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).

Finite element studies of the mechanical behaviour of the diaphragm in normal and pathological cases

The diaphragm is a muscular membrane separating the abdominal and thoracic cavities, and its motion is directly linked to respiration. In this study, using data from a 59-year-old female cadaver obtained from the Visible Human Project, the diaphragm is reconstructed and, from the corresponding solid object, a shell finite element mesh is generated and used in several analyses performed with the ABAQUS 6.7 software. These analyses consider the direction of the muscle fibres and the incompressibility of the tissue. The constitutive model for the isotropic strain energy as well as the passive and active strain energy stored in the fibres is adapted from Humphrey's model for cardiac muscles. Furthermore, numerical results for the diaphragmatic floor under pressure and active contraction in normal and pathological cases are presented.

The influence of curing conditions on the mechanical performance of concrete made with recycled concrete waste

Research on the use of Construction and Demolition Waste (CDW) as recycled aggregate (in particular crushed concrete) for the production of new concrete has by now established the feasibility of this environmentally-friendly use of otherwise harmful waste. However, contrary to conventional concrete (CC), no large applications of concrete made with recycled concrete have been made and there is still a lack of knowledge in some areas of production and performance of recycled aggregate concrete (RAC). One issue concerns curing conditions: these greatly affect the performance of concrete made on site and some potential users of RAC wonder how RAC is affected by far-from-ideal curing conditions. This paper shows the main results of experiments to determine the influence of different curing conditions on the mechanical performance of concrete made with coarse recycled aggregate from crushed concrete. The properties analyzed include compressive strength, splitting tensile strength, modulus of elasticity, and abrasion resistance. The general conclusion in terms of mechanical performance is that RAC is affected by curing conditions roughly in the same way as CC. (C) 2011 Elsevier Ltd. All rights reserved.

Wind turbines equipped with fractional-order controllers: Stress on the mechanical drive train due to a converter control malfunction

This paper is on variable-speed wind turbines with permanent magnet synchronous generator (PMSG). Three different drive train mass models and three different topologies for the power-electronic converters are considered. The three different topologies considered are respectively a matrix, a two-level and a multilevel converter. A novel control strategy, based on fractional-order controllers, is proposed for the wind turbines. Simulation results are presented to illustrate the behaviour of the wind turbines during a converter control malfunction, considering the fractional-order controllers. Finally, conclusions are duly drawn. Copyright (C) 2010 John Wiley & Sons, Ltd.

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.

A remote virtual experiment in mechanical engineering

Conferência: 2nd Experiment at International Conference (Exp at)- Univ Coimbra, Coimbra, Portugal - Sep 18-20, 2013

Consolidating preservative-treated wood: Combined mechanical performance of boron and polymeric products in wood degraded by Coniophora puteana

When timber elements in heritage buildings are moderately degraded by fungi and assuming underlying moisture problems have been solved, two actions can be taken: i) use a biocide to stop fungal activity; ii) consolidate the degraded elements so that the timber keeps on fulfilling its structural and decorative functions. The aim of this work is to investigate the mechanical performance of maritime pine wood degraded by fungi after being treated with a biocide followed by impregnation with a polymer product. Three commercially available products were used: a boron water-based biocide, an acrylic consolidant and an epoxy-based consolidant. Treated and consolidated specimens were subjected to mechanical tests: axial compression test (NP 618), static surface hardness (ISO 3350) and bending test (NP 619). Sets of replicates were subjected to an evaporation ageing test (EN 73) after application of the products and also tested for mechanical behaviour. An increase in mechanical strength was observed for both consolidants with no significant influence from the previous use of biocide product. The specimens subjected to ageing showed a slightly better general mechanical performance.

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.

Probabilistic models for mechanical properties of prestressing strands

This study focus on the probabilistic modelling of mechanical properties of prestressing strands based on data collected from tensile tests carried out in Laboratório Nacional de Engenharia Civil (LNEC), Portugal, for certification purposes, and covers a period of about 9 years of production. The strands studied were produced by six manufacturers from four countries, namely Portugal, Spain, Italy and Thailand. Variability of the most important mechanical properties is examined and the results are compared with the recommendations of the Probabilistic Model Code, as well as the Eurocodes and earlier studies. The obtained results show a very low variability which, of course, benefits structural safety. Based on those results, probabilistic models for the most important mechanical properties of prestressing strands are proposed.

The effect of superplasticizers on the mechanical performance of concrete made with fine recycled concrete aggregates

It is considered that using crushed recycled concrete as aggregate for concrete production is a viable alternative to dumping and would help to conserve abiotic resources. This use has fundamentally been based on the coarse fraction because the fine fraction is likely to degrade the performance of the resulting concrete. This paper presents results from a research work undertaken at Institut Superior Tecnico (IST), Lisbon, Portugal, in which the effects of incorporating two types of superplasticizer on the mechanical performance of concrete containing fine recycled aggregate were evaluated. The purpose was to see if the addition of superplasticizer would offset the detrimental effects associated with the use of fine recycled concrete aggregate. The experimental programme is described and the results of tests for splitting tensile strength, modulus of elasticity and abrasion resistance are presented. The relative performance of concrete made with recycled aggregate was found to decrease. However, the same concrete with admixtures in general exhibited a better mechanical performance than the reference mixes without admixtures or with a less active superplasticizer. Therefore, it is argued that the mechanical performance of concrete made with fine recycled concrete aggregates can be as good as that of conventional concrete, if superplasticizers are used to reduce the water-cement ratio of the former concrete.

A study on the modeling of sandwich functionally graded particulate composites

Dual-phase functionally graded materials are a particular type of composite materials whose properties are tailored to vary continuously, depending on its two constituent's composition distribution, and which use is increasing on the most diverse application fields. These materials are known to provide superior thermal and mechanical performances when compared to the traditional laminated composites, exactly because of this continuous properties variation characteristic, which enables among other advantages smoother stresses distribution profile. In this paper we study the influence of different homogenization schemes, namely the schemes due to Voigt, Hashin-Shtrikman and Mod-Tanaka, which can be used to obtain bounds estimates for the material properties of particulate composite structures. To achieve this goal we also use a set of finite element models based on higher order shear deformation theories and also on first order theory. From the studies carried out, on linear static analyses and on free vibration analyses, it is shown that the bounds estimates are as important as the deformation kinematics basis assumed to analyse these types of multifunctional structures. Concerning to the homogenization schemes studied, it is shown that Mori-Tanaka and Hashin-Shtrikman estimates lead to less conservative results when compared to Voigt rule of mixtures.

Mechanical properties of stent-graft materials

An aneurysm is a localized blood-filled dilatation of an artery whose consequences can be deadly. One of its current treatments is endovascular aneurysm repair, a minimally invasive procedure in which an endoprosthesis, called a stent-graft, is placed transluminally to prevent wall rupture. Early stent-grafts were custom designed for the patient through the assembling of off-the-shelf components by the operating surgeon. However, nowadays, stent-grafts have become a commercial product. The existing endoprostheses differ in several aspects, such as shape design and materials, but they have in common a metallic scaffold with a polymeric covering membrane. This article aims to gather relevant information for those who wish to understand the principles of stent-grafts and even to develop new devices. Hence, a stent-graft classification based on different characteristics is presented and the desired features for an ideal device are pointed out. Additionally, the materials currently in use to fabricate this type of endoprosthesis are reviewed and new materials are suggested.