Bicorrelations and cross-bicorrelations as non-linearity tests and tools for exchange rate forecasting

This paper proposes and implements a new methodology for forecasting time series, based on bicorrelations and cross-bicorrelations. It is shown that the forecasting technique arises as a natural extension of, and as a complement to, existing univariate and multivariate non-linearity tests. The formulations are essentially modified autoregressive or vector autoregressive models respectively, which can be estimated using ordinary least squares. The techniques are applied to a set of high-frequency exchange rate returns, and their out-of-sample forecasting performance is compared to that of other time series models

Tests of non-linearity using LIFFE futures transactions price data

This paper presents and implements a number of tests for non-linear dependence and a test for chaos using transactions prices on three LIFFE futures contracts: the Short Sterling interest rate contract, the Long Gilt government bond contract, and the FTSE 100 stock index futures contract. While previous studies of high frequency futures market data use only those transactions which involve a price change, we use all of the transaction prices on these contracts whether they involve a price change or not. Our results indicate irrefutable evidence of non-linearity in two of the three contracts, although we find no evidence of a chaotic process in any of the series. We are also able to provide some indications of the effect of the duration of the trading day on the degree of non-linearity of the underlying contract. The trading day for the Long Gilt contract was extended in August 1994, and prior to this date there is no evidence of any structure in the return series. However, after the extension of the trading day we do find evidence of a non-linear return structure.

The lifecycle of the North Atlantic storm track

The North Atlantic eddy-driven jet exhibits latitudinal variability, with evidence of three preferred latitudinal locations: south, middle and north. Here we examine the drivers of this variability and the variability of the associated storm track. We investigate the changes in the storm track characteristics for the three jet locations, and propose a mechanism by which enhanced storm track activity, as measured by upstream heat flux, is responsible for cyclical downstream latitudinal shifts in the jet. This mechanism is based on a nonlinear oscillator relationship between the enhanced meridional temperature gradient (and thus baroclinicity) and the meridional high-frequency (periods of shorter than 10 days) eddy heat flux. Such oscillations in baroclinicity and heat flux induce variability in eddy anisotropy which is associated with the changes in the dominant type of wave breaking and a different latitudinal deflection of the jet. Our results suggest that high heat flux is conducive to a northward deflection of the jet, whereas low heat flux is conducive to a more zonal jet. This jet deflecting effect was found to operate most prominently downstream of the storm track maximum, while the storm track and the jet remain anchored at a fixed latitudinal location at the beginning of the storm track. These cyclical changes in storm track characteristics can be viewed as different stages of the storm track’s spatio-temporal lifecycle.

Dynamic response times of electrorheological fluids in steady shear

Transient responses of electrorheological fluids to square-wave electric fields in steady shear are investigated by computational simulation method. The structure responses of the fluids to the field with high frequency are found to be very similar to that to the field with very low frequency or the sudden applied direct current field. The stress rise processes are also similar in both cases and can be described by an exponential expression. The characteristic time tau of the stress response is found to decrease with the increase of the shear rate (gamma) over dot and the area fraction of the particles phi(2). The relation between them can be roughly expressed as tau proportional to(gamma) over dot(-3/4)phi(2)(-3/2). The simulation results are compared with experimental measurements. The aggregation kinetics of the particles in steady shear is also discussed according to these results.

Influence of inherent structure shear stress of supercooled liquids on their shear moduli

Configurations of supercooled liquids residing in their local potential minimum (i.e. in their inherent structure, IS) were found to support a non-zero shear stress. This IS stress was attributed to the constraint to the energy minimization imposed by boundary conditions, which keep size and shape of the simulation cell fixed. In this paper we further investigate the influence of these boundary conditions on the IS stress. We investigate its importance for the computation of the low frequency shear modulus of a glass obtaining a consistent picture for the low- and high frequency shear moduli over the full temperature range. Hence, we find that the IS stress corresponds to a non-thermal contribution to the fluctuation term in the Born-Green expression. This leads to an unphysical divergence of the moduli in the low temperature limit if no proper correction for this term is applied. Furthermore, we clarify the IS stress dependence on the system size and put its origin on a more formal basis.

