Cojumps in stock prices:empirical evidence

We examine contemporaneous jumps (cojumps) among individual stocks and a proxy for the market portfolio. We show, through a Monte Carlo study, that using intraday jump tests and a coexceedance criterion to detect cojumps has a power similar to the cojump test proposed by Bollerslev et al. (2008). However, we also show that we should not expect to detect all common jumps comprising a cojump when using such coexceedance based detection methods. Empirically, we provide evidence of an association between jumps in the market portfolio and cojumps in the underlying stocks. Consistent with our Monte Carlo evidence, moderate numbers of stocks are often detected to be involved in these (systematic) cojumps. Importantly, the results suggest that market-level news is able to generate simultaneous large jumps in individual stocks. We also find evidence of an association between systematic cojumps and Federal Funds Target Rate announcements. © 2013 Elsevier B.V.

Short and long memory in stock returns data

The properties of an iterative procedure for the estimation of the parameters of an ARFIMA process are investigated in a Monte Carlo study. The estimation procedure is applied to stock returns data for 15 countries. © 2012.

Stochastic Optimization in Robust Statistic

2000 Mathematics Subject Classification: 62J05, 62G35

Utilisation de la tomodensitométrie à deux énergies pour le calcul de dose en curiethérapie à bas débit

Dans la pratique actuelle de la curiethérapie à bas débit, l'évaluation de la dose dans la prostate est régie par le protocole défini dans le groupe de travail 43 (TG-43) de l'American Association of Physicists in Medicine. Ce groupe de travail suppose un patient homogène à base d'eau de même densité et néglige les changements dans l'atténuation des photons par les sources de curiethérapie. En considérant ces simplifications, les calculs de dose se font facilement à l'aide d'une équation, indiquée dans le protocole. Bien que ce groupe de travail ait contribué à l'uniformisation des traitements en curiethérapie entre les hôpitaux, il ne décrit pas adéquatement la distribution réelle de la dose dans le patient. La publication actuelle du TG-186 donne des recommandations pour étudier des distributions de dose plus réalistes. Le but de ce mémoire est d'appliquer ces recommandations à partir du TG-186 pour obtenir une description plus réaliste de la dose dans la prostate. Pour ce faire, deux ensembles d'images du patient sont acquis simultanément avec un tomodensitomètre à double énergie (DECT). Les artéfacts métalliques présents dans ces images, causés par les sources d’iode, sont corrigés à l'aide d’un algorithme de réduction d'artefacts métalliques pour DECT qui a été développé dans ce travail. Ensuite, une étude Monte Carlo peut être effectuée correctement lorsque l'image est segmentée selon les différents tissus humains. Cette segmentation est effectuée en évaluant le numéro atomique effectif et la densité électronique de chaque voxel, par étalonnage stoechiométrique propre au DECT, et en y associant le tissu ayant des paramètres physiques similaires. Les résultats montrent des différences dans la distribution de la dose lorsqu'on compare la dose du protocole TG-43 avec celle retrouvée avec les recommandations du TG-186.

Utilisation de la tomodensitométrie à deux énergies pour le calcul de dose en curiethérapie à bas débit

