Analysis of multi-scale systemic risk in Brazil's financial market

This work analyzes whether the relationship between risk and returns predicted by the Capital Asset Pricing Model (CAPM) is valid in the Brazilian stock market. The analysis is based on discrete wavelet decomposition on different time scales. This technique allows to analyze the relationship between different time horizons, since the short-term ones (2 to 4 days) up to the long-term ones (64 to 128 days). The results indicate that there is a negative or null relationship between systemic risk and returns for Brazil from 2004 to 2007. As the average excess return of a market portfolio in relation to a risk-free asset during that period was positive, it would be expected this relationship to be positive. That is, higher systematic risk should result in higher excess returns, which did not occur. Therefore, during that period, appropriate compensation for systemic risk was not observed in the Brazilian market. The scales that proved to be most significant to the risk-return relation were the first three, which corresponded to short-term time horizons. When treating differently, year-by-year, and consequently separating positive and negative premiums, some relevance is found, during some years, in the risk/return relation predicted by the CAPM. However, this pattern did not persist throughout the years. Therefore, there is not any evidence strong enough confirming that the asset pricing follows the model.

Multi-modal Change Detection, Application to the Detection of Flooded Areas: Outcome of the 2009-2010 data fusion contest

The 2009-2010 Data Fusion Contest organized by the Data Fusion Technical Committee of the IEEE Geoscience and Remote Sensing Society was focused on the detection of flooded areas using multi-temporal and multi-modal images. Both high spatial resolution optical and synthetic aperture radar data were provided. The goal was not only to identify the best algorithms (in terms of accuracy), but also to investigate the further improvement derived from decision fusion. This paper presents the four awarded algorithms and the conclusions of the contest, investigating both supervised and unsupervised methods and the use of multi-modal data for flood detection. Interestingly, a simple unsupervised change detection method provided similar accuracy as supervised approaches, and a digital elevation model-based predictive method yielded a comparable projected change detection map without using post-event data.

Multi-parametric evaluation of sit-to-stand and stand-to-sit transitions in elderly people.

The aim of this study was to extract multi-parametric measures characterizing different features of sit-to-stand (Si-St) and stand-to-sit (St-Si) transitions in older persons, using a single inertial sensor attached to the chest. Investigated parameters were transition's duration, range of trunk tilt, smoothness of transition pattern assessed by its fractal dimension, and trunk movement's dynamic described by local wavelet energy. A measurement protocol with a Si-St followed by a St-Si postural transition was performed by two groups of participants: the first group (N=79) included Frail Elderly subjects admitted to a post-acute rehabilitation facility and the second group (N=27) were healthy community-dwelling elderly persons. Subjects were also evaluated with Tinetti's POMA scale. Compared to Healthy Elderly persons, frail group at baseline had significantly longer Si-St (3.85±1.04 vs. 2.60±0.32, p=0.001) and St-Si (4.08±1.21 vs. 2.81±0.36, p=0.001) transition's duration. Frail older persons also had significantly decreased smoothness of Si-St transition pattern (1.36±0.07 vs. 1.21±0.05, p=0.001) and dynamic of trunk movement. Measurements after three weeks of rehabilitation in frail older persons showed that smoothness of transition pattern had the highest improvement effect size (0.4) and discriminative performance. These results demonstrate the potential interest of such parameters to distinguish older subjects with different functional and health conditions.

A Novel Breast Tissue Density Classification Methodology

It has been shown that the accuracy of mammographic abnormality detection methods is strongly dependent on the breast tissue characteristics, where a dense breast drastically reduces detection sensitivity. In addition, breast tissue density is widely accepted to be an important risk indicator for the development of breast cancer. Here, we describe the development of an automatic breast tissue classification methodology, which can be summarized in a number of distinct steps: 1) the segmentation of the breast area into fatty versus dense mammographic tissue; 2) the extraction of morphological and texture features from the segmented breast areas; and 3) the use of a Bayesian combination of a number of classifiers. The evaluation, based on a large number of cases from two different mammographic data sets, shows a strong correlation ( and 0.67 for the two data sets) between automatic and expert-based Breast Imaging Reporting and Data System mammographic density assessment

