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).

Optoelectronic Digital Capture Device Based on Si/C Multilayer Heterostructures

Combined tunable WDM converters based on SiC multilayer photonic active filters are analyzed. The operation combines the properties of active long-pass and short-pass wavelength filter sections into a capacitive active band-pass filter. The sensor element is a multilayered heterostructure produced by PE-CVD. The configuration includes two stacked SiC p-i-n structures sandwiched between two transparent contacts. Transfer function characteristics are studied both theoretically and experimentally. Results show that optical bias activated photonic device combines the demultiplexing operation with the simultaneous photodetection and self amplification of an optical signal acting the device as an integrated photonic filter in the visible range. Depending on the wavelength of the external background and irradiation side, the device acts either as a short- or a long-pass band filter or as a band-stop filter. The output waveform presents a nonlinear amplitude-dependent response to the wavelengths of the input channels. A numerical simulation and two building-blocks active circuit is presented and gives insight into the physics of the device.

Nonmonotonic Magnetic Susceptibility of Dipolar Hard-Spheres at Low Temperature and Density

We investigate, via numerical simulations, mean field, and density functional theories, the magnetic response of a dipolar hard sphere fluid at low temperatures and densities, in the region of strong association. The proposed parameter-free theory is able to capture both the density and temperature dependence of the ring-chain equilibrium and the contribution to the susceptibility of a chain of generic length. The theory predicts a nonmonotonic temperature dependence of the initial (zero field) magnetic susceptibility, arising from the competition between magnetically inert particle rings and magnetically active chains. Monte Carlo simulation results closely agree with the theoretical findings. DOI: 10.1103/PhysRevLett.110.148306

Between theory and practice – teaching maths to elementary school students in Poland

The development of children's school achievements in mathematics is one of the most important aims of education in Poland. The results of research concerning monitoring of school achievements in maths is not optimistic. We can observe low levels of children’s understanding of the merits of maths, self-developed strategies in solving problems and practical usage of maths skills. This article frames the discussion of this problem in its psychological and didactic context and analyses the causes as they relate to school practice in teaching maths

Microscopic Theory of Anchoring Transitions at the Surfaces of Pure Liquid-Crystals and their Mixtures .1. The Fowler Approximation

We have generalized earlier work on anchoring of nematic liquid crystals by Sullivan, and Sluckin and Poniewierski, in order to study transitions which may occur in binary mixtures of nematic liquid crystals as a function of composition. Microscopic expressions have been obtained for the anchoring energy of (i) a liquid crystal in contact with a solid aligning surface; (ii) a liquid crystal in contact with an immiscible isotropic medium; (iii) a liquid crystal mixture in contact with a solid aligning surface. For (iii), possible phase diagrams of anchoring angle versus dopant concentration have been calculated using a simple liquid crystal model. These exhibit some interesting features including re-entrant conical anchoring, for what are believed to be realistic values of the molecular parameters. A way of relaxing the most drastic approximation implicit in the above approach is also briefly discussed.

Simulation and theory of hybrid aligned liquid crystal films

We present a study of the effects of nanoconfinement on a system of hard Gaussian overlap particles interacting with planar substrates through the hard-needle-wall potential, extending earlier work by two of us [D. J. Cleaver and P. I. C. Teixeira, Chem. Phys. Lett. 338, 1 (2001)]. Here, we consider the case of hybrid films, where one of the substrates induces strongly homeotropic anchoring, while the other favors either weakly homeotropic or planar anchoring. These systems are investigated using both Monte Carlo simulation and density-functional theory, the latter implemented at the level of Onsager's second-virial approximation with Parsons-Lee rescaling. The orientational structure is found to change either continuously or discontinuously depending on substrate separation, in agreement with earlier predictions by others. The theory is seen to perform well in spite of its simplicity, predicting the positional and orientational structure seen in simulations even for small particle elongations.

Domesticating portuguese television

This chapter discusses the role of television within Portuguese family life. In particular, it examines how the domestication of television within the home is influenced by the social context in which different types of families live. The research is framed around the theory of domestication and based on 50 semi-structured interviews.1 “Domestication” is the process by which the household and its surroundings (both private and the public), together with the moral and formal or objective economy, are related to each other and become mutually constitutive (Silverstone, Hirsch and Morley 1999). The metaphor of “domestication” originally comes from the taming of wild animals, but has been usefully applied to the “domestication” of information communication technology (ICT), including television, within the home. Silverstone et al. (1999) have developed a range of concepts to capture this process, of which the best known are: “appropriation”, “objectification”, “incorporation” and “conversion”. These categories describe how the entry of ICT into the home is managed; how artefacts are physically (and symbolically) placed within the home; how they are adapted into everyday routines; and how they are displayed to others (Haddon 2007, 26). These four key concepts will be used in this chapter to discuss the importance of television within Portugal as an example of a small country in which there has been little research using this particular theoretical approach. Most studies on Portuguese television have focused on televisual history or come from research into trends in television consumption. The domestication theory is a holistic framework, useful to explain the meaning of television in Portuguese homes in all the stages of its presence in daily life. This forms part of a larger international project entitled Digital Inclusion and Participation: Comparing the Trajectories of Digital Media Use by Majority and Disadvantage Groups in Portugal and in the USA (UT Austin/Portugal Program).

