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.

Cholesterol 24S-Hydroxylase overexpression inhibits the liver X receptor (LXR) pathway by activating small guanosine triphosphate-binding proteins (sGTPases) in neuronal cells

The neuronal-specific cholesterol 24S-hydroxylase (CYP46A1) is important for brain cholesterol elimination. Cyp46a1 null mice exhibit severe deficiencies in learning and hippocampal long-term potentiation, suggested to be caused by a decrease in isoprenoid intermediates of the mevalonate pathway. Conversely, transgenic mice overexpressing CYP46A1 show an improved cognitive function. These results raised the question of whether CYP46A1 expression can modulate the activity of proteins that are crucial for neuronal function, namely of isoprenylated small guanosine triphosphate-binding proteins (sGTPases). Our results show that CYP46A1 overexpression in SH-SY5Y neuroblastoma cells and in primary cultures of rat cortical neurons leads to an increase in 3-hydroxy-3-methyl-glutaryl-CoA reductase activity and to an overall increase in membrane levels of RhoA, Rac1, Cdc42 and Rab8. This increase is accompanied by a specific increase in RhoA activation. Interestingly, treatment with lovastatin or a geranylgeranyltransferase-I inhibitor abolished the CYP46A1 effect. The CYP46A1-mediated increase in sGTPases membrane abundance was confirmed in vivo, in membrane fractions obtained from transgenic mice overexpressing this enzyme. Moreover, CYP46A1 overexpression leads to a decrease in the liver X receptor (LXR) transcriptional activity and in the mRNA levels of ATP-binding cassette transporter 1, sub-family A, member 1 and apolipoprotein E. This effect was abolished by inhibition of prenylation or by co-transfection of a RhoA dominant-negative mutant. Our results suggest a novel regulatory axis in neurons; under conditions of membrane cholesterol reduction by increased CYP46A1 expression, neurons increase isoprenoid synthesis and sGTPase prenylation. This leads to a reduction in LXR activity, and consequently to a decrease in the expression of LXR target genes.

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.

Non-enzymatic assay for glucose by using immobilized whole-cells of E. coli containing glucose binding protein fused to fluorescent proteins

Glucose monitoring in vivo is a crucial issue for gaining new understanding of diabetes. Glucose binding protein (GBP) fused to two fluorescent indicator proteins (FLIP) was used in the present study such as FLIP-glu- 3.2 mM. Recombinant Escherichia coli whole-cells containing genetically encoded nanosensors as well as cell-free extracts were immobilized either on inner epidermis of onion bulb scale or on 96-well microtiter plates in the presence of glutaraldehyde. Glucose monitoring was carried out by Förster Resonance Energy Transfer (FRET) analysis due the cyano and yellow fluorescent proteins (ECFP and EYFP) immobilized in both these supports. The recovery of these immobilized FLIP nanosensors compared with the free whole-cells and cell-free extract was in the range of 50–90%. Moreover, the data revealed that these FLIP nanosensors can be immobilized in such solid supports with retention of their biological activity. Glucose assay was devised by FRET analysis by using these nanosensors in real samples which detected glucose in the linear range of 0–24 mM with a limit of detection of 0.11 mM glucose. On the other hand, storage and operational stability studies revealed that they are very stable and can be re-used several times (i.e. at least 20 times) without any significant loss of FRET signal. To author's knowledge, this is the first report on the use of such immobilization supports for whole-cells and cell-free extract containing FLIP nanosensor for glucose assay. On the other hand, this is a novel and cheap high throughput method for glucose assay.

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.

Molecular details of INH-C-10 binding to wt KatG and Its S315T mutant

Isoniazid (INH) is still one of the two most effective antitubercular drugs and is included in all recommended multitherapeutic regimens. Because of the increasing resistance of Mycobacterium tuberculosis to INH, mainly associated with mutations in the katG gene, new INH-based compounds have been proposed to circumvent this problem. In this work, we present a detailed comparative study of the molecular determinants of the interactions between wt KatG or its S315T mutant form and either INH or INH-C10, a new acylated INH derivative. MD simulations were used to explore the conformational space of both proteins, and results indicate that the S315T mutation did not have a significant impact on the average size of the access tunnel in the vicinity of these residues. Our simulations also indicate that the steric hindrance role assigned to Asp137 is transient and that electrostatic changes can be important in understanding the enzyme activity data of mutations in KatG. Additionally, molecular docking studies were used to determine the preferred modes of binding of the two substrates. Upon mutation, the apparently less favored docking solution for reaction became the most abundant, suggesting that S315T mutation favors less optimal binding modes. Moreover, the aliphatic tail in INH-C10 seems to bring the hydrazine group closer to the heme, thus favoring the apparent most reactive binding mode, regardless of the enzyme form. The ITC data is in agreement with our interpretation of the C10 alkyl chain role and helped to rationalize the significantly lower experimental MIC value observed for INH-C10. This compound seems to be able to counterbalance most of the conformational restrictions introduced by the mutation, which are thought to be responsible for the decrease in INH activity in the mutated strain. Therefore, INH-C10 appears to be a very promising lead compound for drug development.