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).

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.

Cobalt complexes with pyrazole ligands as catalyst precursors for the peroxidative oxidation of cyclohexane: Z-ray absorption spectroscopy studies and biological applications

[CoCl(-Cl)(Hpz(Ph))(3)](2) (1) and [CoCl2(Hpz(Ph))(4)] (2) were obtained by reaction of CoCl2 with HC(pz(Ph))(3) and Hpz(Ph), respectively (Hpz(Ph)=3-phenylpyrazole). The compounds were isolated as air-stable solids and fully characterized by IR and far-IR spectroscopy, MS(ESI+/-), elemental analysis, cyclic voltammetry (CV), controlled potential electrolysis, and single-crystal X-ray diffraction. Electrochemical studies showed that 1 and 2 undergo single-electron irreversible (CoCoIII)-Co-II oxidations and (CoCoI)-Co-II reductions at potentials measured by CV, which also allowed, in the case of dinuclear complex 1, the detection of electronic communication between the Co centers through the chloride bridging ligands. The electrochemical behavior of models of 1 and 2 were also investigated by density functional theory (DFT) methods, which indicated that the vertical oxidation of 1 and 2 (that before structural relaxation) affects mostly the chloride and pyrazolyl ligands, whereas adiabatic oxidation (that after the geometry relaxation) and reduction are mostly metal centered. Compounds 1 and 2 and, for comparative purposes, other related scorpionate and pyrazole cobalt complexes, exhibit catalytic activity for the peroxidative oxidation of cyclohexane to cyclohexanol and cyclohexanone under mild conditions (room temperature, aqueous H2O2). Insitu X-ray absorption spectroscopy studies indicated that the species derived from complexes 1 and 2 during the oxidation of cyclohexane (i.e., Ox-1 and Ox-2, respectively) are analogous and contain a Co-III site. Complex 2 showed low invitro cytotoxicity toward the HCT116 colorectal carcinoma and MCF7 breast adenocarcinoma cell lines.

NiII, CuII and ZnII complexes with a sterically hindered scorpionate ligand (TpmsPh) and catalytic application in the diasteroselective nitroaldol (Henry) reaction

The Ni-II and Zn-II complexes [MCl(Tpms(Ph))] (Tpms(Ph) = SO3C(pz(Ph))(3), pz = pyrazolyl; M = Ni 2 or Zn 3) and the Cu-II complex [CuCl(Tpms(Ph))(H2O)] (4) have been prepared by treatment of the lithium salt of the sterically demanding and coordination flexible tris(3-phenyl-1-pyrazolyl)methanesulfonate (Tpms(Ph))(-) (1) with the respective metal chlorides. The (Tpms(Ph))(-) ligand shows the N-3 or N2O coordination modes in 2 and 3 or in 4, respectively. Upon reaction of 2 and 3 with Ag(CF3SO3) in acetonitrile the complexes [M(Tpms(Ph))-(MeCN)](CF3SO3) (M = Ni 5 or Zn 6, respectively) were formed. The compounds were obtained in good yields and characterized by analytic and spectral (IR, H-1 and C-13{H-1} NMR, ESI-MS) data, density functional theory (DFT) methods and {for 4 and [(Bu4N)-Bu-n](Tpms(Ph)) (7), the tatter obtained upon Li+ replacement by [(Bu4N)-Bu-n](+) in Li(Tpms(Ph))} by single crystal X-ray diffraction analysis. The Zn-II and Cu-II complexes (3 and 4, respectively) act as efficient catalyst precursors for the diastereoselective nitroaldol reaction of benzaldehydes and nitroethane to the corresponding beta-nitroalkanols (up to 99% yield, at room temperature) with diastereoselectivity towards the formation of the anti isomer, whereas the Ni-II complex 2 only shows a modest catalytic activity.

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.

Redox-active cytotoxic diorganotin(IV) cycloalkylhydroxamate complexes with different ring sizes: Reduction behaviour and theoretical interpretation

Two series of new diorganotin(IV) cycloalkylhydroxamate complexes with different ring sizes (cyclopropyl, cyclobutyl, cyclopentyl and cyclohexyl), formulated as the mononuclear [R2Sn(HL)(2)] (1:2) (a, R=Bu-n and Ph) and the polymeric [R2SnL](n) (1:1) (b, R=Bu-n) compounds, were prepared and fully characterized. Single crystal X-ray diffraction for [(Bu2Sn)-Bu-n{C5H9C(O)NHO}(2)] (3a) discloses the cis geometry and strong intermolecular NH center dot center dot center dot O interactions. The in vitro cytotoxic activities of the complexes were evaluated against HL-60, Bel-7402, BGC-823 and KB human tumour cell lines, the greater activity concerning [(Bu2Sn)-Bu-n(HL)(2)] [HL=C3H5C(O)NHO (1a), C6H11C(O)NHO (4a)] towards BGC-823. The complexes undergo, by cyclic voltammetry and controlled-potential electrolysis, one irreversible overall two-electron cathodic process at a reduction potential that does not appear to correlate with the antitumour activity. The electrochemical behaviour of [R2Sn(C5H9C(O)NHO)(2)] [R=Bu-n (3a), Ph (7a)] was also investigated using density functional theory (DFT) methods, showing that the ultimate complex structure and the mechanism of its formation are R dependent: for the aromatic (R = Ph) complex, the initial reduction step is centred on the phenyl ligands and at the metal, being followed by a second reduction with Sn-O and Sn-C ruptures, whereas for the alkyl (R=Bu-n) complex the first reduction step is centred on one of the hydroxamate ligands and is followed by a second reduction with Sn-O bond cleavages and preservation of the alkyl ligands. In both cases, the final complexes are highly coordinative unsaturated Sn-II species with the cis geometry, features that can be of biological significance.

Synthesis of organometallic Ruthenium(II) complexes with strong activity against several human canceer cell lines

A new family of "RuCp" (Cp=eta(5)-C5H5) derivatives with bidentate N,O and N,N'-heteroaromatic ligands revealed outstanding cytotoxic properties against several human cell lines namely, A2780, A2780CisR, HT29, MCF7, MDAMB231, and PD. IC50 values were much lower than those found for cisplatin. Crystal structure of compound 4 was determined by X-ray diffraction studies. Density functional theory (DFT) calculations performed for compound 1 showed electronic flow from the ruthenium center to the coordinated bidentate ligand, in agreement with the electrochemical studies and the existence of a metal-to-ligand charge-transfer (MLCT) band evidenced by spectroscopic data.

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.

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.