A Multi-Center Phase II Study (SAKK 36/06) of Single Agent Everolimus (RAD001) In Patients with Relapsed or Refractory Mantle Cell Lymphoma

Introduction: Mantle cell lymphoma (MCL) accounts for 6% of all B-cell lymphomas and remains incurable for most patients. Those who relapse after first line therapy or hematopoietic stem cell transplantation have a dismal prognosis with short response duration after salvage therapy. On a molecular level, MCL is characterised by the translocation t[11;14] leading to Cyclin D1 overexpression. Cyclin D1 is downstream of the mammalian target of rapamycin (mTOR) kinase and can be effectively blocked by mTOR inhibitors such as temsirolimus. We set out to define the single agent activity of the orally available mTOR inhibitor everolimus (RAD001) in a prospective, multi-centre trial in patients with relapsed or refractory MCL (NCT00516412). The study was performed in collaboration with the EU-MCL network. Methods: Eligible patients with histologically/cytologically confirmed relapsed (not more than 3 prior lines of systemic treatment) or refractory MCL received everolimus 10 mg orally daily on day 1 - 28 of each cycle (4 weeks) for 6 cycles or until disease progression. The primary endpoint was the best objective response with adverse reactions, time to progression (TTP), time to treatment failure, response duration and molecular response as secondary endpoints. A response rate of 10% was considered uninteresting and, conversely, promising if 30%. The required sample size was 35 pts using the Simon's optimal two-stage design with 90% power and 5% significance. Results: A total of 36 patients with 35 evaluable patients from 19 centers were enrolled between August 2007 and January 2010. The median age was 69.4 years (range 40.1 to 84.9 years), with 22 males and 13 females. Thirty patients presented with relapsed and 5 with refractory MCL with a median of two prior therapies. Treatment was generally well tolerated with anemia (11%), thrombocytopenia (11%), neutropenia (8%), diarrhea (3%) and fatigue (3%) being the most frequent complications of CTC grade III or higher. Eighteen patients received 6 or more cycles of everolimus treatment. The objective response rate was 20% (95% CI: 8-37%) with 2 CR, 5 PR, 17 SD, and 11 PD. At a median follow-up of 6 months, TTP was 5.45 months (95% CI: 2.8-8.2 months) for the entire population and 10.6 months for the 18 patients receiving 6 or more cycles of treatment. Conclusion: This study demonstrates that single agent everolimus 10 mg once daily orally is well tolerated. The null hypothesis of inactivity could be rejected indicating a moderate anti-lymphoma activity in relapsed/refractory MCL. Further studies of either everolimus in combination with chemotherapy or as single agent for maintenance treatment are warranted in MCL.

A novel method for automated classification of epileptiform activity in the human electroencephalogram-based on independent component analysis.

Diagnosis of several neurological disorders is based on the detection of typical pathological patterns in the electroencephalogram (EEG). This is a time-consuming task requiring significant training and experience. Automatic detection of these EEG patterns would greatly assist in quantitative analysis and interpretation. We present a method, which allows automatic detection of epileptiform events and discrimination of them from eye blinks, and is based on features derived using a novel application of independent component analysis. The algorithm was trained and cross validated using seven EEGs with epileptiform activity. For epileptiform events with compensation for eyeblinks, the sensitivity was 65 +/- 22% at a specificity of 86 +/- 7% (mean +/- SD). With feature extraction by PCA or classification of raw data, specificity reduced to 76 and 74%, respectively, for the same sensitivity. On exactly the same data, the commercially available software Reveal had a maximum sensitivity of 30% and concurrent specificity of 77%. Our algorithm performed well at detecting epileptiform events in this preliminary test and offers a flexible tool that is intended to be generalized to the simultaneous classification of many waveforms in the EEG.

Les champignons : essai de classification / par le Dr Paul Vuillemin,...

