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).

Os Sistemas de custeio e a competitividade da empresa

Trabalho de Projecto para a obtenção do grau de Mestre em Contabilidade e Finanças

Ferromagnetic order in aged Co-doped TiO2 anatase nanopowders

Oxide based diluted magnetic semiconductor (DMS) materials have been a subject of increasing interest due to reports of room temperature ferromagnetism in several systems and their potential use in the development of spintronic devices. However, concerns on the stability of the magnetic properties of different DMS systems have been raised. Their magnetic moment is often unstable, vanishing with a characteristic decay time of weeks or months, which precludes the development of real applications. This paper reports on the ferromagnetic properties of two-year-aged Ti1-xCoxO2-δ reduced anatase nanopowders with different Co contents (0.03≤x≤0.10). Aged samples retain rather high values of magnetization, remanence and coercivity which provide strong evidence for a quite preserved long-range ferromagnetic order. In what concern Co segregation, some degree of metastability of the diluted Co doped anatase structure could be inferred in the case of the sample with the higher Co content.

Cr2O3 thin films grown at room temperature by low pressure laser chemical vapour deposition

Chromia (Cr2O3) has been extensively explored for the purpose of developing widespread industrial applications, owing to the convergence of a variety of mechanical, physical and chemical properties in one single oxide material. Various methods have been used for large area synthesis of Cr2O3 films. However, for selective area growth and growth on thermally sensitive materials, laser-assisted chemical vapour deposition (LCVD) can be applied advantageously. Here we report on the growth of single layers of pure Cr2O3 onto sapphire substrates at room temperature by low pressure photolytic LCVD, using UV laser radiation and Cr(CO)(6) as chromium precursor. The feasibility of the LCVD technique to access selective area deposition of chromia thin films is demonstrated. Best results were obtained for a laser fluence of 120 mJ cm(-2) and a partial pressure ratio of O-2 to Cr(CO)(6) of 1.0. Samples grown with these experimental parameters are polycrystalline and their microstructure is characterised by a high density of particles whose size follows a lognormal distribution. Deposition rates of 0.1 nm s(-1) and mean particle sizes of 1.85 mu m were measured for these films. (C) 2011 Elsevier B.V. All rights reserved.

A new chemical route to synthesise TM-doped (TM = Co, Fe) TiO2 nanoparticles

Since the discovery of ferromagnetism well above room temperature in the Co-doped TiO2 system, diluted magnetic semiconductors based on TiO2 doped with transition metals have generated great interest because of their potential use in the development of spintronic devices. The purpose of this paper is to report on a new and swift chemical route to synthesise highly stable anatase single-phase Co- and Fe-doped TiO2 nanoparticles, with dopant concentrations of up to 10 at.-% and grain sizes that range between 20 and 30 nm. Complementary structural, microstructural and chemical analyses of the different nanopowders synthesised strongly support the hypothesis that a homogeneous distribution of the dopant element in the substitutional sites of the anatase structure has been achieved. Moreover, UV/Vis diffuse reflectance spectra of powder samples show redshifts to lower energies and decreasing bandgap energies with increasing Co or Fe concentration, which is consistent with n-type doping of the TiO2 anatase matrix. Films of Co-doped TiO2 were successfully deposited onto Si (100) substrates by the dip-coating method, with suspensions of Ti1-xCOxO2 nanoparticles in ethylene glycol. ((C)Wiley-VCH Verlag GmbH & Co. KGaA, 69451 Weinheim, Germany, 2008).

KrF pulsed laser deposition of chromium oxide thin films from Cr8O21 targets

Chromium oxides, CrxOy, are of great interest due to the wide variety of their technological applications. Among them, CrO2 has been extensively investigated in recent years because it is an attractive compound for use in spintronic heterostructures. However, its synthesis at low temperatures has been a difficult task due to the metastable nature of this oxide. This is indeed essential to ensure interface quality and the ability to coat thermal-sensitive materials such as those envisaged in spintronic devices. Pulsed Laser Deposition (PLD) is a technique that has the potential to meet the requirements stated above. In this work, we describe our efforts to grow chromium oxide thin films by PLD from Cr8O21 targets, using a KrF excimer laser. The as-deposited films were investigated by X-ray diffraction and Rutherford backscattering spectrometry. Structural and chemical composition studies showed that the films consist of a mixture of amorphous chromium oxides exhibiting different stoichiometries depending on the processing parameters, where nanocrystals of mainly Cr2O3 are dispersed. The analyses do not exclude the possibility of co-deposition of Cr2O3 and a low fraction of CrO2.

