An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions

This paper uses the Value-at-Risk approach to define the risk in both long and short trading positions. The investigation is done on some major market indices(Japanese, UK, German and US). The performance of models that takes into account skewness and fat-tails are compared to symmetric models in relation to both the specific model for estimating the variance, and the distribution of the variance estimate used as input in the VaR estimation. The results indicate that more flexible models not necessarily perform better in predicting the VaR forecast; the reason for this is most probably the complexity of these models. A general result is that different methods for estimating the variance are needed for different confidence levels of the VaR, and for the different indices. Also, different models are to be used for the left respectively the right tail of the distribution.

Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets

This paper examines the asymmetric behavior of conditional mean and variance. Short-horizon mean-reversion behavior in mean is modeled with an asymmetric nonlinear autoregressive model, and the variance is modeled with an Exponential GARCH in Mean model. The results of the empirical investigation of the Nordic stock markets indicates that negative returns revert faster to positive returns when positive returns generally persist longer. Asymmetry in both mean and variance can be seen on all included markets and are fairly similar. Volatility rises following negative returns more than following positive returns which is an indication of overreactions. Negative returns lead to increased variance and positive returns leads even to decreased variance.

Photoacoustic Investigation of Glass Transition in AsxTe1-x Glasses

Photoacoustic (PA) technique is used to study glass transition and temperature dependence of thermal diffusivity in AsxTe1-x glasses with 0.25 0.60. PA amplitude goes through a minimum and the phase shows a maximum at glass transition temperature Tg. The variation of thermal diffusivity with temperature shows sharp decrease near Tg. The variation of thermal diffusivity with composition shows maximum at = 0.40 for all temperatures T Tg.

A hybrid electrochemical-thermal method for the preparation of large ZnO nanoparticles

A simple and efficient two-step hybrid electrochemical-thermal route was developed for the synthesis of large quantity of ZnO nanoparticles using aqueous sodium bicarbonate electrolyte and sacrificial Zn anode and cathode in an undivided cell under galvanostatic mode at room temperature. The bath concentration and current density were varied from 30 to 120 mmol and 0.05 to 1.5 A/dm(2). The electrochemically generated precursor was calcined for an hour at different range of temperature from 140 to 600 A degrees C. The calcined samples were characterized by XRD, SEM/EDX, TEM, TG-DTA, FT-IR, and UV-Vis spectral methods. Rietveld refinement of X-ray data indicates that the calcined compound exhibits hexagonal (Wurtzite) structure with space group of P63mc (No. 186). The crystallite sizes were in the range of 22-75 nm based on Debye-Scherrer equation. The TEM results reveal that the particle sizes were in the order of 30-40 nm. The blue shift was noticed in UV-Vis absorption spectra, the band gaps were found to be 5.40-5.11 eV. Scanning electron micrographs suggest that all the samples were randomly oriented granular morphology.

The elastic manifestation of a spin-glass transition: a low-frequency study

The authors report here the first measurements of low-frequency dynamic elastic properties of a spin glass (Fe59Ni21Cr20) across the transition temperature (Tg approximately=16 K). A minimum in the sound velocity (V) and a maximum in the internal friction (Q-1) were found at temperatures close to but below Tg. The elastic data were compared with the AC susceptibility data taken at similar frequency.

Thermal and electrical switching studies on Ge20Se80-xBix (1 <= x <= 13) ternary chalcogenide glassy system

