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).

O risco do custo e do tempo no escanamento de projetos

Dissertação apresentada ao Instituto Politécnico do Porto para obtenção do Grau de Mestre em Logística Orientada por: Prof. Dr. Pedro Godinho

Re-entrant phase behaviour of network fluids: A patchy particle model with temperature-dependent valence

We study a model consisting of particles with dissimilar bonding sites ("patches"), which exhibits self-assembly into chains connected by Y-junctions, and investigate its phase behaviour by both simulations and theory. We show that, as the energy cost epsilon(j) of forming Y-junctions increases, the extent of the liquid-vapour coexistence region at lower temperatures and densities is reduced. The phase diagram thus acquires a characteristic "pinched" shape in which the liquid branch density decreases as the temperature is lowered. To our knowledge, this is the first model in which the predicted topological phase transition between a fluid composed of short chains and a fluid rich in Y-junctions is actually observed. Above a certain threshold for epsilon(j), condensation ceases to exist because the entropy gain of forming Y-junctions can no longer offset their energy cost. We also show that the properties of these phase diagrams can be understood in terms of a temperature-dependent effective valence of the patchy particles. (C) 2011 American Institute of Physics. [doi: 10.1063/1.3605703]

Cost dependent strategy for electricity markets bidding based on adaptive reinforcement learning

Electricity markets are complex environments, involving a large number of different entities, playing in a dynamic scene to obtain the best advantages and profits. MASCEM is a multi-agent electricity market simulator to model market players and simulate their operation in the market. Market players are entities with specific characteristics and objectives, making their decisions and interacting with other players. MASCEM provides several dynamic strategies for agents’ behavior. This paper presents a method that aims to provide market players with strategic bidding capabilities, allowing them to obtain the higher possible gains out of the market. This method uses a reinforcement learning algorithm to learn from experience how to choose the best from a set of possible bids. These bids are defined accordingly to the cost function that each producer presents.

Cost of schizophrenia: direct costs and use of resources in the State of São Paulo

OBJECTIVE: To estimate the direct costs of schizophrenia for the public sector. METHODS: A study was carried out in the state of São Paulo, Brazil, during 1998. Data from the medical literature and governmental research bodies were gathered for estimating the total number of schizophrenia patients covered by the Brazilian Unified Health System. A decision tree was built based on an estimated distribution of patients under different types of psychiatric care. Medical charts from public hospitals and outpatient services were used to estimate the resources used over a one-year period. Direct costs were calculated by attributing monetary values for each resource used. RESULTS: Of all patients, 81.5% were covered by the public sector and distributed as follows: 6.0% in psychiatric hospital admissions, 23.0% in outpatient care, and 71.0% without regular treatment. The total direct cost of schizophrenia was US$191,781,327 (2.2% of the total health care expenditure in the state). Of this total, 11.0% was spent on outpatient care and 79.2% went for inpatient care. CONCLUSIONS: Most schizophrenia patients in the state of São Paulo receive no regular treatment. The study findings point out to the importance of investing in research aimed at improving the resource allocation for the treatment of mental disorders in Brazil.

Potential distribution and cost estimation of the damage caused by Cryptotermes brevis (Isoptera: Kalotermitidae) in the Azores

Copyright © 2014 Entomological Society of America.

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

O justo valor como base de mensuração e sua auditoria: o caso particular dos fundos de investimento imobiliários fechados

Mestrado em Auditoria

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.

Weaving encounters: towards an art of participation

In the early 21st Century, with the phenomenon of digital convergence, the consecration of Web 2.0, the decrease of the cost of cameras and video recorders, the proliferation of mobile phones, laptops and wireless technologies, we witness the arising of a new wave of media, of an informal, personal and at times “minority” nature, facilitating social networks, a culture of fans, of sharing and remix. As digital networks become fully and deeply intricate in our experience, the idea of “participation” arises as one of the most complex and controversial themes of the contemporary critical discourse, namely in what concerns contemporary art and new media art. However, the idea of “participation” as a practice or postulate traverses the 20th century art playing an essential role in its auto-critic, in questioning the concept of author, and in the dilution of the frontiers between art, “life” and society, emphasizing the process, the everyday and a community sense. As such, questioning the new media art in light of a “participatory art” (Frieling, 2008) invokes a double gaze simultaneously attentive to the emerging figures of a “participatory aesthetics” in digital arts and of the genealogy in which it is included. In fact, relating the new media art with the complex and paradoxical phenomenon of “participation” allows us to, on the one hand, avoid “digital formalism” (Lovink, 2008) and analyse the relations between digital art and contemporary social movements; on the other hand, this angle of analysis contributes to reinforce the dialogue and the links between digital art and contemporary art, questioning the alleged frontiers that separate them.

Técnicas de rating em contexto de crise no setor bancário português

Dissertação para a obtenção do Grau de Mestre em Contabilidade e Finanças Orientador: Mestre Adalmiro Álvaro Malheiro de Castro Andrade Pereira