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).

Detectives with pimples: how teen noir is crossing the frontiers of the traditional noir films

In the last ten years, teen noir movies and series — such as Donnie Darko (2001), Brick (2005), or Veronica Mars (2004-2007) — have become increasingly popular among audiences, both in the USA and in Europe, and aroused the curiosity of critics. These teen noir adventures present darker themes and technical features that distinguish them from numerous productions aiming at young adults. Their narrative and aesthetic characteristics reinvent and subvert the tradition of classic noir movies of the forties and fifties, thus generating a sense of novelty. In this article, I focus my attention on Veronica Mars, a famous teen noir series, created by Rob Thomas, to examine: a) the teen noir themes; b) the new profile and role of the private investigator; c) the empowerment of girls/young women; d) razor-sharp dialogues; e) intertextual references to old- school noir movies. In order to do so, resort to the research of specialists in the field of neo noir, such as Mark Conrad, Foster Hirsch, or Roz Kaveney. My main goal is to prove that a new (sub)genre is slowly emerging and revivifying teen cinema.

Mould and yeast identification in archival settings: preliminary results on the use of traditional methods and molecular biology options in Portuguese archives

This project was developed to fully assess the indoor air quality in archives and libraries from a fungal flora point of view. It uses classical methodologies such as traditional culture media – for the viable fungi – and modern molecular biology protocols, especially relevant to assess the non-viable fraction of the biological contaminants. Denaturing high-performance liquid chromatography (DHPLC) has emerged as an alternative to denaturing gradient gel electrophoresis (DGGE) and has already been applied to the study of a few bacterial communities. We propose the application of DHPLC to the study of fungal colonization on paper-based archive materials. This technology allows for the identification of each component of a mixture of fungi based on their genetic variation. In a highly complex mixture of microbial DNA this method can be used simply to study the population dynamics, and it also allows for sample fraction collection, which can, in many cases, be immediately sequenced, circumventing the need for cloning. Some examples of the methodological application are shown. Also applied is fragment length analysis for the study of mixed Candida samples. Both of these methods can later be applied in various fields, such as clinical and sand sample analysis. So far, the environmental analyses have been extremely useful to determine potentially pathogenic/toxinogenic fungi such as Stachybotrys sp., Aspergillus niger, Aspergillus fumigatus, and Fusarium sp. This work will hopefully lead to more accurate evaluation of environmental conditions for both human health and the preservation of documents.

Patterns, mathematics and culture : the search for symmetry in Azorean sidewalks and traditional crafts

In the hustle and bustle of daily life, how often do we stop to pay attention to the tiny details around us, some of them right beneath our feet? Such is the case of interesting decorative patterns that can be found in squares and sidewalks beautified by the traditional Portuguese pavement. Its most common colors are the black and the white of the basalt and the limestone used; the result is a large variety and richness in patterns. No doubt, it is worth devoting some of our time enjoying the lovely Portuguese pavement, a true worldwide attraction. The interesting patterns found on the Azorean handicrafts are as fascinating and substantial from the cultural point of view. Patterns existing in the sidewalks and crafts can be studied from the mathematical point of view, thus allowing a thorough and rigorous cataloguing of such heritage. The mathematical classification is based on the concept of symmetry, a unifying principle of geometry. Symmetry is a unique tool for helping us relate things that at first glance may appear to have no common ground at all. By interlacing different fields of endeavor, the mathematical approach to sidewalks and crafts is particularly interesting, and an excellent source of inspiration for the development of highly motivated recreational activities. This text is an invitation to visit the nine islands of the Azores and to identify a wide range of patterns, namely rosettes and friezes, by getting to know different arts and crafts and sidewalks.

