Modelling Interbank Relations during the International Financial Crisis

This paper examines the effects of the current financial crisis on the correlations of four international banking stocks. We find that in the beginning of the crisis banks generally show a transition to a higher correlation followed by a dramatic decline towards the end of 2008. These findings are consistent with both traditional contagion theory and the more recent network theory of contagion. JEL classifications: C51; G15 Keywords: Financial Crises; Contagion; Interbank Markets.

Sound Texture Modelling

In the PhD thesis “Sound Texture Modeling” we deal with statistical modelling or textural sounds like water, wind, rain, etc. For synthesis and classification. Our initial model is based on a wavelet tree signal decomposition and the modeling of the resulting sequence by means of a parametric probabilistic model, that can be situated within the family of models trainable via expectation maximization (hidden Markov tree model ). Our model is able to capture key characteristics of the source textures (water, rain, fire, applause, crowd chatter ), and faithfully reproduces some of the sound classes. In terms of a more general taxonomy of natural events proposed by Graver, we worked on models for natural event classification and segmentation. While the event labels comprise physical interactions between materials that do not have textural propierties in their enterity, those segmentation models can help in identifying textural portions of an audio recording useful for analysis and resynthesis. Following our work on concatenative synthesis of musical instruments, we have developed a pattern-based synthesis system, that allows to sonically explore a database of units by means of their representation in a perceptual feature space. Concatenative syntyhesis with “molecules” built from sparse atomic representations also allows capture low-level correlations in perceptual audio features, while facilitating the manipulation of textural sounds based on their physical and perceptual properties. We have approached the problem of sound texture modelling for synthesis from different directions, namely a low-level signal-theoretic point of view through a wavelet transform, and a more high-level point of view driven by perceptual audio features in the concatenative synthesis setting. The developed framework provides unified approach to the high-quality resynthesis of natural texture sounds. Our research is embedded within the Metaverse 1 European project (2008-2011), where our models are contributting as low level building blocks within a semi-automated soundscape generation system.

Open to the users' needs : combining user-centered design, standards and open source software

This case study introduces our continuous work to enhance the virtual classroom in order to provide faculty and students with an environment open to their needs, compliant with learning standards and, therefore compatible with other e-learning environments, and based on open source software. The result is a modulable, sustainable and interoperable learning environment that can be adapted to different teaching and learning situations by incorporating the LMS integrated tools as well as wikis, blogs, forums and Moodle activities among others.

Virtual Library Services for a Virtual University : User-Oriented Virtual Sites in an Open Library

La llegada de las tecnologías de la información, y su uso cada vez mayor y generalizado que se está haciendo de ellas, ha permitido para que una nueva situación aparezca que, a su vez, ha originado - de hecho, que ha precipitado - una serie de cambios de gran importancia en todos los niveles, pero especialmente en los niveles sociales, económicos y culturales. Este nueva escena ha tenido una gran influencia en el entorno pedagógico. De hecho, la aparición de nuevos modelos educativos como resultado de este cambio ha estado sucediendo de una manera continuada e ininterrumpida durante la década pasada. Estos cambios recientes en los sistemas actuales de enseñanza y de aprendizaje han significado un aumento y un cambio en el tipo de demandas hechas desde las bibliotecas y los centros de documentación.

Modelling structural zeros in compositional data

This analysis was stimulated by the real data analysis problem of householdexpenditure data. The full dataset contains expenditure data for a sample of 1224 households. The expenditure is broken down at 2 hierarchical levels: 9 major levels (e.g. housing, food, utilities etc.) and 92 minor levels. There are also 5 factors and 5 covariates at the household level. Not surprisingly, there are a small number of zeros at the major level, but many zeros at the minor level. The question is how best to model the zeros. Clearly, models that tryto add a small amount to the zero terms are not appropriate in general as at least some of the zeros are clearly structural, e.g. alcohol/tobacco for households that are teetotal. The key question then is how to build suitable conditional models. For example, is the sub-composition of spendingexcluding alcohol/tobacco similar for teetotal and non-teetotal households?In other words, we are looking for sub-compositional independence. Also, what determines whether a household is teetotal? Can we assume that it is independent of the composition? In general, whether teetotal will clearly depend on the household level variables, so we need to be able to model this dependence. The other tricky question is that with zeros on more than onecomponent, we need to be able to model dependence and independence of zeros on the different components. Lastly, while some zeros are structural, others may not be, for example, for expenditure on durables, it may be chance as to whether a particular household spends money on durableswithin the sample period. This would clearly be distinguishable if we had longitudinal data, but may still be distinguishable by looking at the distribution, on the assumption that random zeros will usually be for situations where any non-zero expenditure is not small.While this analysis is based on around economic data, the ideas carry over tomany other situations, including geological data, where minerals may be missing for structural reasons (similar to alcohol), or missing because they occur only in random regions which may be missed in a sample (similar to the durables)