Fractional order control on a wind turbine benchmark

This paper is about a hierarchical structure with an event-based supervisor in a higher level and a fractional-order proportional integral (FOPI) in a lower level applied to a wind turbine. The event-based supervisor analyzes the operation conditions to determine the state of the wind turbine. This controller operate in the full load region and the main objective is to capture maximum power generation while ensuring the performance and reliability required for a wind turbine to be integrated into an electric grid. The main contribution focus on the use of fractional-order proportional integral controller which benefits from the introduction of one more tuning parameter, the integral fractional-order, taking advantage over integer order proportional integral (PI) controller. Comparisons between fractional-order pitch control and a default proportional integral pitch controller applied to a wind turbine benchmark are given and simulation results by Matlab/Simulink are shown in order to prove the effectiveness of the proposed approach.

Fractional order control on a wind turbine benchmark

This paper is about a hierarchical structure with an event-based supervisor in a higher level and a fractional-order proportional integral (FOPI) in a lower level applied to a wind turbine. The event-based supervisor analyzes the operation conditions to determine the state of the wind turbine. This controller operate in the full load region and the main objective is to capture maximum power generation while ensuring the performance and reliability required for a wind turbine to be integrated into an electric grid. The main contribution focus on the use of fractional-order proportional integral controller which benefits from the introduction of one more tuning parameter, the integral fractional-order, taking advantage over integer order proportional integral (PI) controller. Comparisons between fractional-order pitch control and a default proportional integral pitch controller applied to a wind turbine benchmark are given and simulation results by Matlab/Simulink are shown in order to prove the effectiveness of the proposed approach.

On lattices from combinatorial game theory modularity and a representation theorem: finite case

We show that a self-generated set of combinatorial games, S. may not be hereditarily closed but, strong self-generation and hereditary closure are equivalent in the universe of short games. In [13], the question "Is there a set which will give a non-distributive but modular lattice?" appears. A useful necessary condition for the existence of a finite non-distributive modular L(S) is proved. We show the existence of S such that L(S) is modular and not distributive, exhibiting the first known example. More, we prove a Representation Theorem with Games that allows the generation of all finite lattices in game context. Finally, a computational tool for drawing lattices of games is presented. (C) 2014 Elsevier B.V. All rights reserved.

Theory and phenomenology of two-higgs-doublet models

We discuss theoretical and phenomenological aspects of two-Higgs-doublet extensions of the Standard Model. In general, these extensions have scalar mediated flavour changing neutral currents which are strongly constrained by experiment. Various strategies are discussed to control these flavour changing scalar currents and their phenomenological consequences are analysed. In particular, scenarios with natural flavour conservation are investigated, including the so-called type I and type II models as well as lepton-specific and inert models. Type III models are then discussed, where scalar flavour changing neutral currents are present at tree level, but are suppressed by either a specific ansatz for the Yukawa couplings or by the introduction of family symmetries leading to a natural suppression mechanism. We also consider the phenomenology of charged scalars in these models. Next we turn to the role of symmetries in the scalar sector. We discuss the six symmetry-constrained scalar potentials and their extension into the fermion sector. The vacuum structure of the scalar potential is analysed, including a study of the vacuum stability conditions on the potential and the renormalization-group improvement of these conditions is also presented. The stability of the tree level minimum of the scalar potential in connection with electric charge conservation and its behaviour under CP is analysed. The question of CP violation is addressed in detail, including the cases of explicit CP violation and spontaneous CP violation. We present a detailed study of weak basis invariants which are odd under CP. These invariants allow for the possibility of studying the CP properties of any two-Higgs-doublet model in an arbitrary Higgs basis. A careful study of spontaneous CP violation is presented, including an analysis of the conditions which have to be satisfied in order for a vacuum to violate CP. We present minimal models of CP violation where the vacuum phase is sufficient to generate a complex CKM matrix, which is at present a requirement for any realistic model of spontaneous CP violation.

Choosing amine-based absorbents for CO2 capture

CO2 capture from gaseous effluents is one of the great challenges faced by chemical and environmental engineers, as the increase in CO2 levels in the Earth atmosphere might be responsible for dramatic climate changes. From the existing capture technologies, the only proven and mature technology is chemical absorption using aqueous amine solutions. However, bearing in mind that this process is somewhat expensive, it is important to choose the most efficient and, at the same time, the least expensive solvents. For this purpose, a pilot test facility was assembled and includes an absorption column, as well as a stripping column, a heat exchanger between the two columns, a reboiler for the stripping column, pumping systems, surge tanks and all necessary instrumentation and control systems. Some different aquous amine solutions were tested on this facility and it was found that, from a set of six tested amines, diethanol amine is the one that turned out to be the most economical choice, as it showed a higher CO2 loading capacity (0.982 mol of CO2 per mol of amine) and the lowest price per litre (25.70 ¤/L), even when compared with monoethanolamine, the benchmark solvent, exhibiting a price per litre of 30.50 ¤/L.

Generalization of Wertheim's theory for the assembly of various types of rings

We generalize Wertheim's first order perturbation theory to account for the effect in the thermodynamics of the self-assembly of rings characterized by two energy scales. The theory is applied to a lattice model of patchy particles and tested against Monte Carlo simulations on a fcc lattice. These particles have 2 patches of type A and 10 patches of type B, which may form bonds AA or AB that decrease the energy by epsilon(AA) and by epsilon(AB) = r epsilon(AA), respectively. The angle theta between the 2 A-patches on each particle is fixed at 601, 90 degrees or 120 degrees. For values of r below 1/2 and above a threshold r(th)(theta) the models exhibit a phase diagram with two critical points. Both theory and simulation predict that rth increases when theta decreases. We show that the mechanism that prevents phase separation for models with decreasing values of theta is related to the formation of loops containing AB bonds. Moreover, we show that by including the free energy of B-rings ( loops containing one AB bond), the theory describes the trends observed in the simulation results, but that for the lowest values of theta, the theoretical description deteriorates due to the increasing number of loops containing more than one AB bond.