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.

Adaptation en français et en allemand d'une échelle de pression des pairs pour jeunes adultes : le Peer Pressure Inventory [Adaptation of a peer pressure scale in French and German: the Peer Pressure Inventory].

BACKGROUND: Peer pressure is regarded as an important determinant of substance use, sexual behavior and juvenile delinquency. However, few peer pressure scales are validated, especially in French or German. Little is known about the factor structure of such scales or the kind of scale needed: some scales takes into account both peer pressure to do and peer pressure not to do, while others consider only peer pressure to do. The aim of the present study was to adapt French and German versions of the Peer Pressure Inventory, which is one of the most widely used scales in this field. We considered its factor structure and concurrent validity. METHODS: Five thousand eight hundred and sixty-seven young Swiss men filled in a questionnaire on peer pressure, substance use, and other variables (conformity, involvement) in a cohort study. RESULTS: We identified a four-factor structure, with the three factors of the initial Peer Pressure Inventory (involvement, conformity, misconduct) and adding a new one (relationship with girls). A non-valued scale (from no peer pressure to peer pressure to do only) showed stronger psychometric qualities than a valued scale (from peer pressure not to do to peer pressure to do). Concurrent validity was also good. Each behavior or attitude was significantly associated with peer pressure. CONCLUSION: Peer pressure seems to be a multidimensional concept. In this study, peer pressure to do showed the strongest influence on participants. Indeed, peer pressure not to do did not add anything useful. Only peer pressure to do affected young Swiss men's behaviors and attitudes and was reliable.

Modelling short-term ultraviolet exposure as an alternative to individual dosimetry

Background: Excessive exposure to solar Ultra-Violet (UV) light is the main cause of most skin cancers in humans. Factors such as the increase of solar irradiation at ground level (anthropic pollution), the rise in standard of living (vacation in sunny areas), and (mostly) the development of outdoor activities have contributed to increase exposure. Thus, unsurprisingly, incidence of skin cancers has increased over the last decades more than that of any other cancer. Melanoma is the most lethal cutaneous cancer, while cutaneous carcinomas are the most common cancer type worldwide. UV exposure depends on environmental as well as individual factors related to activity. The influence of individual factors on exposure among building workers was investigated in a previous study. Posture and orientation were found to account for at least 38% of the total variance of relative individual exposure. A high variance of short-term exposure was observed between different body locations, indicating the occurrence of intense, subacute exposures. It was also found that effective short-term exposure ranged between 0 and 200% of ambient irradiation, suggesting that ambient irradiation is a poor predictor of effective exposure. Various dosimetric techniques enable to assess individual effective exposure, but dosimetric measurements remain tedious and tend to be situation-specific. As a matter of facts, individual factors (exposure time, body posture and orientation in the sun) often limit the extrapolation of exposure results to similar activities conducted in other conditions. Objective: The research presented in this paper aims at developing and validating a predictive tool of effective individual exposure to solar UV. Methods: Existing computer graphic techniques (3D rendering) were adapted to reflect solar exposure conditions and calculate short-term anatomical doses. A numerical model, represented as a 3D triangular mesh, is used to represent the exposed body. The amount of solar energy received by each "triangle is calculated, taking into account irradiation intensity, incidence angle and possible shadowing from other body parts. The model take into account the three components of the solar irradiation (direct, diffuse and albedo) as well as the orientation and posture of the body. Field measurements were carried out using a forensic mannequin at the Payerne MeteoSwiss station. Short-term dosimetric measurements were performed in 7 anatomical locations for 5 body postures. Field results were compared to the model prediction obtained from the numerical model. Results: The best match between prediction and measurements was obtained for upper body parts such as shoulders (Ratio Modelled/Measured; Mean = 1.21, SD = 0.34) and neck (Mean = 0.81, SD = 0.32). Small curved body parts such as forehead (Mean = 6.48, SD = 9.61) exhibited a lower matching. The prediction is less accurate for complex postures such as kneeling (Mean = 4.13, SD = 8.38) compared to standing up (Mean = 0.85, SD = 0.48). The values obtained from the dosimeters and the ones computed from the model are globally consistent. Conclusion: Although further development and validation are required, these results suggest that effective exposure could be predicted for a given activity (work or leisure) in various ambient irradiation conditions. Using a generic modelling approach is of high interest in terms of implementation costs as well as predictive and retrospective capabilities.

