Nonparametric estimation of Value-at-Risk

A method to estimate an extreme quantile that requires no distributional assumptions is presented. The approach is based on transformed kernel estimation of the cumulative distribution function (cdf). The proposed method consists of a double transformation kernel estimation. We derive optimal bandwidth selection methods that have a direct expression for the smoothing parameter. The bandwidth can accommodate to the given quantile level. The procedure is useful for large data sets and improves quantile estimation compared to other methods in heavy tailed distributions. Implementation is straightforward and R programs are available.

Ecologies of Value in a Wall Street Trading Room

Our task in this paper is to analyze the organization of trading in the era of quantitative finance. To do so, we conduct an ethnography of arbitrage, the trading strategy that best exemplifies finance in the wake of the quantitative revolution. In contrast to value and momentum investing, we argue, arbitrage involves an art of association-the construction of equivalence (comparability) of properties across different assets. In place of essential or relational characteristics, the peculiar valuation that takes place in arbitrage is based on an operation that makes something the measure of something else-associating securities to each other. The process of recognizing opportunities and the practices of making novel associations are shaped by the specific socio-spatial and socio-technical configurations of the trading room. Calculation is distributed across persons and instruments as the trading room organizes interaction among diverse principles of valuation.

A Methodology to measure shareholder value orientation and shareholder value creation aimed at providing a research basis to investigate the link between both magnitudes

Does shareholder value orientation lead to shareholder value creation? This article proposes methods to quantify both, shareholder value orientation and shareholder value creation. Through the application of these models it is possible to quantify both dimensions and examine statistically in how far shareholder value orientation explains shareholder value creation. The scoring model developed in this paper allows quantifying the orientation of managers towards the objective to maximize wealth of shareholders. The method evaluates information that comes from the companies and scores the value orientation in a scale from 0 to 10 points. Analytically the variable value orientation is operationalized expressing it as the general attitude of managers toward the objective of value creation, investment policy and behavior, flexibility and further eight value drivers. The value creation model works with market data such as stock prices and dividend payments. Both methods where applied to a sample of 38 blue chip companies: 32 firms belonged to the share index IBEX 35 on July 1st, 1999, one company represents the “new economy” listed in the Spanish New Market as per July 1st, 2001, and 5 European multinational groups formed part of the EuroStoxx 50 index also on July 1st, 2001. The research period comprised the financial years 1998, 1999, and 2000. A regression analysis showed that between 15.9% and 23.4% of shareholder value creation can be explained by shareholder value orientation.

Recent Advances in Valorization Methods of Inorganic/Organic Solid, Liquid, and Gas Wastes

The main goal of this special issue was to gather contributions dealing with the latest breakthrough methods for providing value compounds and energy/fuel from waste valorization. Valorization is a relatively new approach in the area of industrial wastes management, a key issue to promote sustainable development. In this field, the recovery of value-added substances, such as antioxidants, proteins, vitamins, and so forth, from the processing of agroindustrial byproducts, is worth mentioning. Another important valorization approach is the use of biogas from waste treatment plants for the production of energy. Several approaches involving physical and chemical processes, thermal and biological processes that ensure reduced emissions and energy consumptions were taken into account. The papers selected for this topical issue represent some of the mostly researched methods that currently promote the valorization of wastes to energy and useful materials ...

Content value chains modelling using a copyright ontology

Existing digital rights management (DRM) systems, initiatives like Creative Commons or research works as some digital rights ontologies provide limited support for content value chains modelling and management. This is becoming a critical issue as content markets start to profit from the possibilities of digital networks and the World Wide Web. The objective is to support the whole copyrighted content value chain across enterprise or business niches boundaries. Our proposal provides a framework that accommodates copyright law and a rich creation model in order to cope with all the creation life cycle stages. The dynamic aspects of value chains are modelled using a hybrid approach that combines ontology-based and rule-based mechanisms. The ontology implementation is based on Web Ontology Language and Description Logic (OWL-DL) reasoners, are directly used for license checking. On the other hand, for more complex aspects of the dynamics of content value chains, rule languages are the choice.

