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).

On the solubility of three disperse anthraquinone dyes in supercritical carbon dioxide: new experimental data and correlation

Solubility measurements of quinizarin. (1,4-dihydroxyanthraquinone), disperse red 9 (1-(methylamino) anthraquinone), and disperse blue 14 (1,4-bis(methylamino)anthraquinone) in supercritical carbon dioxide (SC CO2) were carried out in a flow type apparatus, at a temperature range from (333.2 to 393.2) K and at pressures from (12.0 to 40.0) MPa. Mole fraction solubility of the three dyes decreases in the order quinizarin (2.9 x 10(-6) to 2.9.10(-4)), red 9 (1.4 x 10(-6) to 3.2 x 10(-4)), and blue 14 (7.8 x 10(-8) to 2.2 x 10(-5)). Four semiempirical density based models were used to correlatethe solubility of the dyes in the SC CO2. From the correlation results, the total heat of reaction, heat of vaporization plus the heat of solvation of the solute, were calculated and compared with the results presented in the literature. The solubilities of the three dyes were correlated also applying the Soave-Redlich-Kwong cubic equation of state (SRK CEoS) with classical mixing rules, and the physical properties required for the modeling were estimated and reported.

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.

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]

Experimental Measurements and Correlation of the Solubility of Three Primary Amides in Supercritical CO2: Acetanilide, Propanamide, and Butanamide

Solubilities of three primary amides, namely, acetanilide, propanamide, and butanamide, in supercritical carbon dioxide were measured at T = (308.2, 313.2, and 323.2) K over the pressure range (9.0 to 40.0) MPa by a flow type apparatus. The solubility behavior of the three solids shows an analogous trend with a crossover region of the respective isotherms between (12 to 14) MPa. The solubility of each amide, at the same temperature and pressure, decreases from propanamide to acetanilide. Pure compound properties required for the modeling were estimated, and the solubilities of the amides were correlated by using the Soave-Redlich-Kwong cubic equation of state with an absolute average relative deviation (AARD) from (1.3 to 6.1) %.

Neutrino masses and mixing in A(4) models with three Higgs doublets

We study neutrino masses and mixing in the context of flavor models with A(4) symmetry, three scalar doublets in the triplet representation, and three lepton families. We show that there is no representation assignment that yields a dimension-5 mass operator consistent with experiment. We then consider a type-I seesaw with three heavy right-handed neutrinos, explaining in detail why it fails, and allowing us to show that agreement with the present neutrino oscillation data can be recovered with the inclusion of dimension-3 heavy neutrino mass terms that break softly the A(4) symmetry.

Synchronization and Basins of Synchronized in Two-Dimensional Piecewise Maps Via Coupling Three Pieces of One-Dimensional Maps

This paper is devoted to the synchronization of a dynamical system defined by two different coupling versions of two identical piecewise linear bimodal maps. We consider both local and global studies, using different tools as natural transversal Lyapunov exponent, Lyapunov functions, eigenvalues and eigenvectors and numerical simulations. We obtain theoretical results for the existence of synchronization on coupling parameter range. We characterize the synchronization manifold as an attractor and measure the synchronization speed. In one coupling version, we give a necessary and sufficient condition for the synchronization. We study the basins of synchronization and show that, depending upon the type of coupling, they can have very different shapes and are not necessarily constituted by the whole phase space; in some cases, they can be riddled.

Estudo de caso de malformação congénita, com quantificação do êmbolo em 4 sistemas de suspensão para próteses endosqueléticas transtibiais com encaixe TSB

Introdução – O efeito de êmbolo é um dos principais problemas relacionados com a eficácia de uma prótese. Uma diminuição do mesmo pode levar a uma marcha mais natural através do aumento da propriocetividade. Objetivos – Verificar se existe diferença de valores do efeito de êmbolo entre vários sistemas de suspensão para próteses transtibiais com a utilização de Liners e testar a aplicação de testes de imagiologia na análise da melhor solução protésica para um determinado indivíduo. Metodologia – Foi obtida uma radiografia da prótese em carga na posição ortostática, mantendo o peso do indivíduo igualmente distribuído pelos dois pés. Seguidamente foi realizada outra radiografia no plano sagital com o joelho com 30° de flexão, com a prótese suspensa e um peso de 5kg aplicado na extremidade distal da mesma durante 30 seg. Através destes dois exames efetuaram-se as medições do êmbolo para cada tipo de sistema de suspensão. Resultados – Dos quatro sistemas estudados apenas três apresentam valores de êmbolo, visto que um dos sistemas não criou suspensão suficiente para suportar o peso colocado na extremidade distal da prótese. Através das medições realizadas nos exames imagiológicos dos três sistemas pudemos encontrar variações de efeito de êmbolo que vão dos 47,91mm aos 72,55mm. Conclusão – Através da realização do estudo imagiológico verificaram-se diferenças a nível do efeito de êmbolo nos vários sistemas de suspensão, provando que esta é uma ferramenta viável na avaliação do mesmo. Também através da análise dos resultados ficou notório que o sistema de suspensão Vacuum Assisted Suspention System (VASS) é o que apresenta menos êmbolo.

Three-dimensial patchy lattice model: Ring formation and phase separation

We investigate the structural and thermodynamic properties of a model of particles with 2 patches of type A and 10 patches of type B. Particles are placed on the sites of a face centered cubic lattice with the patches oriented along the nearest neighbor directions. The competition between the self- assembly of chains, rings, and networks on the phase diagram is investigated by carrying out a systematic investigation of this class of models, using an extension ofWertheim's theory for associating fluids and Monte Carlo numerical simulations. We varied the ratio r epsilon(AB)/epsilon(AA) of the interaction between patches A and B, epsilon(AB), and between A patches, epsilon(AA) (epsilon(BB) is set to theta) as well as the relative position of the A patches, i.e., the angle. between the (lattice) directions of the A patches. We found that both r and theta (60 degrees, 90 degrees, or 120 degrees) have a profound effect on the phase diagram. In the empty fluid regime (r < 1/2) the phase diagram is reentrant with a closed miscibility loop. The region around the lower critical point exhibits unusual structural and thermodynamic behavior determined by the presence of relatively short rings. The agreement between the results of theory and simulation is excellent for theta = 120 degrees but deteriorates as. decreases, revealing the need for new theoretical approaches to describe the structure and thermodynamics of systems dominated by small rings. (C) 2014 AIP Publishing LLC.

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.

Magnetic flux density distribution in the air gap of a ferromagnetic core with superconducting blocks: three-dimensional analysis and experimental NMR results

The design of magnetic cores can be carried out by taking into account the optimization of different parameters in accordance with the application requirements. Considering the specifications of the fast field cycling nuclear magnetic resonance (FFC-NMR) technique, the magnetic flux density distribution, at the sample insertion volume, is one of the core parameters that needs to be evaluated. Recently, it has been shown that the FFC-NMR magnets can be built on the basis of solenoid coils with ferromagnetic cores. Since this type of apparatus requires magnets with high magnetic flux density uniformity, a new type of magnet using a ferromagnetic core, copper coils, and superconducting blocks was designed with improved magnetic flux density distribution. In this paper, the designing aspects of the magnet are described and discussed with emphasis on the improvement of the magnetic flux density homogeneity (Delta B/B-0) in the air gap. The magnetic flux density distribution is analyzed based on 3-D simulations and NMR experimental results.