Collection : Bibliothèque de botanique cryptogamique

Approche multidisciptinaire des coûts humains des lombalgies [Human cost of low back pain: a multi-disciplinary approach]

The valuation of human costs is a necessity, but this task poses many problems of method. A team made of a philosopher, a psychologist and a physician has been working with economist researchers in order to look into the meaning that the preferences announced at the time of the inquiries on human costs by QALY methods could assume. These methods are often used to obtain a valuation of the impact of a health attack on people's quality of life. The methods--in the frame of the argument assumed by the economic theory on well-being--hypothesize that people's choices depend mainly on cognitive work. The qualitative interviews show that the psychological construction process for the announced preferences largely overlap this frame. In this paper the authors hastily tackle the factors which have an effect on the preferences. They conclude that the QALY methods don't seem to be able to assess the quality of life nori to valuate the damage that the quality of life could include.

Application of low temperature thermochronology to understanding cooling and exhumation in the Central Swiss Alps

THESIS ABSTRACT : Low-temperature thermochronology relies on application of radioisotopic systems whose closure temperatures are below temperatures at which the dated phases are formed. In that sense, the results are interpreted as "cooling ages" in contrast to "formation ages". Owing to the low closure-temperatures, it is possible to reconstruct exhumation and cooling paths of rocks during their residence at shallow levels of the crust, i.e. within first ~10 km of depth. Processes occurring at these shallow depths such as final exhumation, faulting and relief formation are fundamental for evolution of the mountain belts. This thesis aims at reconstructing the tectono-thermal history of the Aar massif in the Central Swiss Alps by means of zircon (U-Th)/He, apatite (U-Th)/He and apatite fission track thermochronology. The strategy involved acquisition of a large number of samples from a wide range of elevations in the deeply incised Lötschen valley and a nearby NEAT tunnel. This unique location allowed to precisely constrain timing, amount and mechanisms of exhumation of the main orographic feature of the Central Alps, evaluate the role of topography on the thermochronological record and test the impact of hydrothermal activity. Samples were collected from altitudes ranging between 650 and 3930 m and were grouped into five vertical profiles on the surface and one horizontal in the tunnel. Where possible, all three radiometric systems were applied to each sample. Zircon (U-Th)/He ages range from 5.1 to 9.4 Ma and are generally positively correlated with altitude. Age-elevation plots reveal a distinct break in slope, which translates into exhumation rate increasing from ~0.4 to ~3 km/Ma at 6 Ma. This acceleration is independently confirmed by increased cooling rates on the order of 100°C/Ma constrained on the basis of age differences between the zircon (U-Th)/He and the remaining systems. Apatite fission track data also plot on a steep age-elevation curve indicating rapid exhumation until the end of the Miocene. The 6 Ma event is interpreted as reflecting tectonically driven uplift of the Aar massif. The late Miocene timing implies that the increase of precipitation in the Pliocene did not trigger rapid exhumation in the Aar massif. The Messinian salinity crisis in the Mediterranean could not directly intensify erosion of the Aar but associated erosional output from the entire Alps may have tapered the orogenic wedge and caused reactivation of thrusting in the Aar massif. The high exhumation rates in the Messinian were followed by a decrease to ~1.3 km/Ma as evidenced by ~8 km of exhumation during last 6 Ma. The slowing of exhumation is also apparent from apatite (U-Th)1He age-elevation data in the northern part of the Lötschen valley where they plot on a ~0.5km/Ma line and range from 2.4 to 6.4 Ma However, from the apatite (U-Th)/He and fission track data from the NEAT tunnel, there is an indication of a perturbation of the record. The apatite ages are youngest under the axis of the valley, in contrast to an expected pattern where they would be youngest in the deepest sections of the tunnel due to heat advection into ridges. The valley however, developed in relatively soft schists while the ridges are built of solid granitoids. In line with hydrological observations from the tunnel, we suggest that the relatively permeable rocks under the valley floor, served as conduits of geothermal fluids that caused reheating leading to partial Helium loss and fission track annealing in apatites. In