Modelling of non-linear viscoelastic tissues with bar elements

In this work we develop a viscoelastic bar element that can handle multiple rheo- logical laws with non-linear elastic and non-linear viscous material models. The bar element is built by joining in series an elastic and viscous bar, constraining the middle node position to the bar axis with a reduction method, and stati- cally condensing the internal degrees of freedom. We apply the methodology to the modelling of reversible softening with sti ness recovery both in 2D and 3D, a phenomenology also experimentally observed during stretching cycles on epithelial lung cell monolayers.

Modelling world investment markets using threshold conditional correlation models

In this paper we propose a parsimonious regime-switching approach to model the correlations between assets, the threshold conditional correlation (TCC) model. This method allows the dynamics of the correlations to change from one state (or regime) to another as a function of observable transition variables. Our model is similar in spirit to Silvennoinen and Teräsvirta (2009) and Pelletier (2006) but with the appealing feature that it does not suffer from the course of dimensionality. In particular, estimation of the parameters of the TCC involves a simple grid search procedure. In addition, it is easy to guarantee a positive definite correlation matrix because the TCC estimator is given by the sample correlation matrix, which is positive definite by construction. The methodology is illustrated by evaluating the behaviour of international equities, govenrment bonds and major exchange rates, first separately and then jointly. We also test and allow for different parts in the correlation matrix to be governed by different transition variables. For this, we estimate a multi-threshold TCC specification. Further, we evaluate the economic performance of the TCC model against a constant conditional correlation (CCC) estimator using a Diebold-Mariano type test. We conclude that threshold correlation modelling gives rise to a significant reduction in portfolio´s variance.

Modelling of Mercury’s surface composition and remote detection from the orbit with the BepiColombo Mercury Planetary Orbiter

It can be assumed that the composition of Mercury’s thin gas envelope (exosphere) is related to thecomposition of the planets crustal materials. If this relationship is true, then inferences regarding the bulkchemistry of the planet might be made from a thorough exospheric study. The most vexing of allunsolved problems is the uncertainty in the source of each component. Historically, it has been believedthat H and He come primarily from the solar wind, while Na and K originate from volatilized materialspartitioned between Mercury’s crust and meteoritic impactors. The processes that eject atoms andmolecules into the exosphere of Mercury are generally considered to be thermal vaporization, photonstimulateddesorption (PSD), impact vaporization, and ion sputtering. Each of these processes has its owntemporal and spatial dependence. The exosphere is strongly influenced by Mercury’s highly ellipticalorbit and rapid orbital speed. As a consequence the surface undergoes large fluctuations in temperatureand experiences differences of insolation with longitude. We will discuss these processes but focus moreon the expected surface composition and solar wind particle sputtering which releases material like Caand other elements from the surface minerals and discuss the relevance of composition modelling

Modelling scenarios of diffusion and control of pandemic influenza, italy

En aquest article es resumeixen els resultats publicats en un informe de l' ISS (Istituto Superiore di Sanità) del desembre de 2006, sobre un model matemàtic desenvolupat per un grup de treball que inclou a investigadors de les Universitats de Trento, Pisa i Roma, i els Instituts Nacionals de Salut (Istituto Superiore di Sanità, ISS), per avaluar i mesurar l'impacte de la transmissió i el control de la pandèmia de grip

Statistical evidences of cyclic changes in volcanic gas chemistry composition by inverse modelling

The identification of compositional changes in fumarolic gases of active and quiescent volcanoes is one of the mostimportant targets in monitoring programs. From a general point of view, many systematic (often cyclic) and randomprocesses control the chemistry of gas discharges, making difficult to produce a convincing mathematical-statisticalmodelling.Changes in the chemical composition of volcanic gases sampled at Vulcano Island (Aeolian Arc, Sicily, Italy) fromeight different fumaroles located in the northern sector of the summit crater (La Fossa) have been analysed byconsidering their dependence from time in the period 2000-2007. Each intermediate chemical composition has beenconsidered as potentially derived from the contribution of the two temporal extremes represented by the 2000 and 2007samples, respectively, by using inverse modelling methodologies for compositional data. Data pertaining to fumarolesF5 and F27, located on the rim and in the inner part of La Fossa crater, respectively, have been used to achieve theproposed aim. The statistical approach has allowed us to highlight the presence of random and not random fluctuations,features useful to understand how the volcanic system works, opening new perspectives in sampling strategies and inthe evaluation of the natural risk related to a quiescent volcano

Modelling the cardiovascular system for automatic interpretation of the blood pressure curve

A four compartment model of the cardiovascular system is developed. To allow for easy interpretation and to minimise the number of parameters, an effort was made to keep the model as simple as possible. A sensitivity analysis is first carried out to determine which are the most important model parameters to characterise the blood pressure signal. A four stage process is then described which accurately determines all parameter values. This process is applied to data from three patients and good agreement is shown in all cases.