Alternating Differential Scanning Calorimetric (ADSC) and electrical switching studies have been undertaken on Ge20Se80-xBix glasses (1 <= x <= 13), to understand the effect of topological thresholds on thermal properties and electrical switching behavior. It is found that the compositional dependence of glass transition temperature (Tg), crystallization temperature (T-c1) and thermal stability (AT) of Ge20Se80-xBix glasses show anomalies at a composition x= 5, the rigidity percolation/stiffness threshold of the system. Further, unusual variations are also observed in different thermal properties, such as T-g, T-c1, Delta T, Delta C-p and Delta H-NR, at the composition x= 10, which indicates the occurrence of chemical threshold in these glasses at this composition. Electrical switching studies indicate that Ge20Se8o_RBig glasses with 5 11 exhibit threshold switching behavior and those with x = 12 and 13 show memory switching. A sharp decrease has been noticed in the switching voltages with bismuth concentration, which is due to the more metallic nature of bismuth and the presence of Bi+ ions. Further, a saturation is seen in the decrease in V-T around x = 6, which is related to bismuth phase percolation at higher concentrations of Bi. (C) 2010 Elsevier B.V. All rights reserved.

Technique for measuring the beam shape of pulsed lasers

A simple technique for the measurement of the beam shape parameters of pulsed lasers, with just a single pulse of the laser is described. It involves the use of several beam dividers inclined at very small angles to the beam axis, reflecting the beam back to a screen or a phosphor placed near the exit of the laser. The reflected images are then photographed by a camera to yield the beam parameters.

Reactivity with hydrogen of pure iron oxide and of iron oxides doped with oxides of Mn, Co, Ni and Cu

Using dynamic TG in H2, X-ray powder diffraction and Mössbauer Spectroscopy the reactivities fot hydrogen reduction of Fe2O3 prepared at different temperatures, Fe2O3 doped with oxides of Mn, Co, Ni and Cu prepared at 300DaggerC from nitrate precursors and intermediate spinels derived from above samples during reduction have been explored. The reactivity is higher for finely divided Fe2O3 prepared at 250DaggerC. The reduction is retarded by Mn, marginally affected by Co and accelerated by Ni and Cu, especially at higher (5 at.%) dopant concentration. These reactivities confirmed also by isothermal experiments, are ascribed to the nature of disorder in the metastable intermediate spinels and to hydrogen rsquospill overrsquo effects.

HDL subspecies : association with low HDL-C, obesity, and metabolic syndrome

AIMS An independent, powerful coronary heart disease (CHD) predictor is a low level of high-density lipoprotein cholesterol (HDL-C). Discoidal preβ-HDL particles and large HDL2 particles are the primary cholesterol acceptors in reverse cholesterol transport, a key anti-atherogenic HDL mechanism. The quality of HDL subspecies may provide better markers of HDL functionality than does HDL-C alone. We aimed I) to study whether alterations in the HDL subspecies profile exist in low-HDL-C subjects II) to explore the relationship of any changes in HDL subspecies profile in relation to atherosclerosis and metabolic syndrome; III) to elucidate the impact of genetics and acquired obesity on HDL subspecies distribution. SUBJECTS The study consisted of 3 cohorts: A) Finnish families with low HDL-C and premature CHD (Study I: 67 subjects with familial low HDL-C and 64 controls; Study II: 83 subjects with familial low HDL-C, 65 family members with normal HDL-C, and 133 controls); B) a cohort of 113 low- and 133 high-HDL-C subjects from the Health 2000 Health Examination Survey carried out in Finland (Study III); and C) a Finnish cohort of healthy young adult twins (52 monozygotic and 89 dizygotic pairs) (Study IV). RESULTS AND CONCLUSIONS The subjects with familial low HDL-C had a lower preβ-HDL concentration than did controls, and the low-HDL-C subjects displayed a dramatic reduction (50-70%) in the proportion of large HDL2b particles. The subjects with familial low HDL-C had increased carotid atherosclerosis measured as intima-media-thickness (IMT), and HDL2b particles correlated negatively with IMT. The reduction in both key cholesterol acceptors, preβ-HDL and HDL2 particles, supports the concept of impaired reverse cholesterol transport contributing to the higher CHD risk in low-HDL-C subjects. The family members with normal HDL-C and the young adult twins with acquired obesity showed a reduction in large HDL2 particles and an increase in small HDL3 particles, which may be the first changes leading to the lowering of HDL-C. The low-HDL-C subjects had a higher serum apolipoprotein E (apoE) concentration, which correlated positively with the metabolic syndrome components (waist circumference, TG, and glucose), highlighting the need for a better understanding of apoE metabolism in human atherosclerosis. In the twin study, the increase in small HDL3b particles was associated with obesity independent of genetic effects. The heritability estimate, of 73% for HDL-C and 46 to 63% for HDL subspecies, however, demonstrated a strong genetic influence. These results suggest that the relationship between obesity and lipoproteins depends on different elements in each subject. Finally, instead of merely elevating HDL-C, large HDL2 particles and discoidal preβ-HDL particles may provide beneficial targets for HDL-targeted therapy.

