Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normal distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalized assumption of normal distributed financial returns. Thus it is crucial to properly model the distribution tails so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey (2000) and combine the GARCH-type models with the Extreme Value Theory (EVT) to estimate the tails of three financial index returns DJI,FTSE 100 and NIKKEI 225 representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are much more accurate than those from conventional AR-GARCH models assuming normal or Student’s t-distribution innovations when doing out-of-sample estimation (within the insample estimation, this is so for the right tail of the distribution of returns).

Detectives with pimples: how teen noir is crossing the frontiers of the traditional noir films

In the last ten years, teen noir movies and series — such as Donnie Darko (2001), Brick (2005), or Veronica Mars (2004-2007) — have become increasingly popular among audiences, both in the USA and in Europe, and aroused the curiosity of critics. These teen noir adventures present darker themes and technical features that distinguish them from numerous productions aiming at young adults. Their narrative and aesthetic characteristics reinvent and subvert the tradition of classic noir movies of the forties and fifties, thus generating a sense of novelty. In this article, I focus my attention on Veronica Mars, a famous teen noir series, created by Rob Thomas, to examine: a) the teen noir themes; b) the new profile and role of the private investigator; c) the empowerment of girls/young women; d) razor-sharp dialogues; e) intertextual references to old- school noir movies. In order to do so, resort to the research of specialists in the field of neo noir, such as Mark Conrad, Foster Hirsch, or Roz Kaveney. My main goal is to prove that a new (sub)genre is slowly emerging and revivifying teen cinema.

Mould and yeast identification in archival settings: preliminary results on the use of traditional methods and molecular biology options in Portuguese archives

This project was developed to fully assess the indoor air quality in archives and libraries from a fungal flora point of view. It uses classical methodologies such as traditional culture media – for the viable fungi – and modern molecular biology protocols, especially relevant to assess the non-viable fraction of the biological contaminants. Denaturing high-performance liquid chromatography (DHPLC) has emerged as an alternative to denaturing gradient gel electrophoresis (DGGE) and has already been applied to the study of a few bacterial communities. We propose the application of DHPLC to the study of fungal colonization on paper-based archive materials. This technology allows for the identification of each component of a mixture of fungi based on their genetic variation. In a highly complex mixture of microbial DNA this method can be used simply to study the population dynamics, and it also allows for sample fraction collection, which can, in many cases, be immediately sequenced, circumventing the need for cloning. Some examples of the methodological application are shown. Also applied is fragment length analysis for the study of mixed Candida samples. Both of these methods can later be applied in various fields, such as clinical and sand sample analysis. So far, the environmental analyses have been extremely useful to determine potentially pathogenic/toxinogenic fungi such as Stachybotrys sp., Aspergillus niger, Aspergillus fumigatus, and Fusarium sp. This work will hopefully lead to more accurate evaluation of environmental conditions for both human health and the preservation of documents.

Patterns, mathematics and culture : the search for symmetry in Azorean sidewalks and traditional crafts

In the hustle and bustle of daily life, how often do we stop to pay attention to the tiny details around us, some of them right beneath our feet? Such is the case of interesting decorative patterns that can be found in squares and sidewalks beautified by the traditional Portuguese pavement. Its most common colors are the black and the white of the basalt and the limestone used; the result is a large variety and richness in patterns. No doubt, it is worth devoting some of our time enjoying the lovely Portuguese pavement, a true worldwide attraction. The interesting patterns found on the Azorean handicrafts are as fascinating and substantial from the cultural point of view. Patterns existing in the sidewalks and crafts can be studied from the mathematical point of view, thus allowing a thorough and rigorous cataloguing of such heritage. The mathematical classification is based on the concept of symmetry, a unifying principle of geometry. Symmetry is a unique tool for helping us relate things that at first glance may appear to have no common ground at all. By interlacing different fields of endeavor, the mathematical approach to sidewalks and crafts is particularly interesting, and an excellent source of inspiration for the development of highly motivated recreational activities. This text is an invitation to visit the nine islands of the Azores and to identify a wide range of patterns, namely rosettes and friezes, by getting to know different arts and crafts and sidewalks.

Nutritional value and influence of the thermal processing on a traditional Portuguese fermented sausage (alheira)

Alheiras are a traditional, smoked, fermented meat sausage, produced in Portugal, with an undeniable cultural and gastronomic legacy. In this study, we assessed the nutritional value of this product, as well as the influence of different types of thermal processing. Alheiras from Mirandela were submitted to six different procedures: microwave, skillet, oven, charcoal grill, electric fryer and electric grill. Protein, fat, carbohydrate, minerals, NaCl, and cholesterol contents, as well as fatty acid profile were evaluated. The results show that alheiras are not hypercaloric but an unbalanced foodstuff (high levels of proteins and lipids) and the type of processing has a major impact on their nutritional value. Charcoal grill is the healthiest option: less fat (12.5 g/100 g) and cholesterol (29.3 mg/100 g), corresponding to a lower caloric intake (231.8 kcal, less 13% than the raw ones). Inversely, fried alheiras presented the worst nutritional profile, with the highest levels of fat (18.1 g/100 g) and cholesterol (76.0 g/100 g).