Dynamic modelling of an underwater vehicle

Nessie is an Autonomous Underwater Vehicle (AUV) created by a team of students in the Heriot Watt University to compete in the Student Autonomous Underwater Competition, Europe (SAUC-E) in August 2006. The main objective of the project is to find the dynamic equation of the robot, dynamic model. With it, the behaviour of the robot will be easier to understand and movement tests will be available by computer without the need of the robot, what is a way to save time, batteries, money and the robot from water inside itself. The object of the second part in this project is setting a control system for Nessie by using the model

An Interval Intelligent-based Approach for Fault Detection and Modelling

Not considered in the analytical model of the plant, uncertainties always dramatically decrease the performance of the fault detection task in the practice. To cope better with this prevalent problem, in this paper we develop a methodology using Modal Interval Analysis which takes into account those uncertainties in the plant model. A fault detection method is developed based on this model which is quite robust to uncertainty and results in no false alarm. As soon as a fault is detected, an ANFIS model is trained in online to capture the major behavior of the occurred fault which can be used for fault accommodation. The simulation results understandably demonstrate the capability of the proposed method for accomplishing both tasks appropriately

Adaption of Courses and Learning Environment to the User Context in dotLRN

The explosive growth of Internet during the last years has been reflected in the ever-increasing amount of the diversity and heterogeneity of user preferences, types and features of devices and access networks. Usually the heterogeneity in the context of the users which request Web contents is not taken into account by the servers that deliver them implying that these contents will not always suit their needs. In the particular case of e-learning platforms this issue is especially critical due to the fact that it puts at stake the knowledge acquired by their users. In the following paper we present a system that aims to provide the dotLRN e-learning platform with the capability to adapt to its users context. By integrating dotLRN with a multi-agent hypermedia system, online courses being undertaken by students as well as their learning environment are adapted in real time

Multifunctional ligands for application in Alzheimer’s Disease: molecular modelling and biological evaluation

Projecte de recerca elaborat a partir d’una estada a la University of British Columbia, Canadà, entre 2010 i 2012 La malaltia d'Alzheimer (MA) representa avui la forma més comuna de demència en la població envellida. Malgrat fa 100 anys que va ser descoberta, encara avui no existeix cap tractament preventiu i/o curatiu ni cap agent de diagnòstic que permeti valorar quantitativament l'evolució d'aquesta malaltia. L'objectiu en el que s'emmarca aquest treball és contribuir a aportar solucions al problema de la manca d'agents terapèutics i de diagnosi, unívocs i rigorosos, per a la MA. Des del camp de la química bioinorgànica és fàcil fixar-se en l'excessiva concentració d'ions Zn(II) i Cu(II) en els cervells de malalts de MA, plantejar-se la seva utilització com a dianes terapèutica i, en conseqüència, cercar agents quelants que evitin la formació de plaques senils o contribueixin a la seva dissolució. Si bé aquest va ser el punt de partida d’aquest projecte, els múltiples factors implicats en la patogènesi de la MA fan que el clàssic paradigma d’ ¨una molècula, una diana¨ limiti la capacitat de la molècula de combatre aquesta malaltia tan complexa. Per tant, un esforç considerable s’ha dedicat al disseny d’agentsmultifuncionals que combatin els múltiples factors que caracteritzen el desenvolupament de la MA. En el present treball s’han dissenyat agents multifuncionals inspirats en dos esquelets moleculars ben establers i coneguts en el camp de la química medicinal: la tioflavina-T (ThT) i la deferiprona (DFP). La utilització de tècniques in silico que inclouen càlculs farmacocinètics i modelatge molecular ha estat un procés cabdal per a l’avaluació dels millors candidats en base als següents requeriments: (a) compliment de determinades propietats farmacocinètiques que estableixin el seu possible ús com a fàrmac (b) hidrofobicitat adequada per travessar la BBB i (c) interacció amb el pèptid Aen solució.