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).

Determination of pharmocotherapeutical complexity in institutionalized elderly

The phenomenon of aging is nowadays society as acquired the status of a social problem, with growing attention and concern, leading to an increase number of studies dedicated to the elderly. The lack of domestic, familiar or social support often lead elderly to nursing homes. Institutionalization is in many cases the only opportunity to have access to health care and life quality. Aging is also associated with a higher prevalence of chronic diseases that require long term medication sometimes for life. Frequently the onset of multiple pathologies at the same time require different therapies and the phenomenon of polypharmacy (five ou more drugs daily) can occur. Even more, the slow down of physiological and cognitives mechanisms associated with these chronic diseases can interphere, in one hand, with the pharmacocinetic of many medications and, on the other hand, with the facility to accomplish the therapeutical regimen. All of these realities contribute to an increase of pharmacotherapeutical complexity, decreasing the adherence and effectiveness of treatment. The pharmacotherapeutical complexity of an individual is characterized by the conciliator element of different characteristics of their drug therapy, such as: the number of medications used; dosage forms; dosing frequency and additional indications. It can be measured by the Medication Regimen Complexity Index (MRCI), originally validated in English.

Transmission cost allocation using cooperative game theory: a comparative study

In this paper is presented a Game Theory based methodology to allocate transmission costs, considering cooperation and competition between producers. As original contribution, it finds the degree of participation on the additional costs according to the demand behavior. A comparative study was carried out between the obtained results using Nucleolus balance and Shapley Value, with other techniques such as Averages Allocation method and the Generalized Generation Distribution Factors method (GGDF). As example, a six nodes network was used for the simulations. The results demonstrate the ability to find adequate solutions on open access environment to the networks.

Drug therapy complexity: the importance of pharmacotherapeutic follow-up

Nowadays, the phenomenon of population ageing represents an worldwide problem, which assumes particular significance in Portugal. As they get older, individuals present more comorbidities and consequently consume an increasing number of drugs, which contributes to a growing drug therapy complexity. The institutionalized elders are particularly affected by this occurrence. Drug therapy complexity is defined as the conciliator of several characteristics of the pharmacotherapy and can affect patient’s safety and medication adherence. It can be measured with Medication Regimen Complexity Index (MRCI). This study aims to determine the drug therapy complexity of institutionalized elders in order to assess the need of pharmacotherapeutic follow-up.

Design and performance of a novel low-density parity-check code for distributed video coding

Low-density parity-check (LDPC) codes are nowadays one of the hottest topics in coding theory, notably due to their advantages in terms of bit error rate performance and low complexity. In order to exploit the potential of the Wyner-Ziv coding paradigm, practical distributed video coding (DVC) schemes should use powerful error correcting codes with near-capacity performance. In this paper, new ways to design LDPC codes for the DVC paradigm are proposed and studied. The new LDPC solutions rely on merging parity-check nodes, which corresponds to reduce the number of rows in the parity-check matrix. This allows to change gracefully the compression ratio of the source (DCT coefficient bitplane) according to the correlation between the original and the side information. The proposed LDPC codes reach a good performance for a wide range of source correlations and achieve a better RD performance when compared to the popular turbo codes.

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

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.

Quais os motivos do insucesso de algumas crianças na aprendizagem musical? Motivação e Flow Theory

Este artigo aborda a natureza da motivação na sua relação com a aprendizagem musical. Um dos objectivos principais é problematizar a questão das diferenças no sucesso da aprendizagem musical quando nos encontramos perante indivíduos com níveis aparentemente semelhantes de capacidade e potencial musicais. Começa por apresentar um conjunto de modelos teóricos que oferecem uma visão acerca das razões que podem explicar as variações e mudanças na motivação. Refere-se investigação recente que sugere que os processos motivacionais não são pré-determinados mas podem ser aprendidos e que os indivíduos, para atingir níveis elevados de sucesso, necessitam de uma focagem no processo por oposição a uma focagem no produto. São introduzidos e explorados processos cognitivos fundamentais relacionados com a aprendizagem musical (por exemplo, comportamento au to-regulado, papel da motivação intrínseca e extrínseca) . Como conclusão, sugerem-se algumas práticas específicas para que os professores possam reflectir acerca da melhor forma de encorajar e aumentar a motivação dos seus alunos para aprender música.

Six thinking hats for electricity markets simulation: adapting meeting tools to agent decision

In almost all industrialized countries, the energy sector has suffered a severe restructuring that originated a greater complexity in market players’ interactions. The complexity that these changes brought made way for the creation of decision support tools that facilitate the study and understanding of these markets. MASCEM – “Multiagent Simulator for Competitive Electricity Markets” arose in this context providing a framework for evaluating new rules, new behaviour, and new participants in deregulated electricity markets. MASCEM uses game theory, machine learning techniques, scenario analysis and optimisation techniques to model market agents and to provide them with decision-support. ALBidS is a multiagent system created to provide decision support to market negotiating players. Fully integrated with MASCEM it considers several different methodologies based on very distinct approaches. The Six Thinking Hats is a powerful technique used to look at decisions from different perspectives. This tool’s goal is to force the thinker to move outside his habitual thinking style. It was developed to be used mainly at meetings in order to “run better meetings, make faster decisions”. This dissertation presents a study about the applicability of the Six Thinking Hats technique in Decision Support Systems, particularly with the multiagent paradigm like the MASCEM simulator. As such this work’s proposal is of a new agent, a meta-learner based on STH technique that organizes several different ALBidS’ strategies and combines the distinct answers into a single one that, expectedly, out-performs any of them.

Strategic bidding in electricity markets: an agent-based simulator with game theory for scenario analysis

Electricity markets are complex environments, involving a large number of different entities, with specific characteristics and objectives, making their decisions and interacting in a dynamic scene. Game-theory has been widely used to support decisions in competitive environments; therefore its application in electricity markets can prove to be a high potential tool. This paper proposes a new scenario analysis algorithm, which includes the application of game-theory, to evaluate and preview different scenarios and provide players with the ability to strategically react in order to exhibit the behavior that better fits their objectives. This model includes forecasts of competitor players’ actions, to build models of their behavior, in order to define the most probable expected scenarios. Once the scenarios are defined, game theory is applied to support the choice of the action to be performed. Our use of game theory is intended for supporting one specific agent and not for achieving the equilibrium in the market. MASCEM (Multi-Agent System for Competitive Electricity Markets) is a multi-agent electricity market simulator that models market players and simulates their operation in the market. The scenario analysis algorithm has been tested within MASCEM and our experimental findings with a case study based on real data from the Iberian Electricity Market are presented and discussed.

Accessing complexity from genome information

This paper studies the information content of the chromosomes of 24 species. In a first phase, a scheme inspired in dynamical system state space representation is developed. For each chromosome the state space dynamical evolution is shed into a two dimensional chart. The plots are then analyzed and characterized in the perspective of fractal dimension. This information is integrated in two measures of the species’ complexity addressing its average and variability. The results are in close accordance with phylogenetics pointing quantitative aspects of the species’ genomic complexity.

Simulation relations, interface complexity, and resource optimality for real-time hierachical systems

Compositional schedulability analysis of hierarchical realtime systems is a well-studied problem. Various techniques have been developed to abstract resource requirements of components in such systems, and schedulability has been addressed using these abstract representations (also called component interfaces). These approaches for compositional analysis incur resource overheads when they abstract components into interfaces. In this talk, we define notions of resource schedulability and optimality for component interfaces, and compare various approaches.