Thermal decomposition of zirconyl oxalates I. Barium zirconyl oxalate

Conditions for the preparation of stoichiometric barium zirconyl oxalate heptahydrate (BZO) have been standardized. The thermal decomposition of BZO has been investigated employing TG, DTG and DTA techniques and chemical and gas analysis. The decomposition proceeds through four steps and is not affected much by the surrounding gas atmosphere. Both dehydration and oxalate decomposition take place in two steps. The formation of a transient intermediate containing both oxalate and carbonate groups is inferred. The decomposition of oxalate groups results in a carbonate of composition Ba2Zr2OsCO3, which decomposes between 600 and 800 ~ and yields barium zirconate. Chemical analysis, IR spectra and X-ray powder diffraction data support the identity of the intermediate as a separate entity.

Thermal decomposition of zirconyl oxalates I. Barium zirconyl oxalate

Conditions for the preparation of stoichiometric barium zirconyl oxalate heptahydrate (BZO) have been standardized. The thermal decomposition of BZO has been investigated employing TG, DTG and DTA techniques and chemical and gas analysis. The decomposition proceeds through four steps and is not affected much by the surrounding gas atmosphere. Both dehydration and oxalate decomposition take place in two steps. The formation of a transient intermediate containing both oxalate and carbonate groups is inferred. The decomposition of oxalate groups results in a carbonate of composition Ba2Zr2O5CO3, which decomposes between 600 and 800° and yields barium zirconate. Chemical analysis, IR spectra and X-ray powder diffraction data support the identity of the intermediate as a separate entity.Die Bedingungen für die Herstellung von stöchiometrischem Barium-zirconyl-oxalat Heptahydrat (BZO) wurden standardisiert. Die thermische Zersetzung von BZO wurde unter Einsatz der TG-, DTG- und DTA, sowie der chemischen und Gasanalyse untersucht. Die Zersetzung verläuft über vier Stufen und wird von der umgebenden Gasathmosphäre nicht besonders beeinflusst. Sowohl die Dehydratisierung als auch die Oxalatzersetzung erfolgt in zwei Stufen. Die Bildung einer intermediären Übergangsverbindung mit sowohl Oxalat- als auch Carbonatgruppen wirken hierbei mit. Die Zersetzung der Oxalatgruppen ergibt ein Carbonat der Zusammensetzung Ba2Zr2O5CO3, das zwischen 600 und 800° zersetzt wird und Bariumzirconat ergibt. Die Angaben der chemischen Analyse, der IR-Spekren und der Röntgen-Pulver-Diffraktion unterstützen die Identität der Intermediärverbindung als eine separate Einheit.On a standardisé les conditions de préparation de l'oxalate heptahydraté de zirconyle et de baryum (BZO) stoechiométrique. On a étudié la décomposition thermique de BZO par TG, TGD et ATD ainsi que par analyses chimiques et analyses des gaz. La décomposition a lieu en quatre étapes et n'est pas trop influencée par l'atmosphère ambiante. La déshydratation et la décomposition de l'oxalate ont lieu en deux étapes. Il se forme un composé intermédiaire de transition contenant à la fois les groupes oxalate et carbonate. La décomposition des groupes oxalate fournit un carbonate de composition Ba2Zr2O5CO3 qui se décompose entre 600 et 800° pour fournir du zirconate de baryum. L'analyse chimique, les spectres IR et la diffraction des rayons X sur poudre, apportent les preuves de l'existence d'un composé intermédiaire comme entité séparée.

Local variability and base sequence effects in DNA crystal structures.

The importance and usefulness of local doublet parameters in understanding sequence dependent effects has been described for A- and B-DNA oligonucleotide crystal structures. Each of the two sets of local parameters described by us in the NUPARM algorithm, namely the local doublet parameters, calculated with reference to the mean z-axis, and the local helical parameters, calculated with reference to the local helix axis, is sufficient to describe the oligonucleotide structures, with the local helical parameters giving a slightly magnified picture of the variations in the structures. The values of local doublet parameters calculated by NUPARM algorithm are similar to those calculated by NEWHELIX90 program, only if the oligonucleotide fragment is not too distorted. The mean values obtained using all the available data for B-DNA crystals are not significantly different from those obtained when a limited data set is used, consisting only of structures with a data resolution of better than 2.4 A and without any bound drug molecule. Thus the variation observed in the oligonucleotide crystals appears to be independent of the quality of their crystallinity. No strong correlation is seen between any pair of local doublet parameters but the local helical parameters are interrelated by geometric relationships. An interesting feature that emerges from this analysis is that the local rise along the z-axis is highly correlated with the difference in the buckle values of the two basepairs in the doublet, as suggested earlier for the dodecamer structures (Bansal and Bhattacharyya, in Structure & Methods: DNA & RNA, Vol. 3 (Eds., R.H. Sarma and M.H. Sarma), pp. 139-153 (1990)). In fact the local rise values become almost constant for both A- and B-forms, if a correction is applied for the buckling of the basepairs. In B-DNA the AA, AT, TA and GA basepair sequences generally have a smaller local rise (3.25 A) compared to the other sequences (3.4 A) and this seems to be an intrinsic feature of basepair stacking interaction and not related to any other local doublet parameter. The roll angles in B-DNA oligonucleotides have small values (less than +/- 8 degrees), while mean local twist varies from 24 degrees to 45 degrees. The CA/TG doublet sequences show two types of preferred geometries, one with positive roll, small positive slide and reduced twist and another with negative roll, large positive slide and increased twist.(ABSTRACT TRUNCATED AT 400 WORDS)

Chemical toughening of epoxies. II. Mechanical, thermal, and microscopic studies of epoxies toughened with hydroxyl-terminated poly(butadiene-co-acrylonitrile)

Diglycidyl ether–bisphenol-A-based epoxies toughened with various levels (0–12%) of chemically reacted liquid rubber, hydroxyl-terminated poly(butadiene-co-acrylonitrile) (HTBN) were studied for some of the mechanical and thermal properties. Although the ultimate tensile strength showed a continuous decrease with increasing rubber content, the toughness as measured by the area under the stress-vs.-strain curve and flexural strength reach a maximum around an optimum rubber concentration of 3% before decreasing. Tensile modulus was found to increase for concentrations below 6%. The glass transition temperature Tg as measured by DTA showed no variation for the toughened formulations. The TGA showed no variations in the pattern of decomposition. The weight losses for the toughened epoxies at elevated temperatures compare well with that of the neat epoxy. Scanning electron microscopy revealed the presence of a dual phase morphology with the spherical rubber particles precipitating out in the cured resin with diameter varying between 0.33 and 6.3 μm. In contrast, a physically blended rubber–epoxy showed much less effect towards toughening with the precipitated rubber particles of much bigger diameter (0.6–21.3 μm).

Characterization and evaluation of melibiose as novel excipient in tablet compaction

Lactose is probably the most used tablet excipient in the field of pharmacy. Although lactose is thoroughly characterized and available in many different forms there is a need to find a replacer for lactose as a filler/binder in tablet formulations because it has some downsides. Melibiose is a relatively unknown disaccharide that has not been thoroughly characterized and not previously used as an excipient in tablets. Structurally melibiose is close to lactose as it is also formed from the same two monosaccharides, glucose and galactose. Aim of this research is to characterize and to study physicochemical properties of melibiose. Also the potential of melibiose to be used as pharmaceutical tablet excipient, even as a substitute for lactose is evaluated. Current knowledge about fundamentals of tableting and methods for determinating of deformation behavior and tabletability are reviewed. In this research Raman spectroscopy, X-ray powder diffraction (XRPD), near-infrared spectroscopy (NIR) and Fourier-transform infrared spectroscopy (FT-IR) were used to study differences between two melibiose batches purchased from two suppliers. In NIR and FT-IR measurements no difference between materials could be observed. XPRD and Raman however found differences between the two melibiose batches. Also the effects of moisture content and heating to material properties were studied and moisture content of materials seems to cause some differences. Thermal analytical methods, differential scanning calorimetry (DSC) and thermogravimetry (TG) were used to study thermal behaviour of melibiose and difference between materials was found. Other melibiose batch contains residual water which evaporates at higher temperatures causing the differences in thermal behaviour. Scanning electron microscopy images were used to evaluate particle size, particle shape and morphology. Bulk, tapped and true densities and flow properties of melibiose was measured. Particle size of the melibiose batches are quite different resulting causing differences in the flowability. Instrumented tableting machine and compression simulator were used to evaluate tableting properties of melbiose compared to α-lactose monohydrate. Heckel analysis and strain-rate sensitivity index were used to determine deformation mechanism of melibiose monohydrate in relation to α–lactose monohydrate during compaction. Melibiose seems to have similar deformation behaviour than α-lactose monohydrate. Melibiose is most likely fragmenting material. Melibiose has better compactibility than α – lactose monohydrate as it produces tablets with higher tensile strength with similar compression pressures. More compression studies are however needed to confirm these results because limitations of this study.

Sensitivity of wetland methane emissions to model assumptions: application and model testing against site observations

Abstract. Methane emissions from natural wetlands and rice paddies constitute a large proportion of atmospheric methane, but the magnitude and year-to-year variation of these methane sources is still unpredictable. Here we describe and evaluate the integration of a methane biogeochemical model (CLM4Me; Riley et al., 2011) into the Community Land Model 4.0 (CLM4CN) in order to better explain spatial and temporal variations in methane emissions. We test new functions for soil pH and redox potential that impact microbial methane production in soils. We also constrain aerenchyma in plants in always-inundated areas in order to better represent wetland vegetation. Satellite inundated fraction is explicitly prescribed in the model because there are large differences between simulated fractional inundation and satellite observations. A rice paddy module is also incorporated into the model, where the fraction of land used for rice production is explicitly prescribed. The model is evaluated at the site level with vegetation cover and water table prescribed from measurements. Explicit site level evaluations of simulated methane emissions are quite different than evaluating the grid cell averaged emissions against available measurements. Using a baseline set of parameter values, our model-estimated average global wetland emissions for the period 1993–2004 were 256 Tg CH4 yr−1, and rice paddy emissions in the year 2000 were 42 Tg CH4 yr−1. Tropical wetlands contributed 201 Tg CH4 yr−1, or 78 % of the global wetland flux. Northern latitude (>50 N) systems contributed 12 Tg CH4 yr−1. We expect this latter number may be an underestimate due to the low high-latitude inundated area captured by satellites and unrealistically low high-latitude productivity and soil carbon predicted by CLM4. Sensitivity analysis showed a large range (150–346 Tg CH4 yr−1) in predicted global methane emissions. The large range was sensitive to: (1) the amount of methane transported through aerenchyma, (2) soil pH (± 100 Tg CH4 yr−1), and (3) redox inhibition (± 45 Tg CH4 yr−1).