Modelling world investment markets using threshold conditional correlation models

In this paper we propose a parsimonious regime-switching approach to model the correlations between assets, the threshold conditional correlation (TCC) model. This method allows the dynamics of the correlations to change from one state (or regime) to another as a function of observable transition variables. Our model is similar in spirit to Silvennoinen and Teräsvirta (2009) and Pelletier (2006) but with the appealing feature that it does not suffer from the course of dimensionality. In particular, estimation of the parameters of the TCC involves a simple grid search procedure. In addition, it is easy to guarantee a positive definite correlation matrix because the TCC estimator is given by the sample correlation matrix, which is positive definite by construction. The methodology is illustrated by evaluating the behaviour of international equities, govenrment bonds and major exchange rates, first separately and then jointly. We also test and allow for different parts in the correlation matrix to be governed by different transition variables. For this, we estimate a multi-threshold TCC specification. Further, we evaluate the economic performance of the TCC model against a constant conditional correlation (CCC) estimator using a Diebold-Mariano type test. We conclude that threshold correlation modelling gives rise to a significant reduction in portfolio´s variance.

Modelling of Mercury’s surface composition and remote detection from the orbit with the BepiColombo Mercury Planetary Orbiter

It can be assumed that the composition of Mercury’s thin gas envelope (exosphere) is related to thecomposition of the planets crustal materials. If this relationship is true, then inferences regarding the bulkchemistry of the planet might be made from a thorough exospheric study. The most vexing of allunsolved problems is the uncertainty in the source of each component. Historically, it has been believedthat H and He come primarily from the solar wind, while Na and K originate from volatilized materialspartitioned between Mercury’s crust and meteoritic impactors. The processes that eject atoms andmolecules into the exosphere of Mercury are generally considered to be thermal vaporization, photonstimulateddesorption (PSD), impact vaporization, and ion sputtering. Each of these processes has its owntemporal and spatial dependence. The exosphere is strongly influenced by Mercury’s highly ellipticalorbit and rapid orbital speed. As a consequence the surface undergoes large fluctuations in temperatureand experiences differences of insolation with longitude. We will discuss these processes but focus moreon the expected surface composition and solar wind particle sputtering which releases material like Caand other elements from the surface minerals and discuss the relevance of composition modelling

Modelling the Human Values Scale from Consumers Transactional Data Bases

The main objective of this paper aims at developing a methodology that takes into account the human factor extracted from the data base used by the recommender systems, and which allow to resolve the specific problems of prediction and recommendation. In this work, we propose to extract the user's human values scale from the data base of the users, to improve their suitability in open environments, such as the recommender systems. For this purpose, the methodology is applied with the data of the user after interacting with the system. The methodology is exemplified with a case study

Computational drug design strategies applied to the modelling of human immunodeficiency virus-1 reverse transcriptase inhibitors

Reverse transcriptase (RT) is a multifunctional enzyme in the human immunodeficiency virus (HIV)-1 life cycle and represents a primary target for drug discovery efforts against HIV-1 infection. Two classes of RT inhibitors, the nucleoside RT inhibitors (NRTIs) and the nonnucleoside transcriptase inhibitors are prominently used in the highly active antiretroviral therapy in combination with other anti-HIV drugs. However, the rapid emergence of drug-resistant viral strains has limited the successful rate of the anti-HIV agents. Computational methods are a significant part of the drug design process and indispensable to study drug resistance. In this review, recent advances in computer-aided drug design for the rational design of new compounds against HIV-1 RT using methods such as molecular docking, molecular dynamics, free energy calculations, quantitative structure-activity relationships, pharmacophore modelling and absorption, distribution, metabolism, excretion and toxicity prediction are discussed. Successful applications of these methodologies are also highlighted.

Coronary MR imaging using free-breathing 3D steady-state free precession with radial k-space sampling.

PURPOSE: To investigate the potential of free-breathing 3D steady-state free precession (SSFP) imaging with radial k-space sampling for coronary MR-angiography (MRA), coronary projection MR-angiography and coronary vessel wall imaging. MATERIALS AND METHODS: A navigator-gated free-breathing T2-prepared 3D SSFP sequence (TR = 6.1 ms, TE = 3.0 ms, flip angle = 120 degrees, field-of-view = 360 mm(2)) with radial k-space sampling (384 radials) was implemented for coronary MRA. For projection coronary MRA, this sequence was combined with a 2D selective aortic spin tagging pulse. Coronary vessel wall imaging was performed using a high-resolution inversion-recovery black-blood 3D radial SSFP sequence (384 radials, TR = 5.3 ms, TE = 2.7 ms, flip angle = 55 degrees, reconstructed resolution 0.35 x 0.35 x 1.2 mm(3)) and a local re-inversion pulse. Six healthy volunteers (two for each sequence) were investigated. Motion artifact level was assessed by two radiologists. Results: In coronary MRA, the coronary lumen was displayed with a high signal and high contrast to the surrounding lumen. Projection coronary MRA demonstrated selective visualization of the coronary lumen while surrounding tissue was almost completely suppressed. In coronary vessel wall imaging, the vessel wall was displayed with a high signal when compared to the blood pool and the surrounding tissue. No visible motion artifacts were seen. Conclusion: 3D radial SSFP imaging enables coronary MRA, coronary projection MRA and coronary vessel wall imaging with a low motion artifact level.

