensional 4 x 4 and 2 x 2 transforms of the H.264/AVC standard. Moreover, its highly flexible design and hardware efficiency allows it to be easily scaled in terms of performance and hardware cost to meet the specific requirements of any given video coding application. Experimental results obtained using a Xilinx Virtex-5 FPGA demonstrated the superior performance and hardware efficiency levels provided by the proposed structure, which presents a throughput per unit of area relatively higher than other similar recently published designs targeting the H.264/AVC standard. Such results also showed that, when integrated in a multi-core embedded system, this architecture provides speedup factors of about 120x concerning pure software implementations of the transform algorithms, therefore allowing the computation, in real-time, of all the above mentioned transforms for Ultra High Definition Video (UHDV) sequences (4,320 x 7,680 @ 30 fps).

Interpretation of gravity data to delineate structural features connected to low-temperature geothermal resources at Northeastern Portugal

A great number of low-temperature geothermal fields occur in Northern-Portugal related to fractured rocks. The most important superficial manifestations of these hydrothermal systems appear in pull-apart tectonic basins and are strongly conditioned by the orientation of the main fault systems in the region. This work presents the interpretation of gravity gradient maps and 3D inversion model produced from a regional gravity survey. The horizontal gradients reveal a complex fault system. The obtained 3D model of density contrast puts into evidence the main fault zone in the region and the depth distribution of the granitic bodies. Their relationship with the hydrothermal systems supports the conceptual models elaborated from hydrochemical and isotopic water analyses. This work emphasizes the importance of the role of the gravity method and analysis to better understand the connection between hydrothermal systems and the fractured rock pattern and surrounding geology. (c) 2013 Elsevier B.V. All rights reserved.

Towards an Academic Social Network for Bologna Process

The Bologna Process aimed to build a European Higher Education Area promoting student's mobility. The adoption of Bologna Declaration directives requires a self management distributed approach to deal with student's mobility, allowing frequent updates in institutions rules or legislation. This paper suggests a computational system architecture, which follows a social network design. A set of structured annotations is proposed in order to organize the user's information. For instance, when the user is a student its annotations are organized into an academic record. The academic record data is used to discover interests, namely mobility interests, among students that belongs the academic network. These ideas have been applied into a demonstrator that includes a mobility simulator to compare and show the student's academic evolution.

A 802.11p prototype implementation

This paper presents an IEEE 802.11p full-stack prototype implementation to data exchange among vehicles and between vehicles and the roadway infrastructures. The prototype architecture is based on FPGAs for Intermediate Frequency (IF) and base band purposes, using 802.11a based transceivers for RF interfaces. Power amplifiers were also addressed, by using commercial and in-house solutions. This implementation aims to provide technical solutions for Intelligent Transportation Systems (ITS) field, namely for tolling and traffic management related services, in order to promote safety, mobility and driving comfort through the dynamic and real-time cooperation among vehicles and/or between vehicles and infrastructures. The performance of the proposed scheme is tested under realistic urban and suburban driving conditions. Preliminary results are promising, since they comply with most of the 802.11p standard requirements.

Classification and staging of chronic liver disease from multimodal data

Chronic liver disease (CLD) is most of the time an asymptomatic, progressive, and ultimately potentially fatal disease. In this study, an automatic hierarchical procedure to stage CLD using ultrasound images, laboratory tests, and clinical records are described. The first stage of the proposed method, called clinical based classifier (CBC), discriminates healthy from pathologic conditions. When nonhealthy conditions are detected, the method refines the results in three exclusive pathologies in a hierarchical basis: 1) chronic hepatitis; 2) compensated cirrhosis; and 3) decompensated cirrhosis. The features used as well as the classifiers (Bayes, Parzen, support vector machine, and k-nearest neighbor) are optimally selected for each stage. A large multimodal feature database was specifically built for this study containing 30 chronic hepatitis cases, 34 compensated cirrhosis cases, and 36 decompensated cirrhosis cases, all validated after histopathologic analysis by liver biopsy. The CBC classification scheme outperformed the nonhierachical one against all scheme, achieving an overall accuracy of 98.67% for the normal detector, 87.45% for the chronic hepatitis detector, and 95.71% for the cirrhosis detector.

Data mining framework for fatty liver disease classification in ultrasound: a hybrid feature extraction paradigm

PURPOSE: Fatty liver disease (FLD) is an increasing prevalent disease that can be reversed if detected early. Ultrasound is the safest and ubiquitous method for identifying FLD. Since expert sonographers are required to accurately interpret the liver ultrasound images, lack of the same will result in interobserver variability. For more objective interpretation, high accuracy, and quick second opinions, computer aided diagnostic (CAD) techniques may be exploited. The purpose of this work is to develop one such CAD technique for accurate classification of normal livers and abnormal livers affected by FLD. METHODS: In this paper, the authors present a CAD technique (called Symtosis) that uses a novel combination of significant features based on the texture, wavelet transform, and higher order spectra of the liver ultrasound images in various supervised learning-based classifiers in order to determine parameters that classify normal and FLD-affected abnormal livers. RESULTS: On evaluating the proposed technique on a database of 58 abnormal and 42 normal liver ultrasound images, the authors were able to achieve a high classification accuracy of 93.3% using the decision tree classifier. CONCLUSIONS: This high accuracy added to the completely automated classification procedure makes the authors' proposed technique highly suitable for clinical deployment and usage.