Value at Risk models with long memory features and their economic performance

We study alternative dynamics for Value at Risk (VaR) that incorporate a slow moving component and information on recent aggregate returns in established quantile (auto) regression models. These models are compared on their economic performance, and also on metrics of first-order importance such as violation ratios. By better economic performance, we mean that changes in the VaR forecasts should have a lower variance to reduce transaction costs and should lead to lower exceedance sizes without raising the average level of the VaR. We find that, in combination with a targeted estimation strategy, our proposed models lead to improved performance in both statistical and economic terms

Miscible displacement fronts of shear thinning fluids inside rough fractures

The miscible displacