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-SiH p-i-n structures with extreme i-layer thickness

We present measurements and numerical simulation of a-Si:H p-i-n detectors with a wide range of intrinsic layer thickness between 2 and 10 pm. Such a large active layer thickness is required in applications like elementary particle detectors or X-ray detectors. For large thickness and depending on the applied bias, we observe a sharp peak in the spectral response in the red region near 700 nm. Simulation results obtained with the program ASCA are in agreement with the measurement and permit the explanation of the experimental data. In thick samples holes recombine or are trapped before reaching the contacts, and the conduction mechanism is fully electron dominated. As a consequence, the peak position in the spectral response is located near the optical band gap of the a-Si:H i-layer. (C) 2009 Elsevier B.V. All rights reserved.

Projecto de execução de fundações e estruturas de uma ponte em betão armado pré-esforçado

Este Trabalho refere-se ao Projecto de Execução de Fundações e Estruturas de uma Ponte Rodoviária em betão armado pré-esforçado, realizado no âmbito do Trabalho Final de Mestrado em Engenharia Civil – Especialização em Estruturas, do Instituto Superior de Engenharia de Lisboa. O Projecto de Execução é composto de Peças Escritas e Peças Desenhadas. Nas Peças Escritas estão incluídos: Memória Justificativa e Descritiva; Cálculos Justificativos e Anexos. A ponte é composta por dois tabuleiros paralelos com 10,28m de largura cada um e afastados entre si de 0,10m. A obra é constituída de 8 tramos; os tramos correntes com 31m de comprimento e os tramos extremos com 25 e 20m de comprimento, perfazendo um comprimento total de 231m. A obra foi parcialmente isolada dos sismos pela introdução, em todos os pilares, de aparelhos de apoio de elevado amortecimento sísmico do tipo HDRB (High Damping Rubber Bearings). Encontram-se particularmente discriminadas e detalhadas neste projecto as seguintes situações: - Cálculo do Pré-esforço e respectivas perdas; - Acção das sobrecargas rodoviárias; - Diferença de comportamento da obra na entrada em serviço e no longo prazo; - Análise sísmica e do isolamento sísmico; - Estudo dos efeitos diferidos: retracção e fluência. Tendo as abordagens de cálculo e as verificações de segurança seguido a regulamentação nacional em vigor, nomeadamente RSA e REBAP, foi no entanto feita uma aproximação às regras do “Capacity Design” previstas no EC8, em que se privilegia a actuação do projectista sobre o comportamento da estrutura, procurando uma resposta não linear da mesma, visando garantir que: - A rotura não ocorrerá nos elementos de fundação; - Nos pilares a dissipação de energia se faz através de rótulas plásticas, evitando-se roturas associadas a esforços transversos. A aplicação destas regras neste Projecto demonstrou haver um agravamento substancial na definição dos esforços a que devem resistir alguns dos componentes da estrutura, designadamente os pilares e as fundações, originando soluções de secções de betão e armaduras bem mais exigentes do que aqueles que resultariam da simples verificação de segurança, pela comparação entre esforços actuante e esforços resistentes “secção a secção”, imposta pela actual regulamentação nacional.

Open and closed positions and stock index futures volatility

In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that day-traders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it.

Trying To understand all-equity firms

This paper studies all equity firms and shows which are in US firms, the main drivers of zero-debt policy. I analyze 6763 U.S. listed companies in years 1987-2009, a total of 77442 firms year. I find that financial constrained firms show a higher probability to become unlevered. In the opposite side, firms producing high cash flow are also likely to become unlevered, paying their debt. Some firms create economies of scale in the use of funds, increasing the probability of become unlevered. The industry characteristics are also important to explain the zero-debt policy. However is the high perception of risk, the most important factor influencing this extreme behavior, which is consistent with trade-off theory.

Síndroma dos edifícios doentes: estudo da qualidade do ar interior e despiste da eventual existência de SED entre a população do edifício “E” de um estabelecimento de ensino superior

Mestrado em Segurança e Higiene no Trabalho.

