Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we construct “high-minus-low" equity portfolios sorted on beta, coskewness, and cokurtosis. We find substantial evidence of dynamic and asymmetric dependence between characteristic-sorted portfolios. Second, we consider a dynamic asymmetric copula model by combining the generalized hyperbolic skewed t copula with the generalized autoregressive score (GAS) model to capture both the multivariate non-normality and the dynamic and asymmetric dependence between equity portfolios. We demonstrate its usefulness by evaluating the forecasting performance of Value-at-Risk and Expected Shortfall for the high-minus-low portfolios. From back-testing, e find consistent and robust evidence that our dynamic asymmetric copula model provides the most accurate forecasts, indicating the importance of incorporating the dynamic and asymmetric dependence structure in risk management.

Intrachain Energy Migration to Weak Charge-Transfer State in Polyfluorene End-Capped with Naphthalimide Derivative

Polyfluorene end-capped with N-(2-benzothiazole)-1 8-naphthalimide (PF-BNI) is a highly fluorescent material with fluorescence emission modulated by solvent polarity Its low energy excited state is assigned as a mixed configuration state between the singlet S(1) of the fluorene backbone (F) with the charge transfer (CI) of the end group BNI The triexponential fluorescence decays of PF-BNI were associated with fast energy migration to form an intrachain charge-transfer (ICCT) state polyfluorene backbone decay and ICCT deactivation Time-resolved fluorescence anisotropy exhibited biexponential relaxation with a fast component of 12-16 ps in addition to a slow one in the range 0 8-1 4 ns depending on the solvent showing that depolarization occurs from two different processes energy migration to form the ICCT state and slow rotational diffusion motion of end segments at a longer time Results from femtosecond transient absorption measurements agreed with anisotropy decay and showed a decay component of about 16 ps at 605 nm in PF BNI ascribed to the conversion of S(1) to the ICCT excited state From the ratio of asymptotic and initial amplitudes of the transient absorption measurement the efficiency of intrachain ICCT formation is estimated in 0 5 which means that on average, half of the excited state formed in a BNI-(F)(n)-BNI chain with n = 32 is converted to its low energy intrachain charge-transfer (ICCT) state

Capillary break-up rheometry of low-viscosity elastic fluids

We investigate the dynamics of the capillary thinning and break-up process for low viscosity elastic fluids such as dilute polymer solutions. Standard measurements of the evolution of the midpoint diameter of the necking fluid filament are augmented by high speed digital video images of the break up dynamics. We show that the successful operation of a capillary thinning device is governed by three important time scales (which characterize the relative importance of inertial, viscous and elastic processes), and also by two important length scales (which specify the initial sample size and the total stretch imposed on the sample). By optimizing the ranges of these geometric parameters, we are able to measure characteristic time scales for tensile stress growth as small as 1 millisecond for a number of model dilute and semi-dilute solutions of polyethylene oxide (PEO) in water and glycerol. If the final aspect ratio of the sample is too small, or the total axial stretch is too great, measurements are limited, respectively, by inertial oscillations of the liquid bridge or by the development of the well-known beads-on-a-string morphology which disrupt the formation of a uniform necking filament. By considering the magnitudes of the natural time scales associated with viscous flow, elastic stress growth and inertial oscillations it is possible to construct an operability diagram characterizing successful operation of a capillary break-up extensional rheometer. For Newtonian fluids, viscosities greater than approximately 70 mPas are required; however for dilute solutions of high molecular weight polymer, the minimum Viscosity is substantially lower due to the additional elastic stresses arising from molecular extension. For PEO of molecular weight 2.10(6) g/mol, it is possible to measure relaxation times of order 1 ms in dilute polymer solutions with zero-shear-rate viscosities on the order of 2-10 mPas.

Dependence of transient dynamics in a class-C laser upon variation of inversion with time

The transient statistics of a gain-switched coherently pumped class-C laser displays a linear correlation between the first passage time and subsequent peak intensity. Measurements are reported showing a positive or negative sign of this linear correlation, controlled through the switching time and the laser detuning. Further measurements of the small-signal laser gain combined with calculations involving a three-level laser model indicate that this sign fundamentally depends upon the way the laser inversion varies during the gain switching, despite the added dynamics of the laser polarization in the class-C laser. [S1050-2947(97)07112-6].

