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

Properties of functional brain networks correlate with frequency of psychogenic non-epileptic seizures.

Abnormalities in the topology of brain networks may be an important feature and etiological factor for psychogenic non-epileptic seizures (PNES). To explore this possibility, we applied a graph theoretical approach to functional networks based on resting state EEGs from 13 PNES patients and 13 age- and gender-matched controls. The networks were extracted from Laplacian-transformed time-series by a cross-correlation method. PNES patients showed close to normal local and global connectivity and small-world structure, estimated with clustering coefficient, modularity, global efficiency, and small-worldness (SW) metrics, respectively. Yet the number of PNES attacks per month correlated with a weakness of local connectedness and a skewed balance between local and global connectedness quantified with SW, all in EEG alpha band. In beta band, patients demonstrated above-normal resiliency, measured with assortativity coefficient, which also correlated with the frequency of PNES attacks. This interictal EEG phenotype may help improve differentiation between PNES and epilepsy. The results also suggest that local connectivity could be a target for therapeutic interventions in PNES. Selective modulation (strengthening) of local connectivity might improve the skewed balance between local and global connectivity and so prevent PNES events.

Progress Towards to Equity Market Integration in Eastern Europe

The advent of the European Union has decreased the diversification benefits available from country based equity market indices in the region. This paper measures the increase in stock integration between the three largest new EU members (Hungary, the Czech Republic and Poland who joined in May 2004) and the Euro-zone. A potentially gradual transition in correlations is accommodated in a single VAR model by embedding smooth transition conditional correlation models with fat tails, spillovers, volatility clustering, and asymmetric volatility effects. At the country market index level all three Eastern European markets show a considerable increase in correlations in 2006. At the industry level the dates and transition periods for the correlations differ, and the correlations are lower although also increasing. The results show that sectoral indices in Eastern European markets may provide larger diversification opportunities than the aggregate market. JEL classifications: C32; C51; F36; G15 Keywords: Multivariate GARCH; Smooth Transition Conditional Correlation; Stock Return Comovement; Sectoral correlations; New EU Members

Una aproximació d'aprenentatge automàtic per a extracció d'informació adaptativa

Les tècniques de clustering poden ajudar a reduir la supervisió en processos d'obtenció de patrons per a Extracció d'Informació. En aquest treball, que abarca un període de 4 anys de recerca, es comença per estudiar la representació de documents més adequada per a la tasca de clustering. Per tal d'evitar els biaixos dels mètodes individuals de clustering, es consideren mètodes de clustering conjunt. S'exploren diversos mètodes de combinació supervisada, i s'hi afegeixen estratègies automàtiques per a determinar el nombre de clusters de la combinació. També es consideren mecanismes per a obtenir clusterings conjunts ponderats, així com estratègies de combinació no supervisada. Finalment, els resultats del clustering s'utilitzen en un sistema d'adquisició de patrons per a substituir els elements de supervisió humana. Totes aquestes estratègies i mètodes s'avaluen en tasques de clustering de documents i adquisició de patrons usant dades reals. Es comprova que els mots com representació de documents superen altres models per a la tasca de clustering, així com que el clustering conjunt supera les limitacions dels clusterings individuals, i que les estratègies no supervisades d'adquisició de patrons obtenen resultats competitius respecte a les estratègies supervisades.

Clúster creatius en entorns urbans: 22@Bcn i Shoreditch East London

La localització de les empreses de nova economia en zones urbanes, a pesar que el factor distància no sigui important, no deixa de ser considerable pels seus avantatges que els suposa estar situades conjuntament en relació amb les infraestructures, consum, beneficis socioculturals, i facilitat en les transaccions cara a cara. És inevitable que el primer quart del segle vint-i-un estigui lligat a l’economia creativa de forma similar amb que el començament del segle vint estava íntimament lligat a l’economia industrial i la invenció del sistema de producció en massa. La ciutat també va jugar un dels papers més importants per al desenvolupament de “la nova economia industrial” a les albors del segle vint, com ho és la ciutat del coneixement que acull “la nova economia creativa” al segle vint-i-un. És evident que els resultats morfològics, socials, econòmics i urbans són ben diferents en ambdós fenòmens, però l’impacte a les ciutats és molt gran. L’objectiu d’aquest estudi és analitzar els mecanismes d’aglomeració (clustering) d’activitats competitives basades en creació de coneixement i de serveis avançats que estan al darrera de desenvolupaments punters a ciutats com Barcelona, el projecte 22@bcn, i East London, el projecte Shoreditch. L’esforç que han posat les autoritats locals en crear l’entorn apropiat per atreure i crear empreses innovadores, com a motor de desenvolupament d’algunes ciutats modernes europees ha resultat en el sorgiment de nuclis o centres urbans molt dinàmics que suposadament estan preparats i acullen punts de creació de coneixement (“Urban Knowledge Hubs”), amb una demanda i llocs de treball altament qualificats. Aquest és el cas dels projectes de Barcelona (22@bcn) i East London (Shoreditch).

EEG-based functional brain networks: does the network size matter?

Functional connectivity in human brain can be represented as a network using electroencephalography (EEG) signals. These networks--whose nodes can vary from tens to hundreds--are characterized by neurobiologically meaningful graph theory metrics. This study investigates the degree to which various graph metrics depend upon the network size. To this end, EEGs from 32 normal subjects were recorded and functional networks of three different sizes were extracted. A state-space based method was used to calculate cross-correlation matrices between different brain regions. These correlation matrices were used to construct binary adjacency connectomes, which were assessed with regards to a number of graph metrics such as clustering coefficient, modularity, efficiency, economic efficiency, and assortativity. We showed that the estimates of these metrics significantly differ depending on the network size. Larger networks had higher efficiency, higher assortativity and lower modularity compared to those with smaller size and the same density. These findings indicate that the network size should be considered in any comparison of networks across studies.

Long-term effect of a school-based physical activity program (KISS) on fitness and adiposity in children: a cluster-randomized controlled trial.

BACKGROUND: School-based intervention studies promoting a healthy lifestyle have shown favorable immediate health effects. However, there is a striking paucity on long-term follow-ups. The aim of this study was therefore to assess the 3 yr-follow-up of a cluster-randomized controlled school-based physical activity program over nine month with beneficial immediate effects on body fat, aerobic fitness and physical activity. METHODS AND FINDINGS: Initially, 28 classes from 15 elementary schools in Switzerland were grouped into an intervention (16 classes from 9 schools, n = 297 children) and a control arm (12 classes from 6 schools, n = 205 children) after stratification for grade (1st and 5th graders). Three years after the end of the multi-component physical activity program of nine months including daily physical education (i.e. two additional lessons per week on top of three regular lessons), short physical activity breaks during academic lessons, and daily physical activity homework, 289 (58%) participated in the follow-up. Primary outcome measures included body fat (sum of four skinfolds), aerobic fitness (shuttle run test), physical activity (accelerometry), and quality of life (questionnaires). After adjustment for grade, gender, baseline value and clustering within classes, children in the intervention arm compared with controls had a significantly higher average level of aerobic fitness at follow-up (0.373 z-score units [95%-CI: 0.157 to 0.59, p = 0.001] corresponding to a shift from the 50th to the 65th percentile between baseline and follow-up), while the immediate beneficial effects on the other primary outcomes were not sustained. CONCLUSIONS: Apart from aerobic fitness, beneficial effects seen after one year were not maintained when the intervention was stopped. A continuous intervention seems necessary to maintain overall beneficial health effects as reached at the end of the intervention. TRIAL REGISTRATION: ControlledTrials.com ISRCTN15360785.

Alineamiento múltiple de secuencias con T-Coffee: una aproximación paralela

Las aplicaciones de alineamiento múltiple de secuencias son prototipos de aplicaciones que requieren elevada potencia de cómputo y memoria. Se destacan por la relevancia científica que tienen los resultados que brindan a investigaciones científicas en el campo de la biomedicina, genética y farmacología. Las aplicaciones de alineamiento múltiple tienen la limitante de que no son capaces de procesar miles de secuencias, por lo que se hace necesario crear un modelo para resolver la problemática. Analizando el volumen de datos que se manipulan en el área de las ciencias biológica y la complejidad de los algoritmos de alineamiento de secuencias, la única vía de solución del problema es a través de la utilización de entornos de cómputo paralelos y la computación de altas prestaciones. La investigación realizada por nosotros tiene como objetivo la creación de un modelo paralelo que le permita a los algoritmos de alineamiento múltiple aumentar el número de secuencias a procesar, tratando de mantener la calidad en los resultados para garantizar la precisión científica. El modelo que proponemos emplea como base la clusterización de las secuencias de entrada utilizando criterios biológicos que permiten mantener la calidad de los resultados. Además, el modelo se enfoca en la disminución del tiempo de cómputo y consumo de memoria. Para presentar y validar el modelo utilizamos T-Coffee, como plataforma de desarrollo e investigación. El modelo propuesto pudiera ser aplicado a cualquier otro algoritmo de alineamiento múltiple de secuencias.