Boulder deposition during major tsunami events

A remarkable accumulation of marine boulders located above the present spring tide level has occurred in two coastal lowlands of the Algarve (Portugal). The size-interval of the particles studied here is seldom reported in the literature in association with extreme events of coastal inundation, thus making this study of relevance to many other coasts worldwide. The spreads of boulders extend several hundred meters inland and well beyond the present landward limit of storm activity. The marine origin of the boulders is demonstrated by well-developed macro-bioerosion sculpturing and in situ skeletal remains of endolithic shallow marine bivalves. The good state preservation of the fossils within the boulders indicates that abrasion duringtransport and redeposition was not significant. We envisage boulder deposition as having taken place during the Lisbon tsunami of ad 1755 through the simultaneous landward entrainment of coarse particles from nearshore followed by rapid shoreward suspended-dominated transport and non-graded redeposition that excluded significant sorting by weight or boulder dimensions. We use numerical hydrodynamic modeling of tsunami (and storm) waves to test the observational data on boulder dimensions (density, size, distribution) on the most likely processes of sediment deposition. This work demonstrates the effectiveness of the study of boulder deposits in tsunami reconstruction. Copyright (C) 2011 John Wiley & Sons, Ltd.

Photodiode with nanocrystalline Si/amorphous Si absorber bilayer

This letter reports a near-ultraviolet/visible/near-infrared n(+)-n-i-delta(i)-p photodiode with an absorber comprising a nanocrystalline silicon n layer and a hydrogenated amorphous silicon i layer. Device modeling reveals that the dominant source of reverse dark current is deep defect states in the n layer, and its magnitude is controlled by the i layer thickness. The photodiode with the 900/400 nm thick n-i layers exhibits a reverse dark current density of 3nA/cm(2) at -1V. Donor concentration and diffusion length of holes in the n layer are estimated from the capacitance-voltage characteristics and from the bias dependence of long-wavelength response, respectively. (C) 2011 American Institute of Physics. [doi: 10.1063/1.3660725]

Structural characterization and immunogenicity in wild-type and immune tolerant mice of degraded recombinant human interferon Alpha2b

Purpose: This study was conducted to study the influence of protein structure on the immunogenicity in wild-type and immune tolerant mice of well-characterized degradation products of recombinant human interferon alpha2b (rhIFNα2b). Methods: RhIFNα2b was degraded by metal-catalyzed oxidation (M), cross-linking with glutaraldehyde (G), oxidation with hydrogen peroxide (H), and incubation in a boiling water bath (B). The products were characterized with UV absorption, circular dichroism and fluorescence spectroscopy, gel permeation chromatography, reverse-phase high-pressure liquid chromatography, sodium dodecyl sulfate polyacrylamide gel electrophoresis, Western blotting, and mass spectrometry. The immunogenicity of the products was evaluated in wild-type mice and in transgenic mice immune tolerant for hIFNα2. Serum antibodies were detected by enzyme-linked immunosorbent assay or surface plasmon resonance. Results: M-rhIFNα2b contained covalently aggregated rhIFNα2b with three methionines partly oxidized to methionine sulfoxides. G-rhIFNα2b contained covalent aggregates and did not show changes in secondary structure. H-rhIFNα2b was only chemically changed with four partly oxidized methionines. B-rhIFNα2b was largely unfolded and heavily aggregated. Nontreated (N) rhIFNα2b was immunogenic in the wild-type mice but not in the transgenic mice, showing that the latter were immune tolerant for rhIFNα2b. The anti-rhIFNα2b antibody levels in the wild-type mice depended on the degradation product: M-rhIFNα2b > H-rhIFNα2b ∼ N-rhIFNα2b ≫ B-rhIFNα2b; G-rhIFNα2b did not induce anti-rhIFNα2b antibodies. In the transgenic mice, only M-rhIFNα2b could break the immune tolerance. Conclusions: RhIFNα2b immunogenicity is related to its structural integrity. Moreover, the immunogenicity of aggregated rhIFNα2b depends on the structure and orientation of the constituent protein molecules and/or on the aggregate size.

