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).

Corporeidade e fisicidade : o treinamento do clown enquanto instrumental técnico e artístico na formação do ator

A presente dissertação configurou-se no estudo dos procedimentos metodológicos de treinamento e elaboração do clown: uma reflexão sobre o conceito de clown e a exposição de processos de criação e formação na prática do clown, enfocando princípios técnicos e didáticos que possam servir de orientação para o clown/aprendiz em sua formação, a partir do contato com a literatura. É possível ensinar a um ator o ofício do clown? Que princípios esse ator precisa dominar para dar início ao processo de criação e elaboração do seu clown? Do que consiste esse processo? Muitos atores ainda carregam dúvidas sobre a arte do clown, concluíram sua formação técnica e/ou acadêmica sem um mínimo contato com as teorias e práticas clownescas, ou seja, não vivenciaram um treinamento, não passaram por um processo de iniciação de elaboração e criação do clown, e não tiveram contato com práticas circenses. Despreparados e sem orientação, apostam no trabalho de “representação” de um clown, constroem “personagens clownescos”, e acabam por se tornarem pouco eficazes artisticamente, apelando para fórmulas já prontas, pré-fabricadas (piadas, estórias, personagens, gestual estereotipado). “Num primeiro olhar, poder-se-ia pensar que o clown é um personagem, e, como tal, criado por um ator que o desempenha como caricatura separada de si, submetida ao crivo e coordenação deste sujeito pensante que está por trás das ações que desenvolve (DORNELES, 2003, p. 17).” Segundo Luís Otávio Burnier (2001, p. 209): “O clown não representa, ele é. Não se trata de um personagem, ou seja, uma entidade externa a nós, mas da ampliação e dilatação dos aspectos ingênuos, puros e humanos, portanto ‘estúpidos’, do nosso próprio ser.” Muitos atores, recém formados, desejosos de aprender o ofício do clown, se matriculam em Oficinas, Workshops ou Cursos de formação. Todavia, esses contatos “provisórios” com a linguagem do clown, oferecidos como “cursos intensivos”, nem sempre garantem o crescimento pessoal, acima e além do nível profissional, ou seja, o tempo de aprendizado assegura a qualidade de um treinamento. Ainda assim, esse primeiro contato com a linguagem do clown pode representar o “pontapé inicial”, o “despertar de uma paixão” e, consequentemente, um importante acréscimo na construção desse ator. No entanto, o autoaperfeiçoamento, num treinamento específico e contínuo, seria a estratégia ideal para o entendimento do clown. Pretendemos que este material venha servir de “bússola” para nortear o ator aprendiz na busca do seu clown, e servir também de estímulo criativo e criador, para que o mesmo, a partir do contato com este estudo, se sinta em condições de se auto-gerir e dar continuidade às suas pesquisas, adaptando o que pode ser útil aos seus trabalhos pessoais. Não temos a pretenção de sugerir um “manual de trabalho” e sim, propor uma reflexão sobre o conceito de clown e expor procedimentos de criação e formação na prática do clown, enfocando princípios técnicos e didáticos que sirvam de orientação e de “trampolim” para um clown/aprendiz. Esta dissertação não pretende esgotar as reflexões acerca da temática, tampouco dar respostas ou tirar conclusões definitivas. O estudo, ora proposto, deve servir como um “primeiro olhar” para aqueles que desejarem fazer uma reflexão sobre a linguagem do clown.

Integration of biomonitoring and instrumental techniques to assess the air quality in an industrial area located in the coastal of Central Asturias, Spain

Throughout the world, epidemiological studies were established to examine the relationship between air pollution and mortality rates and adverse respiratory health effects. However, despite the years of discussion the correlation between adverse health effects and atmospheric pollution remains controversial, partly because these studies are frequently restricted to small and well-monitored areas. Monitoring air pollution is complex due to the large spatial and temporal variations of pollution phenomena, the high costs of recording instruments, and the low sampling density of a purely instrumental approach. Therefore, together with the traditional instrumental monitoring, bioindication techniques allow for the mapping of pollution effects over wide areas with a high sampling density. In this study, instrumental and biomonitoring techniques were integrated to support an epidemiological study that will be developed in an industrial area located in Gijon in the coastal of central Asturias, Spain. Three main objectives were proposed to (i) analyze temporal patterns of PM10 concentrations in order to apportion emissions sources, (ii) investigate spatial patterns of lichen conductivity to identify the impact of the studied industrial area in air quality, and (iii) establish relationships amongst lichen conductivity with some site-specific characteristics. Samples of the epiphytic lichen Parmelia sulcata were transplanted in a grid of 18 by 20 km with an industrial area in the center. Lichens were exposed for a 5-mo period starting in April 2010. After exposure, lichen samples were soaked in 18-MΩ water aimed at determination of water electrical conductivity and, consequently, lichen vitality and cell damage. A marked decreasing gradient of lichens conductivity relative to distance from the emitting sources was observed. Transplants from a sampling site proximal to the industrial area reached values 10-fold higher than levels far from it. This finding showed that lichens reacted physiologically in the polluted industrial area as evidenced by increased conductivity correlated to contamination level. The integration of temporal PM10 measurements and analysis of wind direction corroborated the importance of this industrialized region for air quality measurements and identified the relevance of traffic for the urban area.

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.

Preparação para a performance instrumental: problemáticas e estratégias: relatório de estágio

Resumo I (Prática Pedagógica) - Nesta seção do relatório de estágio pretende-se caraterizar e apresentar todos os elementos referentes à prática pedagógica, que fizeram parte do estágio do ensino especializado da música, realizado na Escola de Música do Orfeão de Leiria no ano letivo de 2013/2014. De uma forma geral, o relatório de estágio pretende colocar em evidência aspetos pedagógicos como metodologias de ensino, questões motivacionais, estilos de aprendizagem, entre outros. Durante um ano letivo completo foram analisados, com especial atenção, três alunos que foram envolvidos no estágio, construindo e modelando os seus processos de aprendizagem. Para cada um deles foi realizado, ao longo do ano letivo, 30 planos de aula, uma planificação anual e três gravações vídeo/áudio em contexto de aula. Não foi uma tarefa nada fácil de realizar, mas que trouxe inúmeros conhecimentos não só de caráter pedagógico mas também de caráter pessoal. A parte inicial desta seção será dedicada à descrição e caraterização da escola onde foi realizado o estágio, a Escola de Música do Orfeão de Leiria/Conservatório de Artes. Será feita uma pequena abordagem histórica da instituição, bem como do seu projeto educativo, dacomunidade escolar, do seu contexto sociocultural e da classe de saxofone. Será apresentada também uma caraterização dos alunos, segundo vários parâmetros. Posteriormente, serão descritas algumas das práticas educativas desenvolvidas, com os alunos, em contexto de estágio. Para tal, serão utilizados como instrumentos, não só a experiência ativa do docente/estagiário, mas também todas as gravações, planos de aulas e planificações anuais, realizados em contexto de estágio do ensino especializado. Por fim, será realizada uma reflexão crítica do desempenho como docente de saxofone no âmbito do estágio e uma conclusão de toda a seção da prática pedagógica.

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.

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.