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).

Evaluation of exposure index (IgM) in orthopaedic radiography

The exposure index (lgM) obtained from a radiographic image may be a useful feedback indicator to the radiographer about the appropriate exposure level in routine clinical practice. This study aims to evaluate lgM in orthopaedic radiography performed in the standard clinical environment. We analysed the lgM of 267 exposures performed with an AGFA CR system. The mean value of lgM in our sample is 2.14. A significant difference (P=0.000<0.05) from 1.96 lgM reference is shown. Data show that 72% of exposures are above the 1.96 lgM and 42% are above the limit of 2.26. Median values of lgM are above 1.96 and below 2.26 for Speed class (SC) 200 (2.16) and SC400 (2.13). The interquartile range is lower in SC400 than in SC200. Data seem to indicate that lgM values are above the manufacturer’s reference of 1.96. Departmental exposure charts should be optimised to reduce the dose given to patients.

Open and closed positions and stock index futures volatility

In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that day-traders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it.

Volatility regimes for the VIX index

This article presents a Markov chain framework to characterize the behavior of the CBOE Volatility Index (VIX index). Two possible regimes are considered: high volatility and low volatility. The specification accounts for deviations from normality and the existence of persistence in the evolution of the VIX index. Since the time evolution of the VIX index seems to indicate that its conditional variance is not constant over time, I consider two different versions of the model. In the first one, the variance of the index is a function of the volatility regime, whereas the second version includes an autoregressive conditional heteroskedasticity (ARCH) specification for the conditional variance of the index.

Genus and Braid Index Associated to Sequences of Renormalizable Lorenz Maps

We describe the Lorenz links generated by renormalizable Lorenz maps with reducible kneading invariant (K(f)(-), = K(f)(+)) = (X, Y) * (S, W) in terms of the links corresponding to each factor. This gives one new kind of operation that permits us to generate new knots and links from the ones corresponding to the factors of the *-product. Using this result we obtain explicit formulas for the genus and the braid index of this renormalizable Lorenz knots and links. Then we obtain explicit formulas for sequences of these invariants, associated to sequences of renormalizable Lorenz maps with kneading invariant (X, Y) * (S,W)*(n), concluding that both grow exponentially. This is specially relevant, since it is known that topological entropy is constant on the archipelagoes of renormalization.

The adjusted effect of maternal body mass index, energy and macronutrient intakes during pregnancy, and gestational weight gain on body composition of full-term neonates

Objective - To evaluate the effect of prepregnancy body mass index (BMI), energy and macronutrient intakes during pregnancy, and gestational weight gain (GWG) on the body composition of full-term appropriate-for-gestational age neonates. Study Design - This is a cross-sectional study of a systematically recruited convenience sample of mother-infant pairs. Food intake during pregnancy was assessed by food frequency questionnaire and its nutritional value by the Food Processor Plus (ESHA Research Inc, Salem, OR). Neonatal body composition was assessed both by anthropometry and air displacement plethysmography. Explanatory models for neonatal body composition were tested by multiple linear regression analysis. Results - A total of 100 mother-infant pairs were included. Prepregnancy overweight was positively associated with offspring weight, weight/length, BMI, and fat-free mass in the whole sample; in males, it was also positively associated with midarm circumference, ponderal index, and fat mass. Higher energy intake from carbohydrate was positively associated with midarm circumference and weight/length in the whole sample. Higher GWG was positively associated with weight, length, and midarm circumference in females. Conclusion - Positive adjusted associations were found between both prepregnancy BMI and energy intake from carbohydrate and offspring body size in the whole sample. Positive adjusted associations were also found between prepregnancy overweight and adiposity in males, and between GWG and body size in females.

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.

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.