Modelling scenarios of diffusion and control of pandemic influenza, italy

En aquest article es resumeixen els resultats publicats en un informe de l' ISS (Istituto Superiore di Sanità) del desembre de 2006, sobre un model matemàtic desenvolupat per un grup de treball que inclou a investigadors de les Universitats de Trento, Pisa i Roma, i els Instituts Nacionals de Salut (Istituto Superiore di Sanità, ISS), per avaluar i mesurar l'impacte de la transmissió i el control de la pandèmia de grip

Overcoming the rare species modelling paradox: test of a novel hierarchical framework with an Iberian endemic plant

Rare species have restricted geographic ranges, habitat specialization, and/or small population sizes. Datasets on rare species distribution usually have few observations, limited spatial accuracy and lack of valid absences; conversely they provide comprehensive views of species distributions allowing to realistically capture most of their realized environmental niche. Rare species are the most in need of predictive distribution modelling but also the most difficult to model. We refer to this contrast as the "rare species modelling paradox" and propose as a solution developing modelling approaches that deal with a sufficiently large set of predictors, ensuring that statistical models aren't overfitted. Our novel approach fulfils this condition by fitting a large number of bivariate models and averaging them with a weighted ensemble approach. We further propose that this ensemble forecasting is conducted within a hierarchic multi-scale framework. We present two ensemble models for a test species, one at regional and one at local scale, each based on the combination of 630 models. In both cases, we obtained excellent spatial projections, unusual when modelling rare species. Model results highlight, from a statistically sound approach, the effects of multiple drivers in a same modelling framework and at two distinct scales. From this added information, regional models can support accurate forecasts of range dynamics under climate change scenarios, whereas local models allow the assessment of isolated or synergistic impacts of changes in multiple predictors. This novel framework provides a baseline for adaptive conservation, management and monitoring of rare species at distinct spatial and temporal scales.

Statistical evidences of cyclic changes in volcanic gas chemistry composition by inverse modelling

The identification of compositional changes in fumarolic gases of active and quiescent volcanoes is one of the mostimportant targets in monitoring programs. From a general point of view, many systematic (often cyclic) and randomprocesses control the chemistry of gas discharges, making difficult to produce a convincing mathematical-statisticalmodelling.Changes in the chemical composition of volcanic gases sampled at Vulcano Island (Aeolian Arc, Sicily, Italy) fromeight different fumaroles located in the northern sector of the summit crater (La Fossa) have been analysed byconsidering their dependence from time in the period 2000-2007. Each intermediate chemical composition has beenconsidered as potentially derived from the contribution of the two temporal extremes represented by the 2000 and 2007samples, respectively, by using inverse modelling methodologies for compositional data. Data pertaining to fumarolesF5 and F27, located on the rim and in the inner part of La Fossa crater, respectively, have been used to achieve theproposed aim. The statistical approach has allowed us to highlight the presence of random and not random fluctuations,features useful to understand how the volcanic system works, opening new perspectives in sampling strategies and inthe evaluation of the natural risk related to a quiescent volcano

Modelling the cardiovascular system for automatic interpretation of the blood pressure curve

A four compartment model of the cardiovascular system is developed. To allow for easy interpretation and to minimise the number of parameters, an effort was made to keep the model as simple as possible. A sensitivity analysis is first carried out to determine which are the most important model parameters to characterise the blood pressure signal. A four stage process is then described which accurately determines all parameter values. This process is applied to data from three patients and good agreement is shown in all cases.

Modelling changes in stable isotope compositions of minerals during net transfer reactions in a contact aureole: Wollastonite growth at the northern Hunter Mountain Batholith (Death Valley National Park, USA)