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

Debris flow susceptibility mapping at a regional scale along the National Road N7, Argentina

A first assessment of debris flow susceptibility at a large scale was performed along the National Road N7, Argentina. Numerous catchments are prone to debris flows and likely to endanger the road-users. A 1:50,000 susceptibility map was created. The use of a DEM (grid 30 m) associated to three complementary criteria (slope, contributing area, curvature) allowed the identification of potential source areas. The debris flow spreading was estimated using a process- and GISbased model (Flow-R) based on basic probabilistic and energy calculations. The best-fit values for the coefficient of friction and the mass-to-drag ratio of the PCM model were found to be ? = 0.02 and M/D = 180 and the resulting propagation on one of the calibration site was validated using the Coulomb friction model. The results are realistic and will be useful to determine which areas need to be prioritized for detailed studies.

Fine-scale genetic structure and marginal processes in an expanding population of Biscutella laevigata L. (Brassicaceae).

Evolutionary processes acting at the expanding margins of a species' range are still poorly understood. Genetic drift is considered prevalent in marginal populations, and the maintenance of genetic diversity during recolonization might seem puzzling. To investigate such processes, a fine-scale investigation of 219 individuals was performed within a population of Biscutella laevigata (Brassicaceae), located at the leading edge of its range. The survey used amplified fragment length polymorphisms (AFLPs). As commonly reported across the whole species distribution range, individual density and genetic diversity decreased along the local axis of recolonization of this expanding population, highlighting the enduring effect of the historical colonization on present-day diversity. The self-incompatibility system of the plant may have prevented local inbreeding in newly found patches and sustained genetic diversity by ensuring gene flow from established populations. Within the more continuously populated region, spatial analysis of genetic structure revealed restricted gene flow among individuals. The distribution of genotypes formed a mosaic of relatively homogenous patches within the continuous population. This pattern could be explained by a history of expansion by long-distance dispersal followed by fine-scale diffusion (that is, a stratified dispersal combination). The secondary contact among expanding patches apparently led to admixture among differentiated genotypes where they met (that is, a reshuffling effect). This type of dynamics could explain the maintenance of genetic diversity during recolonization.

Identification of potential rockfall source areas at a regional scale using a DEM-based geomorphometric analysis

The availability of high resolution Digital Elevation Models (DEM) at a regional scale enables the analysis of topography with high levels of detail. Hence, a DEM-based geomorphometric approach becomes more accurate for detecting potential rockfall sources. Potential rockfall source areas are identified according to the slope angle distribution deduced from high resolution DEM crossed with other information extracted from geological and topographic maps in GIS format. The slope angle distribution can be decomposed in several Gaussian distributions that can be considered as characteristic of morphological units: rock cliffs, steep slopes, footslopes and plains. A terrain is considered as potential rockfall sources when their slope angles lie over an angle threshold, which is defined where the Gaussian distribution of the morphological unit "Rock cliffs" become dominant over the one of "Steep slopes". In addition to this analysis, the cliff outcrops indicated by the topographic maps were added. They contain however "flat areas", so that only the slope angles values above the mode of the Gaussian distribution of the morphological unit "Steep slopes" were considered. An application of this method is presented over the entire Canton of Vaud (3200 km2), Switzerland. The results were compared with rockfall sources observed on the field and orthophotos analysis in order to validate the method. Finally, the influence of the cell size of the DEM is inspected by applying the methodology over six different DEM resolutions.

An Interval Intelligent-based Approach for Fault Detection and Modelling

Not considered in the analytical model of the plant, uncertainties always dramatically decrease the performance of the fault detection task in the practice. To cope better with this prevalent problem, in this paper we develop a methodology using Modal Interval Analysis which takes into account those uncertainties in the plant model. A fault detection method is developed based on this model which is quite robust to uncertainty and results in no false alarm. As soon as a fault is detected, an ANFIS model is trained in online to capture the major behavior of the occurred fault which can be used for fault accommodation. The simulation results understandably demonstrate the capability of the proposed method for accomplishing both tasks appropriately

Genetic and phenotypic population divergence on a microgeographic scale in brown trout.

Salmonid populations of many rivers are rapidly declining. One possible explanation is that habitat fragmentation increases genetic drift and reduces the populations' potential to adapt to changing environmental conditions. We measured the genetic and eco-morphological diversity of brown trout (Salmo trutta) in a Swiss stream system, using multivariate statistics and Bayesian clustering. We found large genetic and phenotypic variation within only 40 km of stream length. Eighty-eight percent of all pairwise F(ST) comparisons and 50% of the population comparisons in body shape were significant. High success rates of population assignment tests confirmed the distinctiveness of populations in both genotype and phenotype. Spatial analysis revealed that divergence increased with waterway distance, the number of weirs, and stretches of poor habitat between sampling locations, but effects of isolation-by-distance and habitat fragmentation could not be fully disentangled. Stocking intensity varied between streams but did not appear to erode genetic diversity within populations. A lack of association between phenotypic and genetic divergence points to a role of local adaptation or phenotypically plastic responses to habitat heterogeneity. Indeed, body shape could be largely explained by topographic stream slope, and variation in overall phenotype matched the flow regimes of the respective habitats.

Select-divide-and-conquer method for large-scale configuration interaction

A select-divide-and-conquer variational method to approximate configuration interaction (CI) is presented. Given an orthonormal set made up of occupied orbitals (Hartree-Fock or similar) and suitable correlation orbitals (natural or localized orbitals), a large N-electron target space S is split into subspaces S0,S1,S2,...,SR. S0, of dimension d0, contains all configurations K with attributes (energy contributions, etc.) above thresholds T0={T0egy, T0etc.}; the CI coefficients in S0 remain always free to vary. S1 accommodates KS with attributes above T1≤T0. An eigenproblem of dimension d0+d1 for S0+S 1 is solved first, after which the last d1 rows and columns are contracted into a single row and column, thus freezing the last d1 CI coefficients hereinafter. The process is repeated with successive Sj(j≥2) chosen so that corresponding CI matrices fit random access memory (RAM). Davidson's eigensolver is used R times. The final energy eigenvalue (lowest or excited one) is always above the corresponding exact eigenvalue in S. Threshold values {Tj;j=0, 1, 2,...,R} regulate accuracy; for large-dimensional S, high accuracy requires S 0+S1 to be solved outside RAM. From there on, however, usually a few Davidson iterations in RAM are needed for each step, so that Hamiltonian matrix-element evaluation becomes rate determining. One μhartree accuracy is achieved for an eigenproblem of order 24 × 106, involving 1.2 × 1012 nonzero matrix elements, and 8.4×109 Slater determinants

Low dispersing species : population genetic processes in space and time : the genus "Trochulus" (Gastropoda: Hygromiidae) as a case study

RÉSUMÉ Une espèce est rarement composée d'une population unique. Parce que les individus ont des capacités de dispersion limitées et que les paysages sont des mosaïques d'habitats, la plupart des espèces sont plutôt composées de sous-populations connectées par la migration. Cette variation spatiale influence directement la distribution de la variabilité génétique dans et entre les populations. Durant ce travail, nous avons abordé certains des processus populationnels qui ont joué un rôle supposé dans l'apparition de nouvelles espèces au sein du genre Trochulus. Plus précisément, nous avons tenté d'évaluer les impacts respectifs de l'isolement passé (facteurs historiques) et présent (facteurs locaux). Nous avons d'abord pu montrer que les faibles capacités de dispersion des escargots terrestres ont directement influencé leur histoire évolutive à toutes les échelles spatiales et temporelles. En réduisant l'effet homogénéisant de la migration, une faible dispersion maintient dans les populations les traces génétiques d'évènements passés. A l'échelle de la distribution globale de Trochulus villosus, ces traces ont permis de reconstruire une histoire faite d'isolements et d'expansions de populations. En combinant des données génétiques avec une modélisation de la niche climatique passée, il a été possible de proposer un scénario significativement meilleur que toutes les hypothèses alternatives que nous avons testées. A l'échelle locale par contre, l'héritage historique est difficile à distinguer de la dynamique actuelle. Ce fut le cas des lignées mitochondriales du complexe sericeus-hispidus : les deux principales lignées étaient phylogénétiquement éloignées, avaient eu des démographies passées différentes et corrélaient avec des différences morphologiques. D'un autre côté, le flux de gène nucléaire était fort, contredisant l'idée de deux espèces cryptiques isolées reproductivement. Pour pouvoir conclure à la présence ou non de deux espèces, il nous a manqué des informations locales sur la dynamique des populations et les conditions écologiques que l'on trouve dans la région d'étude. Enfin, nous avons pu souligner que la connectivité entre populations d'escargots est soumise à la qualité des habitats et à leur organisation spatiale. Les escargots sont dépendants d'un habitat et s'y adaptent, comme l'indiquent la présence de «poils » uniquement sur la coquille d'espèces vivant dans des habitats humides ou la corrélation entre morphologie et habitat au sein du complexe sericeus-hispidus. Logiquement donc, les escargots migrent préférentiellement au travers d'habitats favorables comme l'a montré la réduction de flux de gènes au travers des prairies chez T. villosus (une espèce forestière). De ces données, nous pouvons supposer que les populations d'escargots en particulier, et des espèces à faible dispersion en général, ont de fortes chances d'être affectées par les changements climatiques, avec de probables implications pour leurs histoires évolutives. SUMMARY : Species rarely consists in a single population. Because individuals have limited dispersal abilities, because landscapes are habitat patchworks, most species are made of several subpopulations connected by migration. This spatial variation has consequences on the distribution of genetic diversity within and between populations, creating a structure among the populations. During the present work, we investigated some of the population processes assumed to have played an important role on the speciation within the genus Trochulus. More specifically, we questioned the respective impacts of past (historical factors) or present (local factors) population isolations. We first could show that the poor dispersal abilities of land snails have had profound impacts on their evolutionary histories at all spatial and temporal scales. Low dispersal maintains a strong signature of past events in the populations by minimising the homogenising effects of geneflow. At the scale of Trochulus villosus global distribution, they allowed to retrieve the detailed history of this species population isolations and expansions. Combining a large genetic dataset with paleo-climatic niche modelling ended up with a historical scenario significantly better than all traditional alternatives we tested. At local scale on the contrary, past events become difficult to tease apart from ongoing processes. This was the case for the divergent mitochondria) lineages within the sericeus-hispidus complex: the two principal lineages appeared to be phylogenetically distant, to have experienced different demographic histories and to correlate with morphological differences. On the other hand, nuclear (present day) geneflow was high, contradicting the idea of two reproductively isolated cryptic species. Information on the local population dynamics and environmental conditions are lacking to be able to decide whether past isolation has indeed resulted here in new species. Finally, we emphasised the importance of the habitat types present in a landscape as well as their spatial organisation for the population connectivity of land snails. These species are tightly dependent on a habitat and adapt to it as shown by thé occurrence of hair-like structures only in species living in humid environments or by the correlation between shell morphology and habitat in the sericeus-hispidus complex. As a result, land snails preferentially migrate through favourable habitats: Trochulus villosus, a forest species, had its geneflow significantly reduced across meadows. From these data, we can hypothesise that the populations of land snails in particular and of low dispersing species in general are likely to be strongly affected by the ongoing climate changes, with potential major consequences on their evolutionary histories.