Traditional knowledge for promotion of socioeconomic inclusion of local communities

This paper discusses the key role played by public research institutes for promoting socioeconomic inclusion of local communities based on traditional knowledge and traditional medicine. Nongovernmental organizations and cooperatives have had an important role in raising financial resources, being involved with advocacy of local communities and advancing legislation changes. But strict best manufacturing practices regulations imposed by the Brazilian National Health Surveillance Agency on the requirements for approval and commercialization of drugs based on herbal medicine products call for the involvement of strong public research institutes capable of supporting community-based pharmacies. Thus, public research institutes are pivotal as they can conduct scientific research studies to evidence the efficacy of herbal medicine products and help building the capacity of local communities to comply with current regulations.

Miocene lithological, foraminiferal and palynological data from the Belverde borehole (Portugal)

XVIII Jornadas de Paleontología, 2002

Drilling delamination outcomes on glass and sisal reinforced plastics

Nowadays, fibre reinforced plastics are used in a wide variety of applications. Apart from the most known reinforcement fibres, like glass or carbon, natural fibres can be seen as an economical alternative. However, some mistrust is yet limiting the use of such materials, being one of the main reasons the inconsistency normally found in their mechanical properties. It should be noticed that these materials are more used for their low density than for their high stiffness. In this work, two different types of reinforced plates were compared: glass reinforced epoxy plate and sisal reinforced epoxy plate. For material characterization purposes, tensile and flexural tests were carried out. Main properties of both materials, like elastic modulus, tensile strength or flexural modulus, are presented and compared with reference values. Afterwards, plates were drilled under two different feed rates: low and high, with two diverse tools: twist and brad type drill, while cutting speed was kept constant. Thrust forces during drilling were monitored. Then, delamination area around the hole was assessed by using digital images that were processed using a computational platform previously developed. Finally, drilled plates were mechanically tested for bearing and open-hole resistance. Results were compared and correlated with the measured delamination. Conclusions contribute to the understanding of natural fibres reinforced plastics as a substitute to glass fibres reinforced plastics, helping on cost reductions without compromising reliability, as well as the consequence of delamination on mechanical resistance of this type of composites.

Drilling of fibre reinforced plastic laminates

The use of fibre reinforced plastics – FRP’s – in structures is under a considerable increase. Advantages of their use are related with their low weight, high strength and stiffness. The improvement of the dynamic characteristics has been profitable for aeronautics, automobile, railway, naval and sporting goods industries. Drilling is a widely used machining technique as it is needed to assemble parts in a structure. This is a unique machining process, characterized by the existence of two different mechanisms: extrusion by the drill chisel edge and cutting by the rotating cutting lips. Drilling raises particular problems that can reduce mechanical and fatigue strength of the parts. In this work, quasi-isotropic hybrid laminates with 25% of carbon fibre reinforced plies and 4 mm thickness are produced, tested and drilled. Three different drill geometries are compared. Results considered are the interlaminar fracture toughness in Mode I – GIc –, thrust force during drilling and delamination extent after drilling. A bearing test is performed to evaluate tool influence on the load carrying capacity of the plate. Results consider the influence of drill geometry on delamination. A correlation linking plate damage to bearing test results is presented.

Numerical prediction of delamination onset in carbon/epoxy composites drilling

Despite the fact that their physical properties make them an attractive family of materials, composites machining can cause several damage modes such as delamination, fibre pull-out, thermal degradation, and others. Minimization of axial thrust force during drilling reduces the probability of delamination onset, as it has been demonstrated by analytical models based on linear elastic fracture mechanics (LEFM). A finite element model considering solid elements of the ABAQUS® software library and interface elements including a cohesive damage model was developed in order to simulate thrust forces and delamination onset during drilling. Thrust force results for delamination onset are compared with existing analytical models.

Tool effects on hybrid laminates drilling

Fiber reinforced plastics are increasing their importance as one of the most interesting groups of material on account of their low weight, high strength, and stiffness. To obtain good quality holes, it is important to identify the type of material, ply stacking sequence, and fiber orientation. In this article, the drilling of quasi-isotropic hybrid carbon +glass/epoxy plates is analyzed. Two commercial drills and a special step drill are compared considering the thrust force and delamination extension. Results suggest that the proposed step drill can be a suitable option in laminate drilling.

Drilling tool geometry evaluation for reinforced composite laminates

In this work, a comparative study on different drill point geometries and feed rate for composite laminates drilling is presented. For this goal, thrust force monitoring during drilling, hole wall roughness measurement and delamination extension assessment after drilling is accomplished. Delamination is evaluated using enhanced radiography combined with a dedicated computational platform that integrates algorithms of image processing and analysis. An experimental procedure was planned and consequences were evaluated. Results show that a cautious combination of the factors involved, like drill tip geometry or feed rate, can promote the reduction of delamination damage.

Drilling process of composite laminates – a tool based analysis

“Drilling of polymeric matrix composites structures”