One of the world's largest wollastonite deposits was formed at the contact of the northern Hunter Mountain Batholith (California, USA) in Paleozoic sediments. Wollastonite occurs as zones of variable thickness surrounding layers or nodules of quartzite in limestones. A minimum formation temperature of 650 degrees C is estimated from isolated periclase-bearing lenses in that area. Contact metamorphism of siliceous carbonates has produced mineral assemblages that are consistent with heterogeneous, and partly limited infiltration of water-rich fluids, compatible with O-18/O-16 and C-13/C-12 isotopic patterns recorded in carbonates. Oxygen isotope compositions of wollastonites in the study area may also not require infiltration of large quantities of externally-derived fluids that were out of equilibrium with the rocks. 8180 values of wollastonite are high (14.8 parts per thousand to 25.0 parts per thousand; median: 19.7 parts per thousand) and close to those of the host limestone (19.7 parts per thousand to 28 parts per thousand; median: 24.9 parts per thousand) and quartz (18.0 parts per thousand. to 29.1 parts per thousand; median: 22.6 parts per thousand). Isotopic disequilibrium exists at quartz/wollastonite and wollastonite/calcite boundaries. Therefore, classical batch/Rayleigh fractionation models based on reactant and product equilibrium are not applicable to the wollastonite rims. An approach that relies on local instantaneous mass balance for the reactants, based on the wollastonite-forming reaction is suggested as an alternative way to model wollastonite reaction rims. This model reproduces many of the measured delta O-18 values of wollastonite reaction rims of the current study to within +/- 1 parts per thousand, even though the wollastonite compositions vary by almost 10 parts per thousand. (C) 2011 Elsevier B.V. All rights reserved.

Dynamic modelling of an underwater vehicle

Nessie is an Autonomous Underwater Vehicle (AUV) created by a team of students in the Heriot Watt University to compete in the Student Autonomous Underwater Competition, Europe (SAUC-E) in August 2006. The main objective of the project is to find the dynamic equation of the robot, dynamic model. With it, the behaviour of the robot will be easier to understand and movement tests will be available by computer without the need of the robot, what is a way to save time, batteries, money and the robot from water inside itself. The object of the second part in this project is setting a control system for Nessie by using the model

Functional calibration procedure for 3D knee joint angle description using inertial sensors.

Measurement of three-dimensional (3D) knee joint angle outside a laboratory is of benefit in clinical examination and therapeutic treatment comparison. Although several motion capture devices exist, there is a need for an ambulatory system that could be used in routine practice. Up-to-date, inertial measurement units (IMUs) have proven to be suitable for unconstrained measurement of knee joint differential orientation. Nevertheless, this differential orientation should be converted into three reliable and clinically interpretable angles. Thus, the aim of this study was to propose a new calibration procedure adapted for the joint coordinate system (JCS), which required only IMUs data. The repeatability of the calibration procedure, as well as the errors in the measurement of 3D knee angle during gait in comparison to a reference system were assessed on eight healthy subjects. The new procedure relying on active and passive movements reported a high repeatability of the mean values (offset<1 degrees) and angular patterns (SD<0.3 degrees and CMC>0.9). In comparison to the reference system, this functional procedure showed high precision (SD<2 degrees and CC>0.75) and moderate accuracy (between 4.0 degrees and 8.1 degrees) for the three knee angle. The combination of the inertial-based system with the functional calibration procedure proposed here resulted in a promising tool for the measurement of 3D knee joint angle. Moreover, this method could be adapted to measure other complex joint, such as ankle or elbow.

Detailed 3D seismic imaging of a fault zone beneath Lake Geneva, Switzerland

An efficient high-resolution (HR) three-dimensional (3D) seismic reflection system for small-scale targets in lacustrine settings was developed. In Lake Geneva, near the city of Lausanne, Switzerland, the offshore extension of a complex fault zone well mapped on land was chosen for testing our system. A preliminary two-dimensional seismic survey indicated structures that include a thin (<40 m) layer of subhorizontal Quaternary sediments that unconformably overlie south-east-dipping Tertiary Molasse beds and a major fault zone (Paudeze Fault Zone) that separates Plateau and Subalpine Molasse (SM) units. A 3D survey was conducted over this test site using a newly developed three-streamer system. It provided high-quality data with a penetration to depths of 300 m below the water bottom of non-aliased signal for dips up to 30degrees and with a maximum vertical resolution of 1.1 m. The data were subjected to a conventional 3D processing sequence that included post-stack time migration. Tests with 3D pre-stack depth migration showed that such techniques can be applied to HR seismic surveys. Delineation of several horizons and fault surfaces reveals the potential for small-scale geologic and tectonic interpretation in three dimensions. Five major seismic facies and their detailed 3D geometries can be distinguished. Three fault surfaces and the top of a molasse surface were mapped in 3D. Analysis of the geometry of these surfaces and their relative orientation suggests that pre-existing structures within the Plateau Molasse (PM) unit influenced later faulting between the Plateau and SM. In particular, a change in strike of the PM bed dip may indicate a fold formed by a regional stress regime, the orientation of which was different from the one responsible for the creation of the Paudeze Fault Zone. This structure might have later influenced the local stress regime and caused the curved shape of the Paudeze Fault in our surveyed area.

Anàlisi de l'aplicació Geomedia 3D

Anàlisi de les diferents funcionalitats de l'aplicació Geomedia 3D i la seva utilitat dins del terreny dels sistemes d'informació geogràfica.