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.

Effect of insertion of buffer-strip on the response of carbon-epoxy system in short beam tests

dThe work looks at the response to three-point loading of carbon-epoxy (CF-EP) composites with inserted buffer strip (BS) material. Short beam Shear tests were performed to study the load-deflection response as well as fracture features through macroscopy on the CF-EP system containing the interleaved PTFE-coated fabric material. Significant differences were noticed in the response of the CF-EP system to the bending process consequent to the architectural modification. It was inferred that introduction of small amounts of less adherent layers of material at specific locations causes a decrement in the load carrying capability. Further the number and the ease with which interface separation occurs is found to depend on the extent to which the inserted layer is present in either single or multiple layer positions.

Analysis of short interproton distances in proline peptides as a guide in the interpretation of nuclear overhauser effects

The conformational dependence of interproton distances in model proline peptides has been investigated in order to facilitate interpretation of the results of Nuclear Overhauser Effect (NOE) studies on such peptides. For this purpose two model systems, namely, Ac-Pro-NHMe and Ac-Pro-X-NHMe have been chosen and used. In the former, short interproton distances detectable in NOE experiments permit a clear distinction between conformations with Pro ψ = -300 (helical region) and those in which ψ is around 1200 (polyproline region). For the latter, the variation of distances between the protons of methyl amide and the Pro ring have been studied by superimposing on the Ramachandran map in the (φ3, ψ3) plane. The results show that β-turns and non-β-turn conformations can be readily distinguished from NOE data and such long range NOEs should be detectable for specific non-β-turn conformations. NOEs involving Cβ and Cγ protons are particularly sensitive to the state of pyrrolidine ring puckering.

Enantiodiscrimination and extraction of short and long range homo- and hetero-nuclear residual dipolar couplings by a spin selective correlation experiment

A two dimensional correlation experiment for the measurement of short and long range homo- and hetero- nuclear residual dipolar couplings (RDCs) from the broad and featureless proton NMR spectra including C-13 satellites is proposed. The method employs a single natural abundant C-13 spin as a spy nucleus to probe all the coupled protons and permits the determination of RDCs of negligible strengths. The technique has been demonstrated for the study of organic chiral molecules aligned in chiral liquid crystal, where additional challenge is to unravel the overlapped spectrum of enantiomers. The significant advantage of the method is demonstrated in better chiral discrimination using homonuclear RDCs as additional parameters. (C) 2010 Elsevier B.V. All rights reserved.

The short range interactions between two rare gas atoms

The short range interactions in He2, Ne2 and Ar2 have been studied in terms of the electronic forces as functions of their internuclear separations employing their single configuration SCF wave functions. The results show that the constituent molecular orbitals behave differently in terms of the forces they exert on the nuclei during the interaction process. The different behaviour of the orbitals is also reflected in the redistribution of charges.

Processing and fiber content effects on the machinability of compression moulded random direction short GFRP composites

The random direction short Glass Fiber Reinforced Plastics (GFRP) have been prepared by two compression moulding processes, namely the Preform and Sheet Moulding Compound (SMC) processes. Cutting force analysis and surface characterization are conducted on the random direction short GFRPs with varying fiber contents (25 similar to 40%). Edge trimming experiments are preformed using carbide inserts with varing the depth of cut and cutting speed. Machining characteristics of the Preform and SMC processed random direction short GFRPs are evaluated in terms of cutting forces, surface quality, and tool wear. It is found that composite primary processing and fiber contents are major contributing factors influencing the cutting force magnitudes and surface textures. The SMC composites show better surface finish over the Preform composites due to less delamination and fiber pullouts. Moreover, matrix damage and fiber protrusions at the machined edge are reduced by increasing fiber content in the random direction short GFRP composites.

Electrical switching and short-range order in As-Te glasses

The local structural order in chalcogenide network glasses is known to change markedly at two critical compositions, namely, the percolation and chemical thresholds. In the AsxTe100-x glassy system, both the thresholds coincide at the composition x = 40 (40 at. % of arsenic). It is demonstrated that the electrical switching fields of As-Te glasses exhibit a distinct change at this composition.

Seasonal and short-term variation in denitrification and anammox at a coastal station on the Gulf of Finland, Baltic Sea

Benthic processes were measured at a coastal deposition area in the northern Baltic Sea, covering all seasons. The N-2 production rates, 90-400 mu mol N m(-2) d(-1), were highest in autumn-early winter and lowest in spring. Heterotrophic bacterial production peaked unexpectedly late in the year, indicating that in addition to the temperature, the availability of carbon compounds suitable for the heterotrophic bacteria also plays a major role in regulating the denitrification rate. Anaerobic ammonium oxidation (anammox) was measured in spring and autumn and contributed 10% and 15%, respectively, to the total N-2 production. The low percentage did, however, result in a significant error in the total N-2 production rate estimate, calculated using the isotope pairing technique. Anammox must be taken into account in the Gulf of Finland in future sediment nitrogen cycling research.

Phage Displayed Short Peptides against Cells of Candida albicans Demonstrate Presence of Species, Morphology and Region Specific Carbohydrate Epitopes

Candida albicans is a commensal opportunistic pathogen, which can cause superficial infections as well as systemic infections in immuocompromised hosts. Among nosocomial fungal infections, infections by C. albicans are associated with highest mortality rates even though incidence of infections by other related species is on the rise world over. Since C. albicans and other Candida species differ in their susceptibility to antifungal drug treatment, it is crucial to accurately identify the species for effective drug treatment. Most diagnostic tests that differentiate between C. albicans and other Candida species are time consuming, as they necessarily involve laboratory culturing. Others, which employ highly sensitive PCR based technologies often, yield false positives which is equally dangerous since that leads to unnecessary antifungal treatment. This is the first report of phage display technology based identification of short peptide sequences that can distinguish C. albicans from other closely related species. The peptides also show high degree of specificity towards its different morphological forms. Using fluorescence microscopy, we show that the peptides bind on the surface of these cells and obtained clones that could even specifically bind to only specific regions of cells indicating restricted distribution of the epitopes. What was peculiar and interesting was that the epitopes were carbohydrate in nature. This gives insight into the complexity of the carbohydrate composition of fungal cell walls. In an ELISA format these peptides allow specific detection of relatively small numbers of C. albicans cells. Hence, if used in combination, such a test could help accurate diagnosis and allow physicians to initiate appropriate drug therapy on time.

Transverse plane wave analysis of short elliptical chamber mufflers: An analytical approach

Short elliptical chamber mufflers are used often in the modern day automotive exhaust systems. The acoustic analysis of such short chamber mufflers is facilitated by considering a transverse plane wave propagation model along the major axis up to the low frequency limit. The one dimensional differential equation governing the transverse plane wave propagation in such short chambers is solved using the segmentation approaches which are inherently numerical schemes, wherein the transfer matrix relating the upstream state variables to the downstream variables is obtained. Analytical solution of the transverse plane wave model used to analyze such short chambers has not been reported in the literature so far. This present work is thus an attempt to fill up this lacuna, whereby Frobenius solution of the differential equation governing the transverse plane wave propagation is obtained. By taking a sufficient number of terms of the infinite series, an approximate analytical solution so obtained shows good convergence up to about 1300 Hz and also covers most of the range of muffler dimensions used in practice. The transmission loss (TL) performance of the muffler configurations computed by this analytical approach agrees excellently with that computed by the Matrizant approach used earlier by the authors, thereby offering a faster and more elegant alternate method to analyze short elliptical muffler configurations. (C) 2010 Elsevier Ltd. All rights reserved.