Big data architecture for pervasive healthcare: a literature review

Pervasive healthcare aims to deliver deinstitutionalised healthcare services to patients anytime and anywhere. Pervasive healthcare involves remote data collection through mobile devices and sensor network which the data is usually in large volume, varied formats and high frequency. The nature of big data such as volume, variety, velocity and veracity, together with its analytical capabilities com-plements the delivery of pervasive healthcare. However, there is limited research in intertwining these two domains. Most research focus mainly on the technical context of big data application in the healthcare sector. Little attention has been paid to a strategic role of big data which impacts the quality of healthcare services provision at the organisational level. Therefore, this paper delivers a conceptual view of big data architecture for pervasive healthcare via an intensive literature review to address the aforementioned research problems. This paper provides three major contributions: 1) identifies the research themes of big data and pervasive healthcare, 2) establishes the relationship between research themes, which later composes the big data architecture for pervasive healthcare, and 3) sheds a light on future research, such as semiosis and sense-making, and enables practitioners to implement big data in the pervasive healthcare through the proposed architecture.

Quantifying particle size and turbulent scale dependence of dust uplift in the Sahara using aircraft measurements

The first size-resolved airborne measurements of dust fluxes and the first dust flux measurements from the central Sahara are presented and compared with a parameterization by Kok (2011a). High-frequency measurements of dust size distribution were obtained from 0.16 to 300 µm diameter, and eddy covariance fluxes were derived. This is more than an order of magnitude larger size range than previous flux estimates. Links to surface emission are provided by analysis of particle drift velocities. Number flux is described by a −2 power law between 1 and 144 µm diameter, significantly larger than the 12 µm upper limit suggested by Kok (2011a). For small particles, the deviation from a power law varies with terrain type and the large size cutoff is correlated with atmospheric vertical turbulent kinetic energy, suggesting control by vertical transport rather than emission processes. The measured mass flux mode is in the range 30–100 µm. The turbulent scales important for dust flux are from 0.1 km to 1–10 km. The upper scale increases during the morning as boundary layer depth and eddy size increase. All locations where large dust fluxes were measured had large topographical variations. These features are often linked with highly erodible surface features, such as wadis or dunes. We also hypothesize that upslope flow and flow separation over such features enhance the dust flux by transporting large particles out of the saltation layer. The tendency to locate surface flux measurements in open, flat terrain means these favored dust sources have been neglected in previous studies.

Do jumps matter for volatility forecasting? Evidence from energy markets

This paper characterizes the dynamics of jumps and analyzes their importance for volatility forecasting. Using high-frequency data on four prominent energy markets, we perform a model-free decomposition of realized variance into its continuous and discontinuous components. We find strong evidence of jumps in energy markets between 2007 and 2012. We then investigate the importance of jumps for volatility forecasting. To this end, we estimate and analyze the predictive ability of several Heterogenous Autoregressive (HAR) models that explicitly capture the dynamics of jumps. Conducting extensive in-sample and out-of-sample analyses, we establish that explicitly modeling jumps does not significantly improve forecast accuracy. Our results are broadly consistent across our four energy markets, forecasting horizons, and loss functions

Diel surface temperature range scales with lake size

Ecological and biogeochemical processes in lakes are strongly dependent upon water temperature. Long-term surface warming of many lakes is unequivocal, but little is known about the comparative magnitude of temperature variation at diel timescales, due to a lack of appropriately resolved data. Here we quantify the pattern and magnitude of diel temperature variability of surface waters using high-frequency data from 100 lakes. We show that the near-surface diel temperature range can be substantial in summer relative to long-term change and, for lakes smaller than 3 km2, increases sharply and predictably with decreasing lake area. Most small lakes included in this study experience average summer diel ranges in their near-surface temperatures of between 4 and 7°C. Large diel temperature fluctuations in the majority of lakes undoubtedly influence their structure, function and role in biogeochemical cycles, but the full implications remain largely unexplored.

Genetic and phenotypic characterization of complex hereditary spastic paraplegia

The hereditary spastic paraplegias are a heterogeneous group of degenerative disorders that are clinically classified as either pure with predominant lower limb spasticity, or complex where spastic paraplegia is complicated with additional neurological features, and are inherited in autosomal dominant, autosomal recessive or X-linked patterns. Genetic defects have been identified in over 40 different genes, with more than 70 loci in total. Complex recessive spastic paraplegias have in the past been frequently associated with mutations in SPG11 (spatacsin), ZFYVE26/SPG15, SPG7 (paraplegin) and a handful of other rare genes, but many cases remain genetically undefined. The overlap with other neurodegenerative disorders has been implied in a small number of reports, but not in larger disease series. This deficiency has been largely due to the lack of suitable high throughput techniques to investigate the genetic basis of disease, but the recent availability of next generation sequencing can facilitate the identification of disease- causing mutations even in extremely heterogeneous disorders. We investigated a series of 97 index cases with complex spastic paraplegia referred to a tertiary referral neurology centre in London for diagnosis or management. The mean age of onset was 16 years (range 3 to 39). The SPG11 gene was first analysed, revealing homozygous or compound heterozygous mutations in 30/97 (30.9%) of probands, the largest SPG11 series reported to date, and by far the most common cause of complex spastic paraplegia in the UK, with severe and progressive clinical features and other neurological manifestations, linked with magnetic resonance imaging defects. Given the high frequency of SPG11 mutations, we studied the autophagic response to starvation in eight affected SPG11 cases and control fibroblast cell lines, but in our restricted study we did not observe correlations between disease status and autophagic or lysosomal markers. In the remaining cases, next generation sequencing was carried out revealing variants in a number of other known complex spastic paraplegia genes, including five in SPG7 (5/97), four in FA2H (also known as SPG35) (4/97) and two in ZFYVE26/SPG15. Variants were identified in genes usually associated with pure spastic paraplegia and also in the Parkinson’s disease-associated gene ATP13A2, neuronal ceroid lipofuscinosis gene TPP1 and the hereditary motor and sensory neuropathy DNMT1 gene, highlighting the genetic heterogeneity of spastic paraplegia. No plausible genetic cause was identified in 51% of probands, likely indicating the existence of as yet unidentified genes.

Health in Brazil 2 Maternal and child health in Brazil: progress and challenges

In the past three decades, Brazil has undergone rapid changes in major social determinants of health and in the organisation of health services. In this report, we examine how these changes have affected indicators of maternal health, child health, and child nutrition. We use data from vital statistics, population censuses, demographic and health surveys, and published reports. In the past three decades, infant mortality rates have reduced substantially, decreasing by 5.5% a year in the 1980s and 1990s, and by 4.4% a year since 2000 to reach 20 deaths per 1000 livebirths in 2008. Neonatal deaths account for 68% of infant deaths. Stunting prevalence among children younger than 5 years decreased from 37% in 1974-75 to 7% in 2006-07. Regional differences in stunting and child mortality also decreased. Access to most maternal-health and child-health interventions increased sharply to almost universal coverage, and regional and socioeconomic inequalities in access to such interventions were notably reduced. The median duration of breastfeeding increased from 2.5 months in the 1970s to 14 months by 2006-07. Official statistics show stable maternal mortality ratios during the past 10 years, but modelled data indicate a yearly decrease of 4%, a trend which might not have been noticeable in official reports because of improvements in death registration and the increased number of investigations into deaths of women of reproductive age. The reasons behind Brazil`s progress include: socioeconomic and demographic changes (economic growth, reduction in income disparities between the poorest and wealthiest populations, urbanisation, improved education of women, and decreased fertility rates), interventions outside the health sector (a conditional cash transfer programme and improvements in water and sanitation), vertical health programmes in the 1980s (promotion of breastfeeding, oral rehydration, and immunisations), creation of a tax-funded national health service in 1988 (coverage of which expanded to reach the poorest areas of the country through the Family Health Program in the mid-1990s); and implementation of many national and state-wide programmes to improve child health and child nutrition and, to a lesser extent, to promote women`s health. Nevertheless, substantial challenges remain, including overmedicalisation of childbirth (nearly 50% of babies are delivered by caesarean section), maternal deaths caused by illegal abortions, and a high frequency of preterm deliveries.

Aflatoxins and cyclopiazonic acid in feed and milk from dairy farms in Sao Paulo, Brazil

The occurrence of aflatoxins (AF) B(1), B(2), G(1), G(2) and cyclopiazonic acid (CPA) in feeds, and AFM(1) and CPA in milk was determined in dairy farms located in the northeastern region of Sao Paulo state, Brazil, between October 2005 and February 2006. AF and CPA determinations were performed by HPLC. AFB(1) was found in 42% of feed at levels or 1.0-26.4 mu g kg(-1) (mean: 7.1 +/- 7.2 mu g kg(-1)). The concentrations of AFM(1) in raw milk varied between 0.010 and 0.645 mu g l(-1) (mean: 0.104 +/- 0.138 mu g l(-1)). Only one sample was above the tolerance limit adopted in Brazil (0.50 mu g l(-1)) for AFM(1) in milk. Regarding CPA in feed, six (12%) samples showed concentrations of 12.5-1533 mu g kg(-1) (mean: 57.6 +/- 48.7 mu g kg(-1)). CPA was detected in only three milk samples (6%) at levels of 6.4, 8.8 and 9.1 mu g l(-1). Concentrations of aflatoxins and CPA in feed and milk were relatively low, although the high frequency of both mycotoxins indicates the necessity to continuously monitor dairy farms to prevent contamination of feed ingredients.

Clinical evaluation and COL2A1 gene analysis in 21 Brazilian families with Stickler syndrome: Identification of novel mutations, further genotype/phenotype correlation, and its implications for the diagnosis

We present clinical and molecular evaluation from a large cohort of patients with Stickler syndrome: 78 individuals from 21 unrelated Brazilian families. The patients were selected in a Hospital with a craniofacial dysmorphology assistance service and clinical diagnosis was based on the presence of cleft palate associated to facial and ocular anomalies of Stickler syndrome. Analysis of COL2A1 gene revealed 9 novel and 4 previously described pathogenic mutations. Except for the mutation c.556G>T (p.Gly186X), all the others were located in the triple helical domain. We did not find genotype/phenotype correlation in relation to type and position of the mutation in the triple helical domain. However, a significantly higher proportion of myopia in patients with mutations located in this domain was observed in relation to those with the mutation in the non-tripe helical domain (c.556G>T; P < 0.04). A trend towards a higher prevalence of glaucoma, although not statistically significant, was observed in the presence of the mutation c.556G>T. It is possible. that this mutation alters the splicing of the mRNA instead of only creating a premature stop codon and therefore it can lead to protein products of different ocular effects. One novel DNA variation (c.1266+7G>C) occurs near a splice site and it was observed to co-segregate with the phenotype in one of the two families with this DNA variation. As in silico analysis predicted that the c.1266+7G>C DNA variation can affect the efficiency of the splicing, we still cannot rule it out as non-pathogenic. Our study also showed that ascertainment through cleft palate associated to other craniofacial signs can be very efficient for identification of Stickler syndrome patients. Still, high frequency of familial cases and high frequency of underdevelopment of distal lateral tibial epiphyses observed in our patients suggested that the inclusion of this information can improve the clinical diagnosis of Stickler syndrome. (C) 2008 Elsevier Masson SAS. All rights reserved.

South Atlantic Ocean cyclogenesis climatology simulated by regional climate model (RegCM3)

A detailed climatology of the cyclogenesis over the Southern Atlantic Ocean (SAO) from 1990 to 1999 and how it is simulated by the RegCM3 (Regional Climate Model) is presented here. The simulation used as initial and boundary conditions the National Centers for Environmental Prediction-Department of Energy (NCEP/DOE) reanalysis. The cyclones were identified with an automatic scheme that searches for cyclonic relative vorticity (zeta(10)) obtained from a 10-m height wind field. All the systems with zeta(10) a parts per thousand currency sign -1.5 x 10(-5) s(-1) and lifetime equal or larger than 24 h were considered in the climatology. Over SAO, in 10 years were detected 2,760 and 2,787 cyclogeneses in the simulation and NCEP, respectively, with an annual mean of 276.0 +/- A 11.2 and 278.7 +/- A 11.1. This result suggests that the RegCM3 has a good skill to simulate the cyclogenesis climatology. However, the larger model underestimations (-9.8%) are found for the initially stronger systems (zeta(10) a parts per thousand currency sign -2.5 x 10(-5) s(-1)). It was noted that over the SAO the annual cycle of the cyclogenesis depends of its initial intensity. Considering the systems initiate with zeta(10) a parts per thousand currency sign -1.5 x 10(-5) s(-1), the annual cycle is not well defined and the higher frequency occurs in the autumn (summer) in the NCEP (RegCM3). The stronger systems (zeta(10) a parts per thousand currency sign -2.5 x 10(-5) s(-1)) have a well-characterized high frequency of cyclogenesis during the winter in both NCEP and RegCM3. This work confirms the existence of three cyclogenetic regions in the west sector of the SAO, near the South America east coast and shows that RegCM3 is able to reproduce the main features of these cyclogenetic areas.

Interaction of equatorial waves through resonance with the diurnal cycle of tropical heating

In this work, a new theoretical mechanism is presented in which equatorial Rossby and inertio-gravity wave modes may interact with each other through resonance with the diurnal cycle of tropical deep convection. We have adopted the two-layer incompressible equatorial primitive equations forced by a parametric heating that roughly represents deep convection activity in the tropical atmosphere. The heat source was parametrized in the simplest way according to the hypothesis that it is proportional to the lower-troposphere moisture convergence, with the background moisture state function mimicking the structure of the ITCZ. In this context, we have investigated the possibility of resonant interaction between equatorially trapped Rossby and inertio-gravity modes through the diurnal cycle of the background moisture state function. The reduced dynamics of a single resonant duo shows that when this diurnal variation is considered, a Rossby wave mode can undergo significant amplitude modulations when interacting with an inertio-gravity wave mode, which is not possible in the context of the resonant triad non-linear interaction. Therefore, the results suggest that the diurnal variation of the ITCZ can be a possible dynamical mechanism that leads the Rossby waves to be significantly affected by high frequency modes.