Els marges del pensament polític contemporani

La crisi i esfondrament del pensament metafísic heretat de la modernitat deixa la filosofia contemporània davant d'un nou paradigma on el coneixement s’ha de construir prescindint de tota identitat i fonamentació. El meu projecte s’estableix com un recorregut descendent que parteix d’un àmbit concret, com és el del problema de la manca de fonamentació en la filosofia política contemporània, per arribar a la veritable arrel del problema general que no és altre que la mateixa naturalesa del llenguatge filosòfic. El punt de partida és la pregunta sobre la possibilitat d’una filosofia política en termes postmetafísics. La filosofia política, atrapada entre les forces de la tirania unitària del concepte metafísic i la dissolució pràctica en pro de la realitat instrumental, traça ponts cap a l’estètica i la deconstrucció, que tenen com a corol•lari final qüestionar-nos els propis límits del pensament polític. El concepte d’impolític és una sortida deconstructiva a aquest atzucac. Des d’Esposito, Rancière, Nancy, però sobretot Massimo Cacciari, he aprofundit en el paradigma postmetafísic que origina aquesta negació política de la pròpia política, política com els seus límits, relació com a distància i identitat com a silenci. És evident que la clau de volta és l’herència i recepció contemporània de Nietzsche i la seva crítica a la transcendentalitat moderna en el sí de l’elaboració d’un coneixement en un naufragi constant pel fracàs de la síntesi que anhela. És aquesta herència la que ha possibilitat aquest pensament negatiu contemporani, el del joc wittgensteinià, la deconstrucció del valor que queda convertit en el seu propi marge (Derrida). Definim així no només una comunitat política basada en la incommensurabilitat dels seus membres alhora buits de contingut (Musil), sinó un model de llenguatge que és el seu propi silenci, un llenguatge en contínua lluita contra sí mateix. El meu projecte és una relectura d’aquesta veritat no identitària on el concepte de diàleg pren una importància cabdal. La filosofia de la música aquí es presenta com un terreny fèrtil d’eines conceptuals a l’hora de desenvolupar-ho. La música és el llenguatge negatiu que només troba possibilitat en la seva pròpia impossibilitat de contingut sintètic. Més enllà de les referències obligatòries a chönberg i Adorno entre altres, el camí iniciat per Bergson amb la introducció de la temporalitat a la discussió obra la porta al paper de l’esdveniment en aquest discurs sobre la impossibilitat. Tornant a la filosofia, on el propi llenguatge filosòfic es defineix ja com a impossible, l’esdeveniment reobre l’antiga tensió entre l’escriptura i la paraula viva, veritable fonament del problema, i vèrtex de la possibilitat d’aquesta filosofia impossible.

Diseño e implementación de una base de datos relacional para la gestión de la red de bibliotecas

Implementar una base de datos para que pueda ser integrada en un aplicativo de gestión de una red de bibliotecas y que permita obtener de forma eficiente aquellos elementos valiosos para la toma de decisiones.

Partial correlation : Network analysis

The final year project came to us as an opportunity to get involved in a topic which has appeared to be attractive during the learning process of majoring in economics: statistics and its application to the analysis of economic data, i.e. econometrics.Moreover, the combination of econometrics and computer science is a very hot topic nowadays, given the Information Technologies boom in the last decades and the consequent exponential increase in the amount of data collected and stored day by day. Data analysts able to deal with Big Data and to find useful results from it are verydemanded in these days and, according to our understanding, the work they do, although sometimes controversial in terms of ethics, is a clear source of value added both for private corporations and the public sector. For these reasons, the essence of this project is the study of a statistical instrument valid for the analysis of large datasets which is directly related to computer science: Partial Correlation Networks.The structure of the project has been determined by our objectives through the development of it. At first, the characteristics of the studied instrument are explained, from the basic ideas up to the features of the model behind it, with the final goal of presenting SPACE model as a tool for estimating interconnections in between elements in large data sets. Afterwards, an illustrated simulation is performed in order to show the power and efficiency of the model presented. And at last, the model is put into practice by analyzing a relatively large data set of real world data, with the objective of assessing whether the proposed statistical instrument is valid and useful when applied to a real multivariate time series. In short, our main goals are to present the model and evaluate if Partial Correlation Network Analysis is an effective, useful instrument and allows finding valuable results from Big Data.As a result, the findings all along this project suggest the Partial Correlation Estimation by Joint Sparse Regression Models approach presented by Peng et al. (2009) to work well under the assumption of sparsity of data. Moreover, partial correlation networks are shown to be a very valid tool to represent cross-sectional interconnections in between elements in large data sets.The scope of this project is however limited, as there are some sections in which deeper analysis would have been appropriate. Considering intertemporal connections in between elements, the choice of the tuning parameter lambda, or a deeper analysis of the results in the real data application are examples of aspects in which this project could be completed.To sum up, the analyzed statistical tool has been proved to be a very useful instrument to find relationships that connect the elements present in a large data set. And after all, partial correlation networks allow the owner of this set to observe and analyze the existing linkages that could have been omitted otherwise.

