A nonlinear threshold model for the dependence of extremes of stationary sequences

One of the main implications of the efficient market hypothesis (EMH) is that expected future returns on financial assets are not predictable if investors are risk neutral. In this paper we argue that financial time series offer more information than that this hypothesis seems to supply. In particular we postulate that runs of very large returns can be predictable for small time periods. In order to prove this we propose a TAR(3,1)-GARCH(1,1) model that is able to describe two different types of extreme events: a first type generated by large uncertainty regimes where runs of extremes are not predictable and a second type where extremes come from isolated dread/joy events. This model is new in the literature in nonlinear processes. Its novelty resides on two features of the model that make it different from previous TAR methodologies. The regimes are motivated by the occurrence of extreme values and the threshold variable is defined by the shock affecting the process in the preceding period. In this way this model is able to uncover dependence and clustering of extremes in high as well as in low volatility periods. This model is tested with data from General Motors stocks prices corresponding to two crises that had a substantial impact in financial markets worldwide; the Black Monday of October 1987 and September 11th, 2001. By analyzing the periods around these crises we find evidence of statistical significance of our model and thereby of predictability of extremes for September 11th but not for Black Monday. These findings support the hypotheses of a big negative event producing runs of negative returns in the first case, and of the burst of a worldwide stock market bubble in the second example. JEL classification: C12; C15; C22; C51 Keywords and Phrases: asymmetries, crises, extreme values, hypothesis testing, leverage effect, nonlinearities, threshold models

Economic threshold levels for the velvetbean caterpillar on soybeans in Brazil: the social and the private perspectives

Pest Control is treated as a economic problem. The social and the private perspectives differ due to the consideration of the environmental and social impacts as well as technical aspects such as resistance, resurgence and secondary pests. A mathematical model is developed to determine and compare the social and the private optimum control strategies (which define the Economic Thereshold Levels) for the velvetbean caterpillar on soybeans in Brazil. The crop/pest system incorporates effects of predators and parasites, the soybean natural capacity to compensate for injury and the pesticide effects on both pests and its natural enemies; in the social case, the environmental and social impacts and the effects of pest resistance to the pesticide are incorporated. Consideration of density dependence, weather effects, randomnes of pest attack and risk aversion are discussed. The results can be compared with current control practices and IPM programme recomendations.

Sustaining sleep spindles through enhanced SK2-channel activity consolidates sleep and elevates arousal threshold.

Sleep spindles are synchronized 11-15 Hz electroencephalographic (EEG) oscillations predominant during nonrapid-eye-movement sleep (NREMS). Rhythmic bursting in the reticular thalamic nucleus (nRt), arising from interplay between Ca(v)3.3-type Ca(2+) channels and Ca(2+)-dependent small-conductance-type 2 (SK2) K(+) channels, underlies spindle generation. Correlative evidence indicates that spindles contribute to memory consolidation and protection against environmental noise in human NREMS. Here, we describe a molecular mechanism through which spindle power is selectively extended and we probed the actions of intensified spindling in the naturally sleeping mouse. Using electrophysiological recordings in acute brain slices from SK2 channel-overexpressing (SK2-OE) mice, we found that nRt bursting was potentiated and thalamic circuit oscillations were prolonged. Moreover, nRt cells showed greater resilience to transit from burst to tonic discharge in response to gradual depolarization, mimicking transitions out of NREMS. Compared with wild-type littermates, chronic EEG recordings of SK2-OE mice contained less fragmented NREMS, while the NREMS EEG power spectrum was conserved. Furthermore, EEG spindle activity was prolonged at NREMS exit. Finally, when exposed to white noise, SK2-OE mice needed stronger stimuli to arouse. Increased nRt bursting thus strengthens spindles and improves sleep quality through mechanisms independent of EEG slow waves (<4 Hz), suggesting SK2 signaling as a new potential therapeutic target for sleep disorders and for neuropsychiatric diseases accompanied by weakened sleep spindles.

Threshold Effects of Dismissal Protection Regulation and the Emergence of Temporary Work Agencies

Labour market regulations aimed at enhancing job-security are dominant in several OECD countries. These regulations seek to reduce dismissals of workers and fluctuations in employment. The main theoretical contribution is to gauge the effects of such regulations on labour demand across establishment sizes. In order to achieve this, we investigate an optimising model of labour demand under uncertainty through the application of real option theory. We also consider other forms of employment which increase the flexibility of the labour market. In particular, we are modelling the contribution of temporary employment agencies (Zeitarbeit) allowing for quick personnel adjustments in client firms. The calibration results indicate that labour market rigidities may be crucial for understanding sluggishness in firms´ labour demand and the emergence and growth of temporary work.

Partial Knowledge Restrictions on theTwo-Stage Threshold Model of Choice

In the context of the two-stage threshold model of decision making, with the agent’s choices determined by the interaction Of three “structural variables,” we study the restrictions on behavior that arise when one or more variables are xogenously known. Our results supply necessary and sufficient conditions for consistency with the model for all possible states of partial Knowledge, and for both single- and multivalued choice functions.

Multivariate contemporaneous-threshold autoregressive models

This paper proposes a contemporaneous-threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. A key feature of the model is that the transition function depends on all the parameters of the model as well as on the data. Since the mixing weights are also a function of the regime-specific innovation covariance matrix, the model can account for contemporaneous regime-specific co-movements of the variables. The stability and distributional properties of the proposed model are discussed, as well as issues of estimation, testing and forecasting. The practical usefulness of the C-MSTAR model is illustrated by examining the relationship between US stock prices and interest rates.

State-dependent threshold STAR models

In this paper we consider extensions of smooth transition autoregressive (STAR) models to situations where the threshold is a time-varying function of variables that affect the separation of regimes of the time series under consideration. Our specification is motivated by the observation that unusually high/low values for an economic variable may sometimes be best thought of in relative terms. State-dependent logistic STAR and contemporaneous-threshold STAR models are introduced and discussed. These models are also used to investigate the dynamics of U.S. short-term interest rates, where the threshold is allowed to be a function of past output growth and inflation.

Mitochondrial tRNA(Leu(UUR)) mutation m.3302A > G presenting as childhood-onset severe myopathy: threshold determination through segregation study.

Mitochondrial tRNA(Leu(UUR)) mutation m.3302A > G is associated with respiratory chain complex I deficiency and has been described as a rare cause of mostly adult-onset slowly progressive myopathy. Five families with 11 patients have been described so far; 5 of them died young due to cardiorespiratory failure. Here, we report on a segregation study in a family with an index patient who already presented at the age of 18 months with proximal muscular hypotonia, abnormal fatigability, and lactic acidosis. This early-onset myopathy was rapidly progressive. At 8 years, the patient is wheel-chair bound, requires nocturnal assisted ventilation, and suffers from recurrent respiratory infections. Severe complex I deficiency and nearly homoplasmy for m.3302A > G were found in muscle. We collected blood, hair, buccal swabs and muscle biopsies from asymptomatic adults in this pedigree and determined heteroplasmy levels in these tissues as well as OXPHOS activities in muscle. All participating asymptomatic adults had normal OXPHOS activities. In contrast to earlier reports, we found surprisingly little variation of heteroplasmy levels in different tissues of the same individual. Up to 45% mutation load in muscle and up to 38% mutation load in other tissues were found in non-affected adults. The phenotypic spectrum of tRNA(Leu(UUR)) m.3302A > G mutation seems to be wider than previously described. A threshold of more than 45% heteroplasmy in muscle seems to be necessary to alter complex I activity leading to clinical manifestation. The presented data may be helpful for prognostic considerations and counseling in affected families.

Reconstruction threshold for the hardcore model

"Vegeu el resum a l'inici del document del fitxer adjunt."

SAAP - Sistema Automático de Apuestas de Poker

Se trata de la creación de una aplicación de apuestas virtuales automáticas al juego del Texas Hold'Em Poker en el mercado de apuestas más grande que existe ahora mismo en Internet, en Betfair, en su categoría de X-Games. La aplicación permite seleccionar varias estrategias de apuestas que irá aplicando en cada juego.

Effect of inspiratory threshold loading on ventilatory kinetics during constant-load exercise.