Conectividade estrutural do cérebro: diferenças entre um cérebro normal e um cérebro com patologia

Perceber a rede estrutural formada pelos neurónios no cérebro a nível da macro escala é um desafio atual na área das neurociências. Neste estudo analisou-se a conectividade estrutural do cérebro em 22 indivíduos saudáveis e em dois doentes com epilepsia pós-traumática. Avaliaram-se as diferenças entre estes dois grupos. Também se pesquisaram diferenças a nível do género e idade no grupo de indivíduos saudáveis e os que têm valores médios mais elevados nas métricas de caracterização da rede. Para tal, desenvolveu-se um protocolo de análise recorrendo a diversos softwares especializados e usaram-se métricas da Teoria dos Grafos para a caracterização da conectividade estrutural entre 118 regiões encefálicas distintas. Dentro do grupo dos indivíduos saudáveis concluiu-se que os homens, no geral, são os que têm média mais alta para as métricas de caracterização da rede estrutural. Contudo, não se observaram diferenças significativas em relação ao género nas métricas de caracterização global do cérebro. Relativamente à idade, esta correlaciona-se negativamente, no geral, com as métricas de caracterização da rede estrutural. As regiões onde se observaram as diferenças mais importantes entre indivíduos saudáveis e doentes são: o sulco rolândico, o hipocampo, o pré-cuneus, o tálamo e o cerebelo bilateralmente. Estas diferenças são consistentes com as imagens radiológicas dos doentes e com a literatura estudada sobre a epilepsia pós-traumática. Preveem-se desenvolvimentos para o estudo da conectividade estrutural do cérebro humano, uma vez que a sua potencialidade pode ser combinada com outros métodos de modo a caracterizar as alterações dos circuitos cerebrais.

Da comunicação popular

As manifestações públicas de cultura popular têm sido abordadas por diferentes áreas do conhecimento (antropologia, sociologia, história, etnografia e outras), mas as ciências da comunicação têm-lhes dado relativamente menos atenção. Do estudo de festas populares, sobretudo na investigação literária da sua matriz religiosa, passamos à investigação e à análise dos processos comunicacionais destas manifestações. O encontro com uma nova área das ciências da comunicação, a folkcomunicação, foi decisivo para a opção por paradigmas e instrumentos de análise que nos têm apoiado na investigação em curso sobre comunicação popular. Este texto tem como principal objectivo apresentar a origem e a evolução desta teoria comunicacional, Folkcomunicação, teoria inspirada na Escola de Chicago. Trata-se de um artigo teórico/conceptual, resultado de pesquisa bibliográfica e análise do Estado da Arte em relação à cultura popular e à folkcomunicação.

O desenvolvimento de um modelo de ensino virtual num contexto de investimento incipiente em e - learning: progressos e desafios

Este artigo relata o desenvolvimento de um modelo de ensino virtual em curso na Universidade dos Açores. Depois de ter sido adotado na lecionação de disciplinas da área da Teoria e Desenvolvimento Curricular em regime de e-learning e b-learning, o modelo foi, no ano académico de 2014/15, estendido à lecionação de outras disciplinas. Além de descrever o modelo e explicar a sua evolução, o artigo destaca a sua adoção no contexto particular de uma disciplina cuja componente online foi lecionada em circunstâncias especialmente desafiadoras. Neste sentido, explica o processo de avaliação da experiência, discute os seus resultados e sugere pistas de melhoria. Essa avaliação enquadra-se num processo de investigação do design curricular – a metodologia que tem sido usada para estudar o desenvolvimento do modelo.

As Guerras Mundiais e as mutações na teoria social da comunicação e dos media

Se a guerra é a continuação da política por outros meios, então certamente que nela a comunicação, em sentido lato, esteve sempre presente e desempenhou um papel chave. As guerras não implicam apenas a violência, mas também a persuasão, a contrainformação, o convencimento e o combate ideológico. Nas guerras modernas, os media têm sido um elemento fundamental para mobilizar nações moldadas por dinâmicas de desenraizamento e desterritorialização com vista a um esforço conjunto de apoio popular à ação bélica do Estado. Este artigo incide nas transformações que a própria teoria e investigação em comunicação e media sofreram no período entre as duas Guerras Mundiais do século XX. Trata-se de um contexto histórico decisivo para compreender como a institucionalização do campo da comunicação num país central como os EUA ocorreu em condições sociais e políticas que contribuíram para o seu perfil epistemológico, posições teóricas e para a configuração do poder no próprio sistema científico universitário, cujas repercussões continuam a fazer-se sentir de diversas e complexas formas.