Laser-assisted deposition of thin films from photoexcited vapour phases

Laser-assisted chemical vapour deposition (LCVD) has been extensively studied in the last two decades. A vast range of applications encompass various areas such as microelectronics, micromechanics, microelectromechanics and integrated optics, and a variety of metals, semiconductors and insulators have been grown by LCVD. In this article, we review briefly the LCVD process and present two case studies of thin film deposition related to laser thermal excitation (e.g., boron carbide) and non-thermal excitation (e.g., CrO(2)) of the gas phase.

KrP laser CVD of chromium oxide by photodissociation of Cr(CO)(6)

This work reports on the synthesis of chromium oxide thin films prepared by photodissociation of Cr(CO)(6) in an oxidizing atmosphere, using a pulsed UV laser (KrF, lambda = 248 nm). The experimental conditions, which should enable the synthesis of CrO2, are discussed and results on the deposition of CrxOy films on Al2O3 (0001) substrates are presented.

Morphological and structural characterization of CrO2/Cr2O3 films grown by laser-CVD

This work reports on the synthesis of chromium (III, IV) oxides films by KrF laser-assisted CVD. Films were deposited onto sapphire substrates at room temperature by the photodissociation of Cr(CO)(6) in dynamic atmospheres containing oxygen and argon. A study of the processing parameters has shown that partial pressure ratio Of O-2 to Cr(CO)(6) and laser fluence are the prominent parameters that have to be accurately controlled in order to co-deposit both the crystalline oxide phases. Films consistent with such a two-phase system were synthesised for a laser fluence of 75 mJ cm(-2) and a partial pressure ratio of about 1. (c) 2005 Elsevier B.V. All rights reserved.

Bioconversion of D-glucose into D-glucosone by Glucose 2-oxidase from Coriolus versicolor at Moderate Pressures

Glucose 2-oxidase (pyranose oxidase, pyranose: oxygen-2-oxidoreductase, EC 1.1.3.10) from Coriolus versicolor catalyses the oxidation of D-glucose at carbon 2 in the presence of molecular O(2) producing D-glucosone (2-keto-glucose and D-arabino-2-hexosulose) and H(2)O(2). It was used to convert D-glucose into D-glucosone at moderate pressures (i.e. up to 150 bar) with compressed air in a modified commercial batch reactor. Several parameters affecting biocatalysis at moderate pressures were investigated as follows: pressure, [enzyme], [glucose], pH, temperature, nature of fluid and the presence of catalase. Glucose 2-oxidase was purified by immobilized metal affinity chromatography on epoxy-activated Sepharose 6B-IDA-Cu(II) column at pH 6.0. The rate of bioconversion of D-glucose increased with the pressure since an increase in the pressure with compressed air resulted in higher rates of conversion. On the other hand, the presence of catalase increased the rate of reaction which strongly suggests that H(2)O(2) acted as inhibitor for this reaction. The rate of bioconversion of D-glucose by glucose 2-oxidase in the presence of either nitrogen or supercritical CO(2) at 110 bar was very low compared with the use of compressed air at the same pressure. The optimum temperature (55 degrees C) and pH (5.0) of D-glucose bioconversion as well as kinetic parameters for this enzyme were determined under moderate pressure. The activation energy (E(a)) was 32.08 kJmol(-1) and kinetic parameters (V(max), K(m), K(cat) and K(cat)/K(m)) for this bioconversion were 8.8 Umg(-1) protein, 2.95 mM, 30.81 s(-1) and 10,444.06 s(-1)M(-1), respectively. The biomass of C. versicolor as well as the cell-free extract containing glucose 2-oxidase activity were also useful for bioconversion of D-glucose at moderate pressures. The enzyme was apparently stable at moderate pressures since such pressures did not affect significantly the enzyme activity.

