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).

Modalidades síncronas e assíncronas no ensino da radiologia do sistema nervoso: estilos e resultados de aprendizagem

Lidar com as problemáticas da saúde, implica um domínio dos processos cognitivos (raciocínio, resolução de problemas e tomada de decisão) e de desempenhos práticos, o que obriga a afectação de um conjunto de atitudes e comportamentos específicos. Este estudo, implementou e avaliou o impacto de experiências pedagógicas desenvolvidas com os estudantes da unidade curricular Radiologia do Sistema Nervoso (RSN) da Escola Superior de Tecnologia da Saúde de Lisboa (ESTeSL). Aplicaram-se metodologias de ensino mistas (presenciais e virtuais) utilizadas na leccionação teórica e prática no ano curricular 2008/2009. Para a avaliação do perfil de aprendizagem dos estudantes foi aplicado o método de Honey & Munford e para a avaliação e monitorização dos conhecimentos aplicaram-se check list baseadas nos conteúdos programáticos. A monitorização das ferramentas da plataforma moodle complementaram a restante informação. Verificou-se uma progressão de aprendizagem positiva para um grupo de estudantes maioritariamente do estilo reflexivo (média=10,6 estudantes). As conclusões apontaram para um impacto positivo quanto à aplicação das metodologias híbridas com maior índice de sucesso para a metodologia assíncrona. Verificou-se também mais flexibilidade no acesso aos conteúdos porém com algumas limitações tais como residência inicial por parte dos estudantes, maior carga de trabalho para os docentes, falta de terminais para acesso à plataforma e pouca experiência de todos os envolvidos no domínio e manipulação da plataforma. ABSTRACT - This study focused on the role of cognitive processes (reasoning, problem solving and decision making) and performance practice in the formation of attitudes and behaviours relating to health issues. It was conducted to evaluate the effects of pedagogical experiences on students who participated in the course in radiography in the Nervous System Imaging Unit (RSN) of the Lisbon Health School of Technology. Mixed (face-to-face and virtual) teaching methodologies were used in theory and practice sessions. Honey and Munford’s method was used to evaluate the learning profile of students. To monitor and evaluate students’ knowledge acquisition, check lists based on program topics were applied. Other information was supplied through the learning platform of Moodle. The student group with mostly a reflective learning style increased their knowledge. The asynchronous method was shown to produce a higher success rate and more flexibility in accessing content but also registered some limitations such as resistance by students, increased workload for teachers, lack of access to the platform and inexperience of all involved in handling the platform.

Parental cognitive dimensions associated with preschool children’s eating habits: an intervention study

Childhood excessive weight and obesity are a major public health concern from early childhood. Early childhood is an important period of development for developing healthy eating habits, that may be associated with an adequate present/future BMI. There is extensive evidence that children’s food intake is shaped by early experiences, suggesting ways in which parenting practices may be promoting obesity. But what leads parents to endorse healthier or detrimental educational practices and routines needs further study. 1. Perception of children’s weight: parents of overweight or obese children often fail to correctly perceive their children as overweight; failing to recognize their children’s excessive weight may impeach parents from implementing the best educational practices. 2. Concern: relation between the adequacy of mothers perception of their children’s weight and the level of concern - parental concern is be associated with parental practices. 3. Attribution of control: also, if parents do not consider their children’s eating behavior at least partially controllable by them, they may relinquish some of their responsibility in this area. Self-efficacy: evidence linking parental self-efficacy to parent competence and to parenting practices and behaviors; low parental self-efficacy related to the control of everyday behavior of young children may lead parents to abandon more consistent health practices and endorse permissive and inconsistent strategies. We designed 2 sequential studies that aim to contribute to the understanding of cognitive determinants of children’s eating patterns.

What parental cognitive dimensions are important to understand children’s eating habits?