Assessing dystrophies and other muscle diseases at the nanometer scale by atomic force microscopy.

AIM: Atomic force microscopy nanoindentation of myofibers was used to assess and quantitatively diagnose muscular dystrophies from human patients. MATERIALS & METHODS: Myofibers were probed from fresh or frozen muscle biopsies from human dystrophic patients and healthy volunteers, as well as mice models, and Young's modulus stiffness values were determined. RESULTS: Fibers displaying abnormally low mechanical stability were detected in biopsies from patients affected by 11 distinct muscle diseases, and Young's modulus values were commensurate to the severity of the disease. Abnormal myofiber resistance was also observed from consulting patients whose muscle condition could not be detected or unambiguously diagnosed otherwise. DISCUSSION & CONCLUSION: This study provides a proof-of-concept that atomic force microscopy yields a quantitative read-out of human muscle function from clinical biopsies, and that it may thereby complement current muscular dystrophy diagnosis.

Multifunctional ligands for application in Alzheimer’s Disease: molecular modelling and biological evaluation

Projecte de recerca elaborat a partir d’una estada a la University of British Columbia, Canadà, entre 2010 i 2012 La malaltia d'Alzheimer (MA) representa avui la forma més comuna de demència en la població envellida. Malgrat fa 100 anys que va ser descoberta, encara avui no existeix cap tractament preventiu i/o curatiu ni cap agent de diagnòstic que permeti valorar quantitativament l'evolució d'aquesta malaltia. L'objectiu en el que s'emmarca aquest treball és contribuir a aportar solucions al problema de la manca d'agents terapèutics i de diagnosi, unívocs i rigorosos, per a la MA. Des del camp de la química bioinorgànica és fàcil fixar-se en l'excessiva concentració d'ions Zn(II) i Cu(II) en els cervells de malalts de MA, plantejar-se la seva utilització com a dianes terapèutica i, en conseqüència, cercar agents quelants que evitin la formació de plaques senils o contribueixin a la seva dissolució. Si bé aquest va ser el punt de partida d’aquest projecte, els múltiples factors implicats en la patogènesi de la MA fan que el clàssic paradigma d’ ¨una molècula, una diana¨ limiti la capacitat de la molècula de combatre aquesta malaltia tan complexa. Per tant, un esforç considerable s’ha dedicat al disseny d’agentsmultifuncionals que combatin els múltiples factors que caracteritzen el desenvolupament de la MA. En el present treball s’han dissenyat agents multifuncionals inspirats en dos esquelets moleculars ben establers i coneguts en el camp de la química medicinal: la tioflavina-T (ThT) i la deferiprona (DFP). La utilització de tècniques in silico que inclouen càlculs farmacocinètics i modelatge molecular ha estat un procés cabdal per a l’avaluació dels millors candidats en base als següents requeriments: (a) compliment de determinades propietats farmacocinètiques que estableixin el seu possible ús com a fàrmac (b) hidrofobicitat adequada per travessar la BBB i (c) interacció amb el pèptid Aen solució.