Nutritional value and influence of the thermal processing on a traditional Portuguese fermented sausage (alheira)

Alheiras are a traditional, smoked, fermented meat sausage, produced in Portugal, with an undeniable cultural and gastronomic legacy. In this study, we assessed the nutritional value of this product, as well as the influence of different types of thermal processing. Alheiras from Mirandela were submitted to six different procedures: microwave, skillet, oven, charcoal grill, electric fryer and electric grill. Protein, fat, carbohydrate, minerals, NaCl, and cholesterol contents, as well as fatty acid profile were evaluated. The results show that alheiras are not hypercaloric but an unbalanced foodstuff (high levels of proteins and lipids) and the type of processing has a major impact on their nutritional value. Charcoal grill is the healthiest option: less fat (12.5 g/100 g) and cholesterol (29.3 mg/100 g), corresponding to a lower caloric intake (231.8 kcal, less 13% than the raw ones). Inversely, fried alheiras presented the worst nutritional profile, with the highest levels of fat (18.1 g/100 g) and cholesterol (76.0 g/100 g).

Traditional knowledge for promotion of socioeconomic inclusion of local communities

This paper discusses the key role played by public research institutes for promoting socioeconomic inclusion of local communities based on traditional knowledge and traditional medicine. Nongovernmental organizations and cooperatives have had an important role in raising financial resources, being involved with advocacy of local communities and advancing legislation changes. But strict best manufacturing practices regulations imposed by the Brazilian National Health Surveillance Agency on the requirements for approval and commercialization of drugs based on herbal medicine products call for the involvement of strong public research institutes capable of supporting community-based pharmacies. Thus, public research institutes are pivotal as they can conduct scientific research studies to evidence the efficacy of herbal medicine products and help building the capacity of local communities to comply with current regulations.

Self-mated tribological systems based on multilayer micro/nanocrystalline CVD diamond coatings

The tribological response of multilayer micro/nanocrystalline diamond coatings grown by the hot filament CVD technique is investigated. These multigrade systems were tailored to comprise a starting microcrystalline diamond (MCD) layer with high adhesion to a silicon nitride (Si3N4) ceramic substrate, and a top nanocrystalline diamond (NCD) layer with reduced surface roughness. Tribological tests were carried out with a reciprocating sliding configuration without lubrication. Such composite coatings exhibit a superior critical load before delamination (130–200 N), when compared to the mono- (60–100 N) and bilayer coatings (110 N), considering ∼10 µm thick films. Regarding the friction behaviour, a short-lived initial high friction coefficient was followed by low friction regimes (friction coefficients between 0.02 and 0.09) as a result of the polished surfaces tailored by the tribological solicitation. Very mild to mild wear regimes (wear coefficient values between 4.1×10−8 and 7.7×10−7 mm3 N−1 m−1) governed the wear performance of the self-mated multilayer coatings when subjected to high-load short-term tests (60–200 N; 2 h; 86 m) and medium-load endurance tests (60 N; 16 h; 691 m).

Wear resistance of TiAlSiN thin coatings

In the last decades TiAlN coatings deposited by PVD techniques have been extensively investigated but, nowadays, their potential development for tribological applications is relatively low. However, new coatings are emerging based on them, trying to improve wear behavior. TiAlSiN thin coatings are now investigated, analyzing if Si introduction increases the wear resistance of PVD films. Attending to the application, several wear test configurations has been recently used by some researchers. In this work, TiAlSiN thin coatings were produced by PVD Unbalanced Magnetron Sputtering technique and they were conveniently characterized using Scanning Electron Microscopy (SEM) provided with Energy Dispersive Spectroscopy (EDS), Atomic Force Microscopy (AFM), Electron Probe Micro-Analyzer (EPMA), Micro Hardness (MH) and Scratch Test Analysis. Properties as morphology, thickness, roughness, chemical composition and structure, hardness and film adhesion to the substrate were investigated. Concerning to wear characterization, two very different ways were chosen: micro-abrasion with ball-on-flat configuration and industrial non-standardized tests based on samples inserted in a feed channel of a selected plastic injection mould working with 30% (wt.) glass fiber reinforced polypropylene. TiAlSiN coatings with a small amount of about 5% (wt.) Si showed a similar wear behavior when compared with TiAlN reported performances, denoting that Si addition does not improve the wear performance of the TiAlN coatings in these wear test conditions.