Elastically restrained Bernoulli-Euler beams applied to rotary machinery modelling

Facing the lateral vibration problem of a machine rotor as a beam on elastic supports in bending, the authors deal with the free vibration of elastically restrained Bernoulli-Euler beams carrying a finite number of concentrated elements along their length. Based on Rayleigh's quotient, an iterative strategy is developed to find the approximated torsional stiffness coefficients, which allows the reconciliation between the theoretical model results and the experimental ones, obtained through impact tests. The mentioned algorithm treats the vibration of continuous beams under a determined set of boundary and continuity conditions, including different torsional stiffness coefficients and the effect of attached concentrated masses and rotational inertias, not only in the energetic terms of the Rayleigh's quotient but also on the mode shapes, considering the shape functions defined in branches. Several loading cases are examined and examples are given to illustrate the validity of the model and accuracy of the obtained natural frequencies.

Definition of MV Load Diagrams via Weighted Evidence Accumulation Clustering using Subsampling

A definition of medium voltage (MV) load diagrams was made, based on the data base knowledge discovery process. Clustering techniques were used as support for the agents of the electric power retail markets to obtain specific knowledge of their customers’ consumption habits. Each customer class resulting from the clustering operation is represented by its load diagram. The Two-step clustering algorithm and the WEACS approach based on evidence accumulation (EAC) were applied to an electricity consumption data from a utility client’s database in order to form the customer’s classes and to find a set of representative consumption patterns. The WEACS approach is a clustering ensemble combination approach that uses subsampling and that weights differently the partitions in the co-association matrix. As a complementary step to the WEACS approach, all the final data partitions produced by the different variations of the method are combined and the Ward Link algorithm is used to obtain the final data partition. Experiment results showed that WEACS approach led to better accuracy than many other clustering approaches. In this paper the WEACS approach separates better the customer’s population than Two-step clustering algorithm.

Long-term price range forecast applied to risk management using regression models

Long-term contractual decisions are the basis of an efficient risk management. However those types of decisions have to be supported with a robust price forecast methodology. This paper reports a different approach for long-term price forecast which tries to give answers to that need. Making use of regression models, the proposed methodology has as main objective to find the maximum and a minimum Market Clearing Price (MCP) for a specific programming period, and with a desired confidence level α. Due to the problem complexity, the meta-heuristic Particle Swarm Optimization (PSO) was used to find the best regression parameters and the results compared with the obtained by using a Genetic Algorithm (GA). To validate these models, results from realistic data are presented and discussed in detail.

A short-term risk management tool applied to OMEL electricity market using particle swarm optimization

Short-term risk management is highly dependent on long-term contractual decisions previously established; risk aversion factor of the agent and short-term price forecast accuracy. Trying to give answers to that problem, this paper provides a different approach for short-term risk management on electricity markets. Based on long-term contractual decisions and making use of a price range forecast method developed by the authors, the short-term risk management tool presented here has as main concern to find the optimal spot market strategies that a producer should have for a specific day in function of his risk aversion factor, with the objective to maximize the profits and simultaneously to practice the hedge against price market volatility. Due to the complexity of the optimization problem, the authors make use of Particle Swarm Optimization (PSO) to find the optimal solution. Results from realistic data, namely from OMEL electricity market, are presented and discussed in detail.

Genetic algorithm methodology applied to intelligent house control

In recent years the use of several new resources in power systems, such as distributed generation, demand response and more recently electric vehicles, has significantly increased. Power systems aim at lowering operational costs, requiring an adequate energy resources management. In this context, load consumption management plays an important role, being necessary to use optimization strategies to adjust the consumption to the supply profile. These optimization strategies can be integrated in demand response programs. The control of the energy consumption of an intelligent house has the objective of optimizing the load consumption. This paper presents a genetic algorithm approach to manage the consumption of a residential house making use of a SCADA system developed by the authors. Consumption management is done reducing or curtailing loads to keep the power consumption in, or below, a specified energy consumption limit. This limit is determined according to the consumer strategy and taking into account the renewable based micro generation, energy price, supplier solicitations, and consumers’ preferences. The proposed approach is compared with a mixed integer non-linear approach.