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).

A comparative study of alternative approaches for common factors identification

Preliminary version

Development of TNBS-induced colitis: animal model to test new pharmacological approaches

IBD is a gastro-intestinal disorder marked with chronic inflammation of intestinal epithelium, damaging mucosal tissue and manifests into several intestinal and extra-intestinal symptoms. Currently used medical therapy is able to induce and maintain the patient in remission, however no modifies or reverses the underlying pathogenic mechanism. The research of other medical approaches is crucial to the treatment of IBD and, for this, it´s important to use animal models to mimic the characteristics of disease in real life. The aim of the study is to develop an animal model of TNBS-induced colitis to test new pharmacological approaches. TNBS was instilled intracolonic single dose as described by Morris et al. It was administered 2,5% TNBS in 50% ethanol through a catheter carefully inserted into the colon. Mice were kept in a Tredelenburg position to avoid reflux. On day 4 and 7, the animals were sacrificed by cervical dislocation. The induction was confirmed based on clinical symptoms/signs, ALP determination and histopathological analysis. At day 4, TNBS group presented a decreased body weight and an alteration of intestinal motility characterized by diarrhea, severe edema of the anus and moderate morbidity, while in the two control groups weren’t identified any alteration on the clinical symptoms/signs with an increase of the body weight. TNBS group presented the highest concentrations of ALP comparing with control groups. The histopathology analysis revealed severe necrosis of the mucosa with widespread necrosis of the intestinal glands. Severe hemorrhagic and purulent exsudates were observed in the submucosa, muscular and serosa. TNBS group presented clinical symptoms/signs and histopathological features compatible with a correct induction of UC. The peak of manifestations became maximal at day 4 after induction. This study allows concluding that it’s possible to develop a TNBS induced colitis 4 days after instillation.

Incremental filter and wrapper approaches for feature discretization

Discrete data representations are necessary, or at least convenient, in many machine learning problems. While feature selection (FS) techniques aim at finding relevant subsets of features, the goal of feature discretization (FD) is to find concise (quantized) data representations, adequate for the learning task at hand. In this paper, we propose two incremental methods for FD. The first method belongs to the filter family, in which the quality of the discretization is assessed by a (supervised or unsupervised) relevance criterion. The second method is a wrapper, where discretized features are assessed using a classifier. Both methods can be coupled with any static (unsupervised or supervised) discretization procedure and can be used to perform FS as pre-processing or post-processing stages. The proposed methods attain efficient representations suitable for binary and multi-class problems with different types of data, being competitive with existing methods. Moreover, using well-known FS methods with the features discretized by our techniques leads to better accuracy than with the features discretized by other methods or with the original features. (C) 2013 Elsevier B.V. All rights reserved.

Approaches to tuberculosis mucosal vaccine development using nanoparticles and microparticles: a review

Next-generation vaccines for tuberculosis should be designed to prevent the infection and to achieve sterile eradication of Mycobacterium tuberculosis. Mucosal vaccination is a needle-free vaccine strategy that provides protective immunity against pathogenic bacteria and viruses in both mucosal and systemic compartments, being a promising alternative to current tuberculosis vaccines. Micro and nanoparticles have shown great potential as delivery systems for mucosal vaccines. In this review, the immunological principles underlying mucosal vaccine development will be discussed, and the application of mucosal adjuvants and delivery systems to the enhancement of protective immune responses at mucosal surfaces will be reviewed, in particular those envisioned for oral and nasal routes of administration. An overview of the essential vaccine candidates for tuberculosis in clinical trials will be provided, with special emphasis on the potential different antigens and immunization regimens.

Robot visual localization through local feature fusion: an evaluation of multiple classifiers combination approaches

In the last decade, local image features have been widely used in robot visual localization. In order to assess image similarity, a strategy exploiting these features compares raw descriptors extracted from the current image with those in the models of places. This paper addresses the ensuing step in this process, where a combining function must be used to aggregate results and assign each place a score. Casting the problem in the multiple classifier systems framework, in this paper we compare several candidate combiners with respect to their performance in the visual localization task. For this evaluation, we selected the most popular methods in the class of non-trained combiners, namely the sum rule and product rule. A deeper insight into the potential of these combiners is provided through a discriminativity analysis involving the algebraic rules and two extensions of these methods: the threshold, as well as the weighted modifications. In addition, a voting method, previously used in robot visual localization, is assessed. Furthermore, we address the process of constructing a model of the environment by describing how the model granularity impacts upon performance. All combiners are tested on a visual localization task, carried out on a public dataset. It is experimentally demonstrated that the sum rule extensions globally achieve the best performance, confirming the general agreement on the robustness of this rule in other classification problems. The voting method, whilst competitive with the product rule in its standard form, is shown to be outperformed by its modified versions.