Brief cognitive assessment instruments in schizophrenia and bipolar patients, and healthy control subjects: A comparison study between the Brief Cognitive Assessment Tool for Schizophrenia (B-CATS) and the Screen for Cognitive Impairment in Psychiatry (SCIP)

Cognitive impairment in schizophrenia and psychosis is ubiquitous and acknowledged as a core feature of clinical expression, pathophysiology, and prediction of functioning. However, assessment of cognitive functioning is excessively time-consuming in routine practice, and brief cognitive instruments specific to psychosis would be of value. Two screening tools have recently been created to address this issue, i.e., the Brief Cognitive Assessment Tool for Schizophrenia (B-CATS) and the Screen for Cognitive Impairment in Psychiatry (SCIP). The aim of this research was to examine the comparative validity of these two brief instruments in relation to a global cognitive score. 161 patients with psychosis (96 patients diagnosed with schizophrenia and 65 patients diagnosed with bipolar disorder) and 76 healthy control subjects were tested with both instruments to examine their concurrent validity relative to a more comprehensive neuropsychological assessment battery. Scores from the B-CATS and the SCIP were highly correlated in the three diagnostic groups, and both scales showed good to excellent concurrent validity relative to a Global Cognitive Composite Score (GCCS) derived from the more comprehensive examination. The SCIP-S showed better predictive value of global cognitive impairment than the B-CATS. Partial and semi-partial correlations showed slightly higher percentages of both shared and unique variance between the SCIP-S and the GCCS than between the B-CATS and the GCCS. Brief instruments for assessing cognition in schizophrenia and bipolar disorders, such as the SCIP-S and B-CATS, seem to be reliable and promising tools for use in routine clinical practice.

Innovation and Regulation in ICT. Keys for Development

The expansion of broadband speed and coverage over IP technology, which extend over transport and terminal access networks, has increased the demand for applications and content which by being provided over it, uniformly give rise to convergence. These shifts in technologies and enterprise business models are giving rise to the necessity for changing the perspective and scope of the Universal Service and of the regulation frameworks, with this last one based in the same principles as always but varying its application. Several aspects require special and renewed attention, such as the definition of relevant markets and dominant operators, the role of packages, interconnection of IP networks, network neutrality, the use of the spectrum with a vision of value for the citizenship, the application of the competition framework, new forms of licensing, treatment of the risk in the networks, changes in the regulatory authorities, amongst others. These matters are treated from the perspective of the actual trends in the world and its conceptual justification.

Modelling the disability severity score in motor insurance claims: an application to the Spanish case

Bodily injury claims have the greatest impact on the claim costs of motor insurance companies. The disability severity of motor claims is assessed in numerous European countries by means of score systems. In this paper a zero inflated generalized Poisson regression model is implemented to estimate the disability severity score of victims in-volved in motor accidents on Spanish roads. We show that the injury severity estimates may be automatically converted into financial terms by insurers at any point of the claim handling process. As such, the methodology described may be used by motor insurers operating in the Spanish market to monitor the size of bodily injury claims. By using insurance data, various applications are presented in which the score estimate of disability severity is of value to insurers, either for computing the claim compensation or for claim reserve purposes.

Creando valor a través de las TIC: nuevos intermediarios

Este trabajo analiza cómo se puede crear valor a través del uso de las TIC. Para ello se utiliza el Modelo de creación de valor en e-business desarrollado por Amit y Zott (2001) y se aplica a una tipología de nuevos intermediarios que opera en el sector de los contenidos digitales: gregadores de noticias. Para lograr este objetivo, se ha realizado un estudio exploratorio y un estudio de casos a través de entrevistas personales con informadores estratégicos y un análisis del contenido de las páginas web de 56 empresas relacionadas con el sector y cuestionarios, principalmenteSe han analizado empresas de EEUU, Canadá, España, Francia, Alemania, Reino Unido y Suiza