Superinfection with drug-resistant HIV is rare and does not contribute substantially to therapy failure in a large European cohort.

BACKGROUND: Superinfection with drug resistant HIV strains could potentially contribute to compromised therapy in patients initially infected with drug-sensitive virus and receiving antiretroviral therapy. To investigate the importance of this potential route to drug resistance, we developed a bioinformatics pipeline to detect superinfection from routinely collected genotyping data, and assessed whether superinfection contributed to increased drug resistance in a large European cohort of viremic, drug treated patients. METHODS: We used sequence data from routine genotypic tests spanning the protease and partial reverse transcriptase regions in the Virolab and EuResist databases that collated data from five European countries. Superinfection was indicated when sequences of a patient failed to cluster together in phylogenetic trees constructed with selected sets of control sequences. A subset of the indicated cases was validated by re-sequencing pol and env regions from the original samples. RESULTS: 4425 patients had at least two sequences in the database, with a total of 13816 distinct sequence entries (of which 86% belonged to subtype B). We identified 107 patients with phylogenetic evidence for superinfection. In 14 of these cases, we analyzed newly amplified sequences from the original samples for validation purposes: only 2 cases were verified as superinfections in the repeated analyses, the other 12 cases turned out to involve sample or sequence misidentification. Resistance to drugs used at the time of strain replacement did not change in these two patients. A third case could not be validated by re-sequencing, but was supported as superinfection by an intermediate sequence with high degenerate base pair count within the time frame of strain switching. Drug resistance increased in this single patient. CONCLUSIONS: Routine genotyping data are informative for the detection of HIV superinfection; however, most cases of non-monophyletic clustering in patient phylogenies arise from sample or sequence mix-up rather than from superinfection, which emphasizes the importance of validation. Non-transient superinfection was rare in our mainly treatment experienced cohort, and we found a single case of possible transmitted drug resistance by this route. We therefore conclude that in our large cohort, superinfection with drug resistant HIV did not compromise the efficiency of antiretroviral treatment.

Soporte geoespacial para modelos de distribución de especies (I): generalización del mapa de vegetación del Montseny apoyada en información de imágenes de satélite

Los mapas de vegetación son a menudo utilizados como proxis de una estratificación de hábitats para generar distribuciones geográficas contínuas de organismos a partir de datos discretos mediante modelos multi-variantes. Sin embargo, los mapas de vegetación suelen ser poco apropiados para ser directamente aplicados a este fin, pues sus categorías no se concibieron con la intención de corresponder a tipos de hábitat. En este artículo presentamos y aplicamos el método de Agrupamiento por Doble Criterio para generalizar un mapa de vegetación extraordinariamente detallado (350 clases) del Parque Natural del Montseny (Cataluña) en categorías que mantienen la coherencia tanto desde el punto de vista estructural (a través de una matriz de disimilaridad espectral calculada mediante una imágen del satélite SPOT-5) como en términos de vegetación (gracias a una matriz de disimilaridad calculada mediante propiedades de vegetación deducidas de la leyenda jerárquica del mapa). El método simplifica de 114 a 18 clases el 67% del área de estudio. Añadiendo otras agregaciones más triviales basadas exclusivamente en criterios de cubierta de suelo, el 73% del área de estudio pasa de 167 a 25 categorías. Como valor añadido, el método identifica el 10% de los polígonos originales como anómalos (a partir de comparar las propiedades espectrales de cada polígono con el resto de los de su clases), lo que implica cambios en la cubierta entre las fechas del soporte utilizado para generar el mapa original y la imagen de satélite, o errores en la producción de éste.

Industrial district effects and innovation in the Tuscan shipbuilding industry

The aim of the present work is to investigate innovative processes within a geographical cluster, and thus contribute to the debate on the effects of industrial clusters on innovation capacity. In particular, we would like to ascertain whether the advantages of industrial districts in promoting innovation, as already revealed by literature (diffusion of knowledge, social capital and trust, efficient networking), are also keys to success in the Tuscan shipbuilding industry of pleasure and sporting boats. First, we verify the existence of clusters of shipbuilding in Tuscany, using a specific methodology. Next, in the identified clusters, we analyse three innovative networks financed in a policy to support innovation, and examine whether the typical features of a cluster for promoting innovation are at work, using a questionnaire administered to 71 actors. Finally, we develop a performance analysis of the cluster firms and ascertain whether their different behaviours also lead to different performances. The analysis results show that our case records effects of industrial clustering on innovation capacity, such as the important role given to trust and social capital, the significant worth put in interfirm relations and in each partner’s specific competencies, or even the distinctive performance of firms belonging to a cluster.