Certificação de um troço de via alvo de ataque mecânico pesado

Qualidade é a palavra de ordem pelo qual se regem todos os processos e intervenções da REFER (Rede Ferroviária Nacional). Com a evolução de requisitos exigidos pelo transporte em caminho de ferro, há que procurar sempre as últimas inovações, para que a circulação se faça sempre com maior segurança e comodidade, dando aos utilizadores deste tipo transporte uma qualidade extrema. Nos últimos anos esses requisitos tornaram-se cada vez mais exigentes, pois as condições de circulação aumentam tais como a prática de maiores velocidades, tonelagem e frequência das composições, o que leva a um maior rigor nos processos construtivos e conservativos das vias. A REFER, depois de grandes investimentos em novas infraestruturas ferroviárias, detém agora um decisivo e importante papel na resolução das problemáticas que emergem, apostando sempre em tecnologia de ponta para que possa desenvolver um trabalho de conservação que satisfaça todas as necessidades exigidas. Este trabalho desenvolver-se-á nesta ótica de conservação e manutenção, acompanhando todo um processo específico de ataque mecânico pesado, até à sua certificação. A análise dos vários processos caracterizará a exigência referida na manutenção, principalmente da via moderna, onde a fasquia de requisitos é mais elevada.

Comparação do cálculo de dose com os algoritmos Analytical Anisotropic Algorithm e Pencil Beam Convolution na patologia de pulmão

Mestrado em Radioterapia.

Three-dimensional patchy lattice model for empty fluids

The phase diagram of a simple model with two patches of type A and ten patches of type B (2A10B) on the face centred cubic lattice has been calculated by simulations and theory. Assuming that there is no interaction between the B patches the behavior of the system can be described in terms of the ratio of the AB and AA interactions, r. Our results show that, similarly to what happens for related off-lattice and two-dimensional lattice models, the liquid-vapor phase equilibria exhibit reentrant behavior for some values of the interaction parameters. However, for the model studied here the liquid-vapor phase equilibria occur for values of r lower than 1/3, a threshold value which was previously thought to be universal for 2AnB models. In addition, the theory predicts that below r = 1/3 (and above a new condensation threshold which is < 1/3) the reentrant liquid-vapor equilibria are so extreme that it exhibits a closed loop with a lower critical point, a very unusual behavior in single-component systems. An order-disorder transition is also observed at higher densities than the liquid-vapor equilibria, which shows that the liquid-vapor reentrancy occurs in an equilibrium region of the phase diagram. These findings may have implications in the understanding of the condensation of dipolar hard spheres given the analogy between that system and the 2AnB models considered here. (C) 2012 American Institute of Physics. [http://dx.doi.org/10.1063/1.4771591]

An Extension of Gompertzian Growth Dynamics Weibull and Frechet Models

In this work a new probabilistic and dynamical approach to an extension of the Gompertz law is proposed. A generalized family of probability density functions, designated by Beta* (p, q), which is proportional to the right hand side of the Tsoularis-Wallace model, is studied. In particular, for p = 2, the investigation is extended to the extreme value models of Weibull and Frechet type. These models, described by differential equations, are proportional to the hyper-Gompertz growth model. It is proved that the Beta* (2, q) densities are a power of betas mixture, and that its dynamics are determined by a non-linear coupling of probabilities. The dynamical analysis is performed using techniques of symbolic dynamics and the system complexity is measured using topological entropy. Generally, the natural history of a malignant tumour is reflected through bifurcation diagrams, in which are identified regions of regression, stability, bifurcation, chaos and terminus.

Qualidade de vida das famílias de crianças com surdez: avaliação na perspectiva das famílias

Dissertação apresentada à Escola Superior de Educação de Lisboa para obtenção do grau de mestre em Ciências da Educação - Especialidade Educação Especial

Análise de risco em organizações: caso de estudo

Dissertação Final de Mestrado para obtenção do grau de Mestre em Engenharia Mecânica no perfil de Manutenção e Produção