Obesidade é uma preocupação de saúde pública. Objetivos OMS - Redução a zero da taxa de crescimento da obesidade e uma redução em 10% na prevalência de atividade física insuficiente. Em Portugal, os estudos de prevalência apontam para valores entre 24% e os 34% de crianças e jovens pré-obesos e obesos. Extensa confirmação da obesidade infantil como preditor da obesidade na idade adulta. Em alguns países há indicadores de que a taxa de obesidade infantil começa a ter uma ligeira diminuição, provavelmente fruto de intervenções no macrosistema. Necessidade de intervenção direta nos microssistemas familiar e escolar da criança para uma intervenção mais abrangente e eficaz. Existe um ampla confirmação da influência parental nos comportamentos alimentares da criança. Os comportamentais parentais relacionados com a alimentação da criança são influenciados por variáveis cognitivas parentais. A maioria dos pais de crianças com excesso de peso subavalia o peso do seu filho, mas não de outras crianças. Os pais das crianças pré-escolares distorcem mais o peso do que os pais de crianças mais velhas. Os pais com uma perceção correta utilizam mais estratégias de restrição alimentar.

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.

Novas perspetivas sobre as identidades de classe

Há mais de uma década começou a formar-se um movimento de reconversão nos estudos sobre as classes sociais, orientado pela ideia de que é preciso dar mais relevo aos processos culturais, à formação de identidades, ao gosto e à expressão de modos de vida e proceder ao exame direto da maneira como as posições de classe são vividas. Nesta perspetiva, as culturas de classe deixam de designar apenas tipos de comportamento próprios de grupos de desigualdade e passam a ser vistas também como modos de diferenciação, em que as categorias de classe operam através de distinções individualizadas e comparações relacionais com membros de outras classes. O que o conceito de identidade de classe quer agora indicar é um sentido das distâncias sociais dentro das hierarquias, que recorre às diferenças culturais para se exprimir. Este texto recenseia os desenvolvimentos teóricos e as bases empíricas desta linha de trabalho, emergente na sociologia britânica a partir do final da década de 90, com as propostas de autores como Savage, Skeggs, Reay, ou Bottero, entre outros.

Relatório de estágio

I (Prática Pedagógica)- No que se refere à secção da tese dedicada ao estágio, esta pretende desenvolver uma síntese do que se passou ao longo deste ano lectivo. Durante o ano lectivo 2012/2013, tive a oportunidade de assistir a aulas ministradas pela professora Ana Valente. A tese procura focar variados aspectos das aulas a que assisti. De uma forma geral, o relatório do estágio evidencia vários aspectos: metodologias de ensino, questões motivacionais, relação aluno/professor, questões de disciplina, entre outras. No decorrer das aulas, foi possível constatar muitas dessas questões na prática. Tentei registar as actividades desenvolvidas nas aulas relativas a várias questões, nomeadamente questões relacionadas com a prática do instrumento, assim como outras relacionadas com a noção de musicalidade. Como resultado, esta secção apresenta diversos tipos de estratégias de ensino, ilustrando exemplos práticos que efectivamente se passaram nas aulas. É essencialmente, uma secção dedicada à reflexão sobre metodologias de ensino e estudo. A segunda parte desta secção é relativa à análise das gravações das aulas dadas por mim e pretende sobretudo focar-se na crítica pessoal. É uma parte importante do estágio, em que tenho a oportunidade de observar a minha forma pedagógica de lidar com os alunos. Por fim, a terceira parte do relatório refere-se à observação crítica da abordagem da professora tendo por base o meu ponto de vista. Esta parte pretende essencialmente descrever e analisar a forma como a professora dá as aulas. Com base no que disse anteriormente, esta parte do trabalho mostra mais em detalhe as metodologias e estratégias de ensino utilizadas pela professora em questão. De um modo geral, esta secção pretende descrever as três vertentes que mencionei anteriormente (relatório das aulas, análise das gravações, observação crítica ao método pedagógico da professora).

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.

El conservadurismo, el secreto y las opciones de financiación de las pyme portuguesas

Doutoramento em Economia Financeira e Contabilidade

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.