consequence, apatite ages from the lowermost samples are too young and the calculated exhumation rates may underestimate true values. This study demonstrated that high-density sampling is indispensable to provide meaningful thermochronological data in the Alpine setting. The multi-system approach allows verifying plausibility of the data and highlighting sources of perturbation. RÉSUMÉ DE THÈSE : La thermochronologie de basse température dépend de l'utilisation de systèmes radiométriques dont la température de fermeture est nettement inférieure à la température de cristallisation du minéral. Les résultats obtenus sont par conséquent interprétés comme des âges de refroidissement qui diffèrent des âges de formation obtenus par le biais d'autres systèmes de datation. Grâce aux températures de refroidissement basses, il est aisé de reconstruire les chemins de refroidissement et d'exhumation des roches lors de leur résidence dans la croute superficielle (jusqu'à 10 km). Les processus qui entrent en jeu à ces faibles profondeurs tels que l'exhumation finale, la fracturation et le faillage ainsi que la formation du relief sont fondamentaux dans l'évolution des chaînes de montagne. Ces dernières années, il est devenu clair que l'enregistrement thermochronologique dans les orogènes peut être influencé par le relief et réinitialisé par l'advection de la chaleur liée à la circulation de fluides géothermaux après le refroidissement initial. L'objectif de cette thèse est de reconstruire l'histoire tectono-thermique du massif de l'Aar dans les Alpes suisses Centrales à l'aide de trois thermochronomètres; (U-Th)/He sur zircon, (U-Th)/He sur apatite et les traces de fission sur apatite. Afin d'atteindre cet objectif, nous avons récolté un grand nombre d'échantillons provenant de différentes altitudes dans la vallée fortement incisée de Lötschental ainsi que du tunnel de NEAT. Cette stratégie d'échantillonnage nous a permis de contraindre de manière précise la chronologie, les quantités et les mécanismes d'exhumation de cette zone des Alpes Centrales, d'évaluer le rôle de la topographie sur l'enregistrement thermochronologique et de tester l'impact de l'hydrothermalisme sur les géochronomètres. Les échantillons ont été prélevés à des altitudes comprises entre 650 et 3930m selon 5 profils verticaux en surface et un dans le tunnel. Quand cela à été possible, les trois systèmes radiométriques ont été appliqués aux échantillons. Les âges (U-Th)\He obtenus sur zircons sont compris entre 5.l et 9.4 Ma et sont corrélés de manière positive avec l'altitude. Les graphiques représentant l'âge et l'élévation montrent une nette rupture de la pente qui traduisent un accroissement de la vitesse d'exhumation de 0.4 à 3 km\Ma il y a 6 Ma. Cette accélération de l'exhumation est confirmée par les vitesses de refroidissement de l'ordre de 100°C\Ma obtenus à partir des différents âges sur zircons et à partir des autres systèmes géochronologiques. Les données obtenues par traces de fission sur apatite nous indiquent également une exhumation rapide jusqu'à la fin du Miocène. Nous interprétons cet évènement à 6 Ma comme étant lié à l'uplift tectonique du massif de l'Aar. Le fait que cet évènement soit tardi-miocène implique qu'une augmentation des précipitations au Pliocène n'a pas engendré cette exhumation rapide du massif de l'Aar. La crise Messinienne de la mer méditerranée n'a pas pu avoir une incidence directe sur l'érosion du massif de l'Aar mais l'érosion associée à ce phénomène à pu réduire le coin orogénique alpin et causer la réactivation des chevauchements du massif de l'Aar. L'exhumation rapide Miocène a été suivie pas une diminution des taux d'exhumation lors des derniers 6 Ma (jusqu'à 1.3 km\Ma). Cependant, les âges (U-Th)\He sur apatite ainsi que les traces de fission sur apatite des échantillons du tunnel enregistrent une perturbation de l'enregistrement décrit ci-dessus. Les âges obtenus sur les apatites sont sensiblement plus jeunes sous l'axe de la vallée en comparaison du profil d'âges attendus. En effet, on attendrait des âges plus jeunes sous les parties les plus profondes du tunnel à cause de l'advection de la chaleur dans les flancs de la vallée. La vallée est creusée dans des schistes alors que les flancs de celle-ci sont constitués de granitoïdes plus durs. En accord avec les observations hydrologiques du tunnel, nous suggérons que la perméabilité élevée des roches sous l'axe de la vallée à permi l'infiltration de fluides géothermaux qui a généré un réchauffement des roches. Ce réchauffement aurait donc induit une perte d'Hélium et un recuit des traces de fission dans les apatites. Ceci résulterait en un rajeunissement des âges apatite et en une sous-estimation des vitesses d'exhumation sous l'axe de la vallée. Cette étude à servi à démontrer la nécessité d'un échantillonnage fin et précis afin d'apporter des données thermochronologiques de qualité dans le contexte alpin. Cette approche multi-système nous a permi de contrôler la pertinence des données acquises ainsi que d'identifier les sources possibles d'erreurs lors d'études thermochronologiques. RÉSUMÉ LARGE PUBLIC Lors d'une orogenèse, les roches subissent un cycle comprenant une subduction, de la déformation, du métamorphisme et, finalement, un retour à la surface (ou exhumation). L'exhumation résulte de la déformation au sein de la zone de collision, menant à un raccourcissement et un apaissessement de l'édifice rocheux, qui se traduit par une remontée des roches, création d'une topographie et érosion. Puisque l'érosion agit comme un racloir sur la partie supérieure de l'édifice, des tentatives de corrélation entre les épisodes d'exhumation rapide et les périodes d'érosion intensive, dues aux changements climatiques, ont été effectuées. La connaissance de la chronologie et du lieu précis est d'une importance capitale pour une quelconque reconstruction de l'évolution d'une chaîne de montagne. Ces critères sont donnés par un retraçage des changements de la température de la roche en fonction du temps, nous donnant le taux de refroidissement. L'instant auquel les roches ont refroidit, passant une certaine température, est contraint par l'application de techniques de datation par radiométrie. Ces méthodes reposent sur la désintégration des isotopes radiogéniques, tels que l'uranium et le potassium, tous deux abondants dans les roches de la croûte terrestre. Les produits de cette désintégration ne sont pas retenus dans les minéraux hôtes jusqu'au moment du refroidissement de la roche sous une température appelée 'de fermeture' , spécifique à chaque système de datation. Par exemple, la désintégration radioactive des atomes d'uranium et de thorium produit des atomes d'hélium qui s'échappent d'un cristal de zircon à des températures supérieures à 200°C. En mesurant la teneur en uranium-parent, l'hélium accumulé et en connaissant le taux de désintégration, il est possible de calculer à quel moment la roche échantillonnée est passée sous la température de 200°C. Si le gradient géothermal est connu, les températures de fermeture peuvent être converties en profondeurs actuelles (p. ex. 200°C ≈ 7km), et le taux de refroidissement en taux d'exhumation. De plus, en datant par système radiométrique des échantillons espacés verticalement, il est possible de contraindre directement le taux d'exhumation de la section échantillonnée en observant les différences d'âges entre des échantillons voisins. Dans les Alpes suisses, le massif de l'Aar forme une structure orographique majeure. Avec des altitudes supérieures à 4000m et un relief spectaculaire de plus de 2000m, le massif domine la partie centrale de la chaîne de montagne. Les roches aujourd'hui exposées à la surface ont été enfouies à plus de 10 km de profond il y a 20 Ma, mais la topographie actuelle du massif de l'Aar semble surtout s'être développée par un soulèvement actif depuis quelques millions d'années, c'est-à-dire depuis le Néogène supérieur. Cette période comprend un changement climatique soudain ayant touché l'Europe il y a environ 5 Ma et qui a occasionné de fortes précipitations, entraînant certainement une augmentation de l'érosion et accélérant l'exhumation des Alpes. Dans cette étude, nous avons employé le système de datation (U-TH)/He sur zircon, dont la température de fermeture de 200°C est suffisamment basse pour caractériser l'exhumation du Néogène sup. /Pliocène. Les échantillons proviennent du Lötschental et du tunnel ferroviaire le plus profond du monde (NEAT) situé dans la partie ouest du massif de l'Aar. Considérés dans l'ensemble, ces échantillons se répartissent sur un dénivelé de 3000m et des âges de 5.1 à 9.4 Ma. Les échantillons d'altitude supérieure (et donc plus vieux) documentent un taux d'exhumation de 0.4 km/Ma jusqu'à il y a 6 Ma, alors que les échantillons situés les plus bas ont des âges similaires allant de 6 à 5.4 Ma, donnant un taux jusqu'à 3km /Ma. Ces données montrent une accélération dramatique de l'exhumation du massif de l'Aar il y a 6 Ma. L'exhumation miocène sup. du massif prédate donc le changement climatique Pliocène. Cependant, lors de la crise de salinité d'il y a 6-5.3 Ma (Messinien), le niveau de la mer Méditerranée est descendu de 3km. Un tel abaissement de la surface d'érosion peut avoir accéléré l'exhumation des Alpes, mais le bassin sud alpin était trop loin du massif de l'Aar pour influencer son érosion. Nous arrivons à la conclusion que la datation (U-Th)/He permet de contraindre précisément la chronologie et l'exhumation du massif de l'Aar. Concernant la dualité tectonique-érosion, nous suggérons que, dans le cas du massif de l'Aar, la tectonique prédomine.