Dans la pratique actuelle de la curiethérapie à bas débit, l'évaluation de la dose dans la prostate est régie par le protocole défini dans le groupe de travail 43 (TG-43) de l'American Association of Physicists in Medicine. Ce groupe de travail suppose un patient homogène à base d'eau de même densité et néglige les changements dans l'atténuation des photons par les sources de curiethérapie. En considérant ces simplifications, les calculs de dose se font facilement à l'aide d'une équation, indiquée dans le protocole. Bien que ce groupe de travail ait contribué à l'uniformisation des traitements en curiethérapie entre les hôpitaux, il ne décrit pas adéquatement la distribution réelle de la dose dans le patient. La publication actuelle du TG-186 donne des recommandations pour étudier des distributions de dose plus réalistes. Le but de ce mémoire est d'appliquer ces recommandations à partir du TG-186 pour obtenir une description plus réaliste de la dose dans la prostate. Pour ce faire, deux ensembles d'images du patient sont acquis simultanément avec un tomodensitomètre à double énergie (DECT). Les artéfacts métalliques présents dans ces images, causés par les sources d’iode, sont corrigés à l'aide d’un algorithme de réduction d'artefacts métalliques pour DECT qui a été développé dans ce travail. Ensuite, une étude Monte Carlo peut être effectuée correctement lorsque l'image est segmentée selon les différents tissus humains. Cette segmentation est effectuée en évaluant le numéro atomique effectif et la densité électronique de chaque voxel, par étalonnage stoechiométrique propre au DECT, et en y associant le tissu ayant des paramètres physiques similaires. Les résultats montrent des différences dans la distribution de la dose lorsqu'on compare la dose du protocole TG-43 avec celle retrouvée avec les recommandations du TG-186.

Study of the optical and magnetic properties of pyrimidine in water combining PCM and QM/MM methodologies

The solvent effects on the low-lying absorption spectrum and on the (15)N chemical shielding of pyrimidine in water are calculated using the combined and sequential Monte Carlo simulation and quantum mechanical calculations. Special attention is devoted to the solute polarization. This is included by an iterative procedure previously developed where the solute is electrostatically equilibrated with the solvent. In addition, we verify the simple yet unexplored alternative of combining the polarizable continuum model (PCM) and the hybrid QM/MM method. We use PCM to obtain the average solute polarization and include this in the MM part of the sequential QM/MM methodology, PCM-MM/QM. These procedures are compared and further used in the discrete and the explicit solvent models. The use of the PCM polarization implemented in the MM part seems to generate a very good description of the average solute polarization leading to very good results for the n-pi* excitation energy and the (15)N nuclear chemical shield of pyrimidine in aqueous environment. The best results obtained here using the solute pyrimidine surrounded by 28 explicit water molecules embedded in the electrostatic field of the remaining 472 molecules give the statistically converged values for the low lying n-pi* absorption transition in water of 36 900 +/- 100 (PCM polarization) and 36 950 +/- 100 cm(-1) (iterative polarization), in excellent agreement among one another and with the experimental value observed with a band maximum at 36 900 cm(-1). For the nuclear shielding (15)N the corresponding gas-water chemical shift obtained using the solute pyrimidine surrounded by 9 explicit water molecules embedded in the electrostatic field of the remaining 491 molecules give the statistically converged values of 24.4 +/- 0.8 and 28.5 +/- 0.8 ppm, compared with the inferred experimental value of 19 +/- 2 ppm. Considering the simplicity of the PCM over the iterative polarization this is an important aspect and the computational savings point to the possibility of dealing with larger solute molecules. This PCM-MM/QM approach reconciles the simplicity of the PCM model with the reliability of the combined QM/MM approaches.

Distinct conformational properties determined by implicit and explicit representation of protein-solvent interactions. An analytical and computer simulation study

In the protein folding problem, solvent-mediated forces are commonly represented by intra-chain pairwise contact energy. Although this approximation has proven to be useful in several circumstances, it is limited in some other aspects of the problem. Here we show that it is possible to achieve two models to represent the chain-solvent system. one of them with implicit and other with explicit solvent, such that both reproduce the same thermodynamic results. Firstly, lattice models treated by analytical methods, were used to show that the implicit and explicitly representation of solvent effects can be energetically equivalent only if local solvent properties are time and spatially invariant. Following, applying the same reasoning Used for the lattice models, two inter-consistent Monte Carlo off-lattice models for implicit and explicit solvent are constructed, being that now in the latter the solvent properties are allowed to fluctuate. Then, it is shown that the chain configurational evolution as well as the globule equilibrium conformation are significantly distinct for implicit and explicit solvent systems. Actually, strongly contrasting with the implicit solvent version, the explicit solvent model predicts: (i) a malleable globule, in agreement with the estimated large protein-volume fluctuations; (ii) thermal conformational stability, resembling the conformational hear resistance of globular proteins, in which radii of gyration are practically insensitive to thermal effects over a relatively wide range of temperatures; and (iii) smaller radii of gyration at higher temperatures, indicating that the chain conformational entropy in the unfolded state is significantly smaller than that estimated from random coil configurations. Finally, we comment on the meaning of these results with respect to the understanding of the folding process. (C) 2009 Elsevier B.V. All rights reserved.

Adsorption of binary hydrocarbon mixtures in carbon slit pores: A density functional theory study

Adsorption of binary hydrocarbon mixtures involving methane in carbon slit pores is theoretically studied here from the viewpoints of separation and of the effect of impurities on methane storage. It is seen that even small amounts of ethane, propane, or butane can significantly reduce the methane capacity of carbons. Optimal pore sizes and pressures, depending on impurity concentration, are noted in the present work, suggesting that careful adsorbent and process design can lead to enhanced separation. These results are consistent with earlier literature studies for the infinite dilution limit. For methane storage applications a carbon micropore width of 11.4 Angstrom (based on distance between centers of carbon atoms on opposing walls) is found to be the most suitable from the point of view of lower impurity uptake during high-pressure adsorption and greater impurity retention during low-pressure delivery. The results also theoretically confirm unusual recently reported observations of enhanced methane adsorption in the presence of a small amount of heavier hydrocarbon impurity.

Assessing cost-effectiveness - Mental health: introduction to the study and methods

Objective: The Assessing Cost-Effectiveness - Mental Health (ACE-MH) study aims to assess from a health sector perspective, whether there are options for change that could improve the effectiveness and efficiency of Australia's current mental health services by directing available resources toward 'best practice' cost-effective services. Method: The use of standardized evaluation methods addresses the reservations expressed by many economists about the simplistic use of League Tables based on economic studies confounded by differences in methods, context and setting. The cost-effectiveness ratio for each intervention is calculated using economic and epidemiological data. This includes systematic reviews and randomised controlled trials for efficacy, the Australian Surveys of Mental Health and Wellbeing for current practice and a combination of trials and longitudinal studies for adherence. The cost-effectiveness ratios are presented as cost (A$) per disability-adjusted life year (DALY) saved with a 95% uncertainty interval based on Monte Carlo simulation modelling. An assessment of interventions on 'second filter' criteria ('equity', 'strength of evidence', 'feasibility' and 'acceptability to stakeholders') allows broader concepts of 'benefit' to be taken into account, as well as factors that might influence policy judgements in addition to cost-effectiveness ratios. Conclusions: The main limitation of the study is in the translation of the effect size from trials into a change in the DALY disability weight, which required the use of newly developed methods. While comparisons within disorders are valid, comparisons across disorders should be made with caution. A series of articles is planned to present the results.

Close packed transitions in slit-shaped pores: Density functional theory study of methane adsorption capacity in carbon

An important feature of improving lattice gas models and classical isotherms is the incorporation of a pore size dependent capacity, which has hitherto been overlooked. In this paper, we develop a model for predicting the temperature dependent variation in capacity with pore size. The model is based on the analysis of a lattice gas model using a density functional theory approach at the close packed limit. Fluid-fluid and solid-fluid interactions are modeled by the Lennard-Jones 12-6 potential and Steele's 10-4-3, potential respectively. The capacity of methane in a slit-shaped carbon pore is calculated from the characteristic parameters of the unit cell, which are extracted by minimizing the grand potential of the unit cell. The capacities predicted by the proposed model are in good agreement with those obtained from grand canonical Monte Carlo simulation, for pores that can accommodate up to three adsorbed layers. Single particle and pair distributions exhibit characteristic features that correspond to the sequence of buckling and rhombic transitions that occur as the slit pore width is increased. The model provides a useful tool to model continuous variation in the microstructure of an adsorbed phase, namely buckling and rhombic transitions, with increasing pore width. (C) 2002 American Institute of Physics.

Computing the phase diagram of binary mixtures: A patchy particle case study

We investigate the phase behaviour of 2D mixtures of bi-functional and three-functional patchy particles and 3D mixtures of bi-functional and tetra-functional patchy particles by means of Monte Carlo simulations and Wertheim theory. We start by computing the critical points of the pure systems and then we investigate how the critical parameters change upon lowering the temperature. We extend the successive umbrella sampling method to mixtures to make it possible to extract information about the phase behaviour of the system at a fixed temperature for the whole range of densities and compositions of interest. (C) 2013 AIP Publishing LLC.

Optimisation of paediatrics computed radiography for full spine curvature measurements using a phantom: a pilot study

Aim: Optimise a set of exposure factors, with the lowest effective dose, to delineate spinal curvature with the modified Cobb method in a full spine using computed radiography (CR) for a 5-year-old paediatric anthropomorphic phantom. Methods: Images were acquired by varying a set of parameters: positions (antero-posterior (AP), posteroanterior (PA) and lateral), kilo-voltage peak (kVp) (66-90), source-to-image distance (SID) (150 to 200cm), broad focus and the use of a grid (grid in/out) to analyse the impact on E and image quality (IQ). IQ was analysed applying two approaches: objective [contrast-to-noise-ratio/(CNR] and perceptual, using 5 observers. Monte-Carlo modelling was used for dose estimation. Cohen’s Kappa coefficient was used to calculate inter-observer-variability. The angle was measured using Cobb’s method on lateral projections under different imaging conditions. Results: PA promoted the lowest effective dose (0.013 mSv) compared to AP (0.048 mSv) and lateral (0.025 mSv). The exposure parameters that allowed lower dose were 200cm SID, 90 kVp, broad focus and grid out for paediatrics using an Agfa CR system. Thirty-seven images were assessed for IQ and thirty-two were classified adequate. Cobb angle measurements varied between 16°±2.9 and 19.9°±0.9. Conclusion: Cobb angle measurements can be performed using the lowest dose with a low contrast-tonoise ratio. The variation on measurements for this was ±2.9° and this is within the range of acceptable clinical error without impact on clinical diagnosis. Further work is recommended on improvement to the sample size and a more robust perceptual IQ assessment protocol for observers.

Study of forbidden transitions in atomic systems

A Thesis submitted for the co-tutelle degree of Doctor in Physics at Universidade Nova de Lisboa and Université Pierre et Marie Curie

Experimental and computational study on the synthesis and characterization of self-assembling meso/macroporous materials in highly concentrated emulsions

Report for the scientific sojourn carried out at Massachusetts General Hospital Cancer Center-Harvard Medical School, Estats Units, from 2010 to 2011. The project aims to study the aggregation behavior of amphiphilic molecules in the continuous phase of highly concentrated emulsions, which can be used as templates for the synthesis of meso/macroporous materials. At this stage of the project, we have investigated the self-assembly of diblock and triblock surfactants under the effect of a confined geometry being surrounded by the droplets of the dispersed phase. These droplets limit the growth of the aggregates, deeply modify their orientation and hence alter their spatial arrangement as compared to the self-assembly taking place far enough from any boundary surface, that is in the bulk. By performing Monte Carlo simulations, we have showed that the interface between the dispersed and continuous phases as well as its shape has a significant impact on the structural order of the resulting aggregates and hence on the potential applications of highly concentrated emulsions as reaction media, drug delivery systems, or templates for meso/macroporous materials. Due to the combined effect of symmetry breaking and morphological frustration, very intriguing structures, such as square columnar liquid crystals, twisted X-shaped aggregates, and helical phases of cylindrical aggregates, never observed in the bulk for the same model surfactant, have been found. The presence of other more conventional structures, such as micelles and cubic and hexagonal liquid crystals, formed at low and high amphiphilic concentrations, respectively, further enhance the interest on this already rich aggregation behavior.