A Web-Based geographical information system prototype on Portuguese traditional food products

Dissertation submitted in partial fulfilment of the requirements for the Degree of Master of Science in Geospatial Technologies

Adhesion and wear behaviour of NCD coatings on Si3N4 by micro-abrasion tests

Nanocrystalline diamond (NCD) coatings offer an excellent alternative for tribological applications, preserving most of the intrinsic mechanical properties of polycrystalline CVD diamond and adding to it an extreme surface smoothness. Silicon nitride (Si3N4) ceramics are reported to guarantee high adhesion levels to CVD microcrystalline diamond coatings, but the NCD adhesion to Si3N4 is not yet well established. Micro-abrasion tests are appropriate for evaluating the abrasive wear resistance of a given surface, but they also provide information on thin film/substrate interfacial resistance, i.e., film adhesion. In this study, a comparison is made between the behaviour of NCD films deposited by hot-filament chemical vapour deposition (HFCVD) and microwave plasma assisted chemical vapour deposition (MPCVD) techniques. Silicon nitride (Si3N4) ceramic discs were selected as substrates. The NCD depositions by HFCVD and MPCVD were carried out using H2–CH4 and H2–CH4–N2 gas mixtures, respectively. An adequate set of growth parameters was chosen for each CVD technique, resulting in NCD films having a final thickness of 5 m. A micro-abrasion tribometer was used, with 3 m diamond grit as the abrasive slurry element. Experiments were carried out at a constant rotational speed (80 r.p.m.) and by varying the applied load in the range of 0.25–0.75 N. The wear rate for MPCVD NCD (3.7±0.8 × 10−5 m3N−1m−1) is compatible with those reported for microcrystalline CVD diamond. The HFCVD films displayed poorer adhesion to the Si3N4 ceramic substrates than the MPCVD ones. However, the HFCVD films show better wear resistance as a result of their higher crystallinity according to the UV Raman data, despite evidencing premature adhesion failure.

Influence of the abrasive particles size in the micro-abrasion wear tests of TiAlSiN thin coatings

Ball rotating micro-abrasion tribometers are commonly used to carry out wear tests on thin hard coatings. In these tests, different kinds of abrasives were used, as alumina (Al2O3), silicon carbide (SiC) or diamond. In each kind of abrasive, several particle sizes can be used. Some studies were developed in order to evaluate the influence of the abrasive particle shape in the micro-abrasion process. Nevertheless, the particle size was not well correlated with the material removed amount and wear mechanisms. In this work, slurry of SiC abrasive in distilled water was used, with three different particles size. Initial surface topography was accessed by atomic force microscopy (AFM). Coating hardness measurements were performed with a micro-hardness tester. In order to evaluate the wear behaviour, a TiAlSiN thin hard film was used. The micro-abrasion tests were carried out with some different durations. The abrasive effect of the SiC particles was observed by scanning electron microscopy (SEM) both in the films (hard material) as in the substrate (soft material), after coating perforation. Wear grooves and removed material rate were compared and discussed.

Micro-abrasion wear behaviour of TiAlCrSiN nanostructured coatings

The injection process of glass fibres reinforced plastics promotes the moulds surface degradation by erosion. In order to improve its wear resistance, several kinds of PVD thin hard coatings were used. It is well-known that nanostructures present a better compromise between hardness and toughness. Indeed, when the coating is constituted by a large number of ultra-thin different layers, cracks and interface troubles tend to decrease. However, it is not clear that these nanostructures present a better wear behaviour in erosion processes. In order to study its wear behaviour, a sputtered PVD nanostructured TiAlCrSiN coating was used. The substrate and film surfaces topography were analyzed by profilometry and atomic force microscopy techniques. Film adhesion to the substrate was evaluated by scratch tests. The surface hardness was measured with a Vickers micro-hardness tester. The wear resistance was evaluated by micro-abrasion with a rotating ball tribometer tests. Slurry of SiC particles in distilled water was used in order to provoke the surface abrasion. Different duration tests were performed in order to analyze the wear evolution. After these tests, the wear mechanisms developed were analyzed by scanning electron microscopy. Wear craters were measured and the wear rate was calculated and discussed. With the same purpose, coated inserts were mounted in an injection mould working with a 30% glass fibres reinforced polypropylene. After 45 000 cycles no relevant wear was registered.