Object and Scene Classification: what does a Supervised Approach Provide us?

Given a set of images of scenes containing different object categories (e.g. grass, roads) our objective is to discover these objects in each image, and to use this object occurrences to perform a scene classification (e.g. beach scene, mountain scene). We achieve this by using a supervised learning algorithm able to learn with few images to facilitate the user task. We use a probabilistic model to recognise the objects and further we classify the scene based on their object occurrences. Experimental results are shown and evaluated to prove the validity of our proposal. Object recognition performance is compared to the approaches of He et al. (2004) and Marti et al. (2001) using their own datasets. Furthermore an unsupervised method is implemented in order to evaluate the advantages and disadvantages of our supervised classification approach versus an unsupervised one

Tree-based message diffusion for managing replicated data in unreliable and resource-constrained peer-to-peer environment

Abstract This thesis proposes a set of adaptive broadcast solutions and an adaptive data replication solution to support the deployment of P2P applications. P2P applications are an emerging type of distributed applications that are running on top of P2P networks. Typical P2P applications are video streaming, file sharing, etc. While interesting because they are fully distributed, P2P applications suffer from several deployment problems, due to the nature of the environment on which they perform. Indeed, defining an application on top of a P2P network often means defining an application where peers contribute resources in exchange for their ability to use the P2P application. For example, in P2P file sharing application, while the user is downloading some file, the P2P application is in parallel serving that file to other users. Such peers could have limited hardware resources, e.g., CPU, bandwidth and memory or the end-user could decide to limit the resources it dedicates to the P2P application a priori. In addition, a P2P network is typically emerged into an unreliable environment, where communication links and processes are subject to message losses and crashes, respectively. To support P2P applications, this thesis proposes a set of services that address some underlying constraints related to the nature of P2P networks. The proposed services include a set of adaptive broadcast solutions and an adaptive data replication solution that can be used as the basis of several P2P applications. Our data replication solution permits to increase availability and to reduce the communication overhead. The broadcast solutions aim, at providing a communication substrate encapsulating one of the key communication paradigms used by P2P applications: broadcast. Our broadcast solutions typically aim at offering reliability and scalability to some upper layer, be it an end-to-end P2P application or another system-level layer, such as a data replication layer. Our contributions are organized in a protocol stack made of three layers. In each layer, we propose a set of adaptive protocols that address specific constraints imposed by the environment. Each protocol is evaluated through a set of simulations. The adaptiveness aspect of our solutions relies on the fact that they take into account the constraints of the underlying system in a proactive manner. To model these constraints, we define an environment approximation algorithm allowing us to obtain an approximated view about the system or part of it. This approximated view includes the topology and the components reliability expressed in probabilistic terms. To adapt to the underlying system constraints, the proposed broadcast solutions route messages through tree overlays permitting to maximize the broadcast reliability. Here, the broadcast reliability is expressed as a function of the selected paths reliability and of the use of available resources. These resources are modeled in terms of quotas of messages translating the receiving and sending capacities at each node. To allow a deployment in a large-scale system, we take into account the available memory at processes by limiting the view they have to maintain about the system. Using this partial view, we propose three scalable broadcast algorithms, which are based on a propagation overlay that tends to the global tree overlay and adapts to some constraints of the underlying system. At a higher level, this thesis also proposes a data replication solution that is adaptive both in terms of replica placement and in terms of request routing. At the routing level, this solution takes the unreliability of the environment into account, in order to maximize reliable delivery of requests. At the replica placement level, the dynamically changing origin and frequency of read/write requests are analyzed, in order to define a set of replica that minimizes communication cost.