Estudi d'adipoquines com a marcadors plasmàtics de síndrome metabòlica

La síndrome metabòlica s’associa amb un risc elevat de desenvolupar diabetis tipus 2 i malaltia cardiovascular. La síndrome metabòlica es defineix com un clúster d’anormalitats metabòliques i, d’entre totes, l’obesitat abdominal constitueix el factor de risc més prevalent i crític en el desenvolupament de la síndrome metabòlica, el risc cardiovascular augmentat i la resistència a la insulina. La prevalença augmentada de l’obesitat en la població a nivell mundial ha portat el teixit adipós al primer pla dels estudis epidemiològics. Anteriorment es considerava el reservori energètic de l’organisme, actualment es parla del teixit adipós com un òrgan endocrí, metabòlicament molt actiu, implicat en diferents vies i processos metabòlics. L’etiologia de l’obesitat és complexa i multifactorial, però es fa evident en la disfuncionalitat del teixit adipós. Un teixit adipós disfuncional veu superada la seva capacitat d’emmagatzemar lípid i respon amb la hipersecreció de diferents molècules (adipoquines, citoquines i mediadors inflamatoris) a favor de la resistència a la insulina, proinflamatòries i proaterogèniques. La fatty acid-binding protein 4 (FABP4) i la retinol-binding protein 4 (RBP4) són dues adipoquines que en circulació, es desconeix la funció exacta que duen a terme. Estudis recents han suggerit la FABP4 com a marcador d’adipositat, síndrome metabòlica i diabetis tipus 2. I, RBP4, malgrat que les dades de diferents estudis en humans desperten certa controvèrsia, s’ha associat amb la resistència a la insulina i el desenvolupament de la diabetis tipus 2. En aquesta memòria es recullen els treballs en què es va estudiar el paper d’aquestes adipoquines en relació a malalties de base metabòlica amb afectació del teixit adipós com són la síndrome metabòlica, la diabetis tipus 2, la hiperlipèmia familiar combinada i la, lipodistrofia associada a tractament combinat antiretroviral de la infecció pel virus de la immunodeficiència humana (VIH).

Effect of school based physical activity programme (KISS) on fitness and adiposity in primary schoolchildren: cluster randomised controlled trial.

To assess the effectiveness of a school based physical activity programme during one school year on physical and psychological health in young schoolchildren. Cluster randomised controlled trial. 28 classes from 15 elementary schools in Switzerland randomly selected and assigned in a 4:3 ratio to an intervention (n=16) or control arm (n=12) after stratification for grade (first and fifth grade), from August 2005 to June 2006. 540 children, of whom 502 consented and presented at baseline. Children in the intervention arm (n=297) received a multi-component physical activity programme that included structuring the three existing physical education lessons each week and adding two additional lessons a week, daily short activity breaks, and physical activity homework. Children (n=205) and parents in the control group were not informed of an intervention group. For most outcome measures, the assessors were blinded. Primary outcome measures included body fat (sum of four skinfolds), aerobic fitness (shuttle run test), physical activity (accelerometry), and quality of life (questionnaires). Secondary outcome measures included body mass index and cardiovascular risk score (average z score of waist circumference, mean blood pressure, blood glucose, inverted high density lipoprotein cholesterol, and triglycerides). 498 children completed the baseline and follow-up assessments (mean age 6.9 (SD 0.3) years for first grade, 11.1 (0.5) years for fifth grade). After adjustment for grade, sex, baseline values, and clustering within classes, children in the intervention arm compared with controls showed more negative changes in the z score of the sum of four skinfolds (-0.12, 95 % confidence interval -0.21 to -0.03; P=0.009). Likewise, their z scores for aerobic fitness increased more favourably (0.17, 0.01 to 0.32; P=0.04), as did those for moderate-vigorous physical activity in school (1.19, 0.78 to 1.60; P<0.001), all day moderate-vigorous physical activity (0.44, 0.05 to 0.82; P=0.03), and total physical activity in school (0.92, 0.35 to 1.50; P=0.003). Z scores for overall daily physical activity (0.21, -0.21 to 0.63) and physical quality of life (0.42, -1.23 to 2.06) as well as psychological quality of life (0.59, -0.85 to 2.03) did not change significantly. A school based multi-component physical activity intervention including compulsory elements improved physical activity and fitness and reduced adiposity in children. Trial registration Current Controlled Trials ISRCTN15360785.