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).

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.

Equilibrium self-assembly of colloids with distinct interaction sites: Thermodynamics, percolation, and cluster distribution functions

We calculate the equilibrium thermodynamic properties, percolation threshold, and cluster distribution functions for a model of associating colloids, which consists of hard spherical particles having on their surfaces three short-ranged attractive sites (sticky spots) of two different types, A and B. The thermodynamic properties are calculated using Wertheim's perturbation theory of associating fluids. This also allows us to find the onset of self-assembly, which can be quantified by the maxima of the specific heat at constant volume. The percolation threshold is derived, under the no-loop assumption, for the correlated bond model: In all cases it is two percolated phases that become identical at a critical point, when one exists. Finally, the cluster size distributions are calculated by mapping the model onto an effective model, characterized by a-state-dependent-functionality (f) over bar and unique bonding probability (p) over bar. The mapping is based on the asymptotic limit of the cluster distributions functions of the generic model and the effective parameters are defined through the requirement that the equilibrium cluster distributions of the true and effective models have the same number-averaged and weight-averaged sizes at all densities and temperatures. We also study the model numerically in the case where BB interactions are missing. In this limit, AB bonds either provide branching between A-chains (Y-junctions) if epsilon(AB)/epsilon(AA) is small, or drive the formation of a hyperbranched polymer if epsilon(AB)/epsilon(AA) is large. We find that the theoretical predictions describe quite accurately the numerical data, especially in the region where Y-junctions are present. There is fairly good agreement between theoretical and numerical results both for the thermodynamic (number of bonds and phase coexistence) and the connectivity properties of the model (cluster size distributions and percolation locus).

A energia das ondas e o seu aproveitamento

As crises energéticas surgidas no decorrer do último século, incluindo a crise do petróleo, obrigaram o Homem a procurar cada vez mais fontes de energia alternativas e preferencialmente inesgotáveis. Desta situação, resultou uma forte aposta na exploração das fontes de energias renováveis, que são uma das principais alternativas para responder a um aumento de procura, e também, face às exigências de consumos actuais, beneficiando de ao se apostar numa energia limpa e renovável existir uma forte redução nos impactes ambientais que outras fontes de energia não apresentam. O aproveitamento dos recursos provenientes de fontes de energia renováveis para a produção de energia já existe há vários anos, e, em alguns casos, atingiram já um estado de maturidade considerável, como é caso da energia eólica. Em comparação, o mesmo já não acontece com a energia das ondas. Embora o oceano apresente um recurso com enorme potencial para ser explorado, incluindo as ondas e correntes oceânicas, os dispositivos tecnológicos necessários para a exploração deste recurso encontram-se maioritariamente ainda em fase experimental, havendo casos pontuais que atingiram a fase pré-comercial. Assim, não existe até à data um dispositivo padrão para a exploração da energia das ondas em grande escala, contrariamente ao que acontece com a energia eólica. Para esta situação, contribuiu o elevado número de dispositivos patenteados para a exploração da energia das ondas, nenhum deles com vantagens significativas relativamente a outros, e também, devido ao facto de a exploração deste tipo de energia não poder ser feito de igual modo na costa ou a muitos quilómetros dela. Na presente dissertação são apresentados alguns dos principais dispositivos existentes para a extracção de energia proveniente das ondas oceânicas, com especial atenção para os dispositivos de coluna de água oscilante.

Simulation of defects in bubble clusters

Topological defects in foam, either isolated (disclinations and dislocations) or in pairs, affect the energy and stress, and play an important role in foam deformation. Surface Evolver simulations were performed on large finite clusters of bubbles. These allow us to evaluate the effect of the topology of the defects, and the distance between defects, on the energy and pressure of foam clusters of different sizes. The energy of such defects follows trends similar to known analytical results for a continuous medium.

Large area image sensing structures based on a-SiC : H: a dynamic characterization

In recent works large area hydrogenated amorphous silicon p-i-n structures with low conductivity doped layers were proposed as single element image sensors. The working principle of this type of sensor is based on the modulation, by the local illumination conditions, of the photocurrent generated by a light beam scanning the active area of the device. In order to evaluate the sensor capabilities is necessary to perform a response time characterization. This work focuses on the transient response of such sensor and on the influence of the carbon contents of the doped layers. In order to evaluate the response time a set of devices with different percentage of carbon incorporation in the doped layers is analyzed by measuring the scanner-induced photocurrent under different bias conditions.

Novel structure for large area image sensing

This work presents preliminary results in the study of a novel structure for a laser scanned photodiode (LSP) type of image sensor. In order to increase the signal output, a stacked p-i-n-p-i-n structure with an intermediate light-blocking layer is used. The image and the scanning beam are incident through opposite sides of the sensor and their absorption is kept in separate junctions by an intermediate light-blocking layer. As in the usual LSP structure the scanning beam-induced photocurrent is dependent on the local illumination conditions of the image. The main difference between the two structures arises from the fact that in this new structure the image and the scanner have different optical paths leading to an increase in the photocurrent when the scanning beam is incident on a region illuminated on the image side of the sensor, while a decreasing in the photocurrent was observed in the single junction LSP. The results show that the structure can be successfully used as an image sensor even though some optimization is needed to enhance the performance of the device.

Conectividade estrutural do cérebro

Mestrado em Radiações Aplicadas às Tecnologias da Saúde. Área de especialização: Ressonância Magnética

The condensation and ordering of models of empty liquids

We consider a simple model consisting of particles with four bonding sites ("patches"), two of type A and two of type B, on the square lattice, and investigate its global phase behavior by simulations and theory. We set the interaction between B patches to zero and calculate the phase diagram as the ratio between the AB and the AA interactions, epsilon(AB)*, varies. In line with previous work, on three-dimensional off-lattice models, we show that the liquid-vapor phase diagram exhibits a re-entrant or "pinched" shape for the same range of epsilon(AB)*, suggesting that the ratio of the energy scales - and the corresponding empty fluid regime - is independent of the dimensionality of the system and of the lattice structure. In addition, the model exhibits an order-disorder transition that is ferromagnetic in the re-entrant regime. The use of low-dimensional lattice models allows the simulation of sufficiently large systems to establish the nature of the liquid-vapor critical points and to describe the structure of the liquid phase in the empty fluid regime, where the size of the "voids" increases as the temperature decreases. We have found that the liquid-vapor critical point is in the 2D Ising universality class, with a scaling region that decreases rapidly as the temperature decreases. The results of simulations and theoretical analysis suggest that the line of order-disorder transitions intersects the condensation line at a multi-critical point at zero temperature and density, for patchy particle models with a re-entrant, empty fluid, regime. (C) 2011 American Institute of Physics. [doi: 10.1063/1.3657406]

Riscos e incerteza das fontes renováveis na produção de energia elétrica

Dissertação para a obtenção do grau de Mestre em Engenharia Electrotécnica Ramo de Energia

Controlo clássico vs. preditivo na regulação de frequência em sistemas de potência

Dissertação para obtenção do grau de Mestre em Engenharia Electrotécnica Ramo Automação e Electrónica Industrial

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

Análise técnica dos principais índices bolsistas europeus

Mestrado em Controlo e Gestão e dos Negócios

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.