Thermal activation and ATP dependence of the cytoskeleton remodeling dynamics

The cytoskeleton (CSK) is a nonequilibrium polymer network that uses hydrolyzable sources of free energy such as adenosine triphosphate (ATP) to remodel its internal structure. As in inert nonequilibrium soft materials, CSK remodeling has been associated with structural rearrangements driven by energy-activated processes. We carry out particle tracking and traction microscopy measurements of alveolar epithelial cells at various temperatures and ATP concentrations. We provide the first experimental evidence that the remodeling dynamics of the CSK is driven by structural rearrangements over free-energy barriers induced by thermally activated forces mediated by ATP. The measured activation energy of these forces is ~40kBTr (kB being the Boltzmann constant and Tr being the room temperature). Our experiments provide clues to understand the analogy between the dynamics of the living CSK and that of inert nonequilibrium soft materials.

Spanning avalanches in the three-dimensional Gaussian random-field Ising model with metastable dynamics: Field dependence and geometrical properties

Spanning avalanches in the 3D Gaussian Random Field Ising Model (3D-GRFIM) with metastable dynamics at T=0 have been studied. Statistical analysis of the field values for which avalanches occur has enabled a Finite-Size Scaling (FSS) study of the avalanche density to be performed. Furthermore, a direct measurement of the geometrical properties of the avalanches has confirmed an earlier hypothesis that several types of spanning avalanches with two different fractal dimensions coexist at the critical point. We finally compare the phase diagram of the 3D-GRFIM with metastable dynamics with the same model in equilibrium at T=0.

Spanning avalanches in the three-dimensional Gaussian random-field Ising model with metastable dynamics: Field dependence and geometrical properties

Spanning avalanches in the 3D Gaussian Random Field Ising Model (3D-GRFIM) with metastable dynamics at T=0 have been studied. Statistical analysis of the field values for which avalanches occur has enabled a Finite-Size Scaling (FSS) study of the avalanche density to be performed. Furthermore, a direct measurement of the geometrical properties of the avalanches has confirmed an earlier hypothesis that several types of spanning avalanches with two different fractal dimensions coexist at the critical point. We finally compare the phase diagram of the 3D-GRFIM with metastable dynamics with the same model in equilibrium at T=0.

Temperature dependence of protein dynamics simulated with three different water models

The effect of variation of the water model on the temperature dependence of protein and hydration water dynamics is examined by performing molecular dynamics simulations of myoglobin with the TIP3P, TIP4P, and TIP5P water models and the CHARMM protein force field at temperatures between 20 and 300 K. The atomic mean-square displacements, solvent reorientational relaxation times, pair angular correlations between surface water molecules, and time-averaged structures of the protein are all found to be similar, and the protein dynamical transition is described almost indistinguishably for the three water potentials. The results provide evidence that for some purposes changing the water model in protein simulations without a loss of accuracy may be possible.

Temperature dependence of molecular dynamics and supramolecular aggregation in MEH-PPV films: A solid-state NMR, X-ray and fluorescence spectroscopy study

This article presents an investigation of the temperature induced modification in the microstructure and dynamics of poly[2-methoxy-5-(2`-ethylhexyloxy)-1,4-phenylenevinylene] (MEH-PPV) cast films using Wide-Angle X-ray Scattering (WAXS), solid-state Nuclear Magnetic Resonance (NMR), and Fluorescence Spectroscopy (PL). MEH-PPV chain motions were characterized as a function of temperature by NMR. The results indicated that the solvent used to cast the films influences the activation energy of the side-chain motions. This was concluded from the comparison of the activation energy of the toluene cast film, E(a) = (54 +/- 8) kJ/mol, and chloroform cast film, E(a) = (69 +/- 5) kJ/mol, and could be attributed to the higher side-chain packing provided by chloroform, that preferentially solvates the side chain in contrast to toluene that solvates mainly the backbone. Concerning the backbone mobility, it was observed that the torsional motions in the MEH-PPV have average amplitude of similar to 10 degrees at 300 K, which was found to be independent of the solvent used to cast the films. In order to correlate the molecular dynamics processes with the changes in the microstructure of the polymer, in situ WAXS experiments as a function of temperature were performed and revealed that the interchain spacing in the MEH-PPV molecular aggregates increases as a function of temperature, particularly at temperatures where molecular relaxations occur. It was also observed that the WAXS peak associated with the bilayer spacing becomes narrower and its intensity increases whereas the peak associated with the inter-backbone planes reduces its intensity for higher temperatures. This last result Could be interpreted as a decrease in the number of aggregates and the reduction of the interchain species during the MEH-PPV relaxation processes. These WAXS results were correlated with PL spectra modifications observed upon temperature treatments. (C) 2008 Elsevier Ltd. All rights reserved.

Spin and spatial dynamics in electron-impact scattering off S-wave He using R-matrix with Time-Dependence theory

R-matrix with time-dependence theory is applied to electron-impact ionisation processes for He in the S-wave model. Cross sections for electron-impact excitation, ionisation and ionisation with excitation for impact energies between 25 and 225 eV are in excellent agreement with benchmark cross sections. Ultra-fast dynamics induced by a scattering event is observed through time-dependent signatures associated with autoionisation from doubly excited states. Further insight into dynamics can be obtained through examination of the spin components of the time-dependent wavefunction.

Mechanical Properties And Fracture Dynamics Of Silicene Membranes.

As graphene has become one of the most important materials, there is renewed interest in other similar structures. One example is silicene, the silicon analogue of graphene. It shares some of the remarkable graphene properties, such as the Dirac cone, but presents some distinct ones, such as a pronounced structural buckling. We have investigated, through density functional based tight-binding (DFTB), as well as reactive molecular dynamics (using ReaxFF), the mechanical properties of suspended single-layer silicene. We calculated the elastic constants, analyzed the fracture patterns and edge reconstructions. We also addressed the stress distributions, unbuckling mechanisms and the fracture dependence on the temperature. We analysed the differences due to distinct edge morphologies, namely zigzag and armchair.

Polarization effects in molecular dynamics simulations of glass-formers Ca(NO(3))(2)center dot nH(2)O, n=4, 6, and 8

Thermodynamics, equilibrium structure, and dynamics of glass-forming liquids Ca(NO(3))(2)center dot nH(2)O, n=4, 6, and 8, have been investigated by molecular dynamics (MD) simulations. A polarizable model was considered for H(2)O and NO(3)- on the basis of previous fluctuating charge models for pure water and the molten salt 2Ca(NO(3))(2)center dot 3KNO(3). Similar thermodynamic properties have been obtained with nonpolarizable and polarizable models. The glass transition temperature, T(g), estimated from MD simulations was dependent on polarization, in particular the dependence of T(g) with electrolyte concentration. Significant polarization effects on equilibrium structure were observed in cation-cation, cation-anion, and water-water structures. Polarization increases the diffusion coefficient of H(2)O, but does not change significantly the diffusion coefficients of ions. Viscosity decreases upon inclusion of polarization, but the conductivity calculated with the polarizable model is smaller than the nonpolarizable model because polarization enhances anion-cation interactions.

Fragility and glassy dynamics of 2Ca(NO(3))(2)center dot 3KNO(3) under pressure: Molecular dynamics simulations

Molecular dynamics simulations of the glass-forming liquid 2Ca(NO(3))(2)center dot 3KNO(3) (CKN) were performed from high temperature liquid states down to low temperature glassy states at six different pressures from 10(-4) to 5.0 GPa. The temperature dependence of the structural relaxation time indicates that the fragility of liquid CKN changes with pressure. In line with recent proposal [Scopigno , Science 302, 849 (2003)], the change on liquid fragility is followed by a proportional change of the nonergodicity factor of the corresponding glass at low temperature. (c) 2008 American Institute of Physics.

Heterogeneity, saving-investment dynamics and capital mobility in Latin America

The purpose of this paper is to analyze the dynamics of national saving-investment relationship in order to determine the degree of capital mobility in 12 Latin American countries. The analytically relevant correlation is the short-term one, defined as that between changes in saving and investment. Of special interest is the speed at which variables return to the long run equilibrium relationship, which is interpreted as being negatively related to the degree of capital mobility. The long run correlation, in turn, captures the coefficient implied by the solvency constraint. We find that heterogeneity and cross-section dependence completely change the estimation of the long run coefficient. Besides we obtain a more precise short run coefficient estimate compared to the existent estimates in the literature. There is evidence of an intermediate degree of capital mobility, and the coefficients are extremely stable over time.