Humoral factors play an important role in the control of exercise hyperpnea. The role of neuromechanical ventilatory factors, however, is still being investigated. We tested the hypothesis that the afferents of the thoracopulmonary system, and consequently of the neuromechanical ventilatory loop, have an influence on the kinetics of oxygen consumption (VO2), carbon dioxide output (VCO2), and ventilation (VE) during moderate intensity exercise. We did this by comparing the ventilatory time constants (tau) of exercise with and without an inspiratory load. Fourteen healthy, trained men (age 22.6 +/- 3.2 yr) performed a continuous incremental cycle exercise test to determine maximal oxygen uptake (VO2max = 55.2 +/- 5.8 ml x min(-1) x kg(-1)). On another day, after unloaded warm-up they performed randomized constant-load tests at 40% of their VO2max for 8 min, one with and the other without an inspiratory threshold load of 15 cmH2O. Ventilatory variables were obtained breath by breath. Phase 2 ventilatory kinetics (VO2, VCO2, and VE) could be described in all cases by a monoexponential function. The bootstrap method revealed small coefficients of variation for the model parameters, indicating an accurate determination for all parameters. Paired Student's t-tests showed that the addition of the inspiratory resistance significantly increased the tau during phase 2 of VO2 (43.1 +/- 8.6 vs. 60.9 +/- 14.1 s; P < 0.001), VCO2 (60.3 +/- 17.6 vs. 84.5 +/- 18.1 s; P < 0.001) and VE (59.4 +/- 16.1 vs. 85.9 +/- 17.1 s; P < 0.001). The average rise in tau was 41.3% for VO2, 40.1% for VCO2, and 44.6% for VE. The tau changes indicated that neuromechanical ventilatory factors play a role in the ventilatory response to moderate exercise.

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.

Trazodone increases arousal threshold in obstructive sleep apnoea.

A low arousal threshold is believed to predispose to breathing instability during sleep. The present authors hypothesised that trazodone, a nonmyorelaxant sleep-promoting agent, would increase the effort-related arousal threshold in obstructive sleep apnoea (OSA) patients. In total, nine OSA patients, mean+/-sd age 49+/-9 yrs, apnoea/hypopnoea index 52+/-32 events.h(-1), were studied on 2 nights, one with trazodone at 100 mg and one with a placebo, in a double blind randomised fashion. While receiving continuous positive airway pressure (CPAP), repeated arousals were induced: 1) by increasing inspired CO(2) and 2) by stepwise decreases in CPAP level. Respiratory effort was measured with an oesophageal balloon. End-tidal CO(2 )tension (P(ET,CO(2))) was monitored with a nasal catheter. During trazodone nights, compared with placebo nights, the arousals occurred at a higher P(ET,CO(2)) level (mean+/-sd 7.30+/-0.57 versus 6.62+/-0.64 kPa (54.9+/-4.3 versus 49.8+/-4.8 mmHg), respectively). When arousals were triggered by increasing inspired CO(2) level, the maximal oesophageal pressure swing was greater (19.4+/-4.0 versus 13.1+/-4.9 cm H(2)O) and the oesophageal pressure nadir before the arousals was lower (-5.1+/-4.7 versus -0.38+/-4.2 cm H(2)O) with trazodone. When arousals were induced by stepwise CPAP drops, the maximal oesophageal pressure swings before the arousals did not differ. Trazodone at 100 mg increased the effort-related arousal threshold in response to hypercapnia in obstructive sleep apnoea patients and allowed them to tolerate higher CO(2) levels.

Ressuscitação cardiopulmonar com a utilização do desfibrilador externo semi-automático: avaliação do processo ensino-aprendizagem

Estudos demonstram que a sobrevida após uma parada cardíaca diminui 10% para cada minuto de atraso na desfibrilação, e que a taxa de sobrevivência é de 98% quando ela é conseguida em 30 segundos. No atendimento de uma parada cardíaca, é primordial que seja incluído no treinamento a utilização dos desfibriladores externos semi-automáticos (DEA). O objetivo deste estudo foi comparar a Habilidade Psicomotora e o Conhecimento Teórico de leigos na técnica da ressuscitação cardiopulmonar (RCP) utilizando o DEA, antes e após treinamento. A amostra constituiu-se de 40 funcionários administrativos de uma instituição pública que receberam treinamento da técnica da RCP, utilizando o DEA, em laboratório. O aumento significativo de acertos nos itens do instrumento de avaliação da Habilidade Psicomotora e do Conhecimento Teórico, após o treinamento, indica que houve melhora no desempenho dos participantes.

Vehículos-robot de guiado automático para almacenes y plantas de manufacturación

En este proyecto de final de carrera se realiza la gestión del tráfico de AGV y la simulación de su comportamiento al circular por una planta de estudio. Con la simulación se puede ver como varía el comportamiento de la planta al modificar el número de AGV y la velocidad a la que circulan. La planta objeto de estudio es un laboratorio de análisis clínico en el que se ha sustituido el sistema de transporte interno basado en cintas por uno con AGV, con lo que se ha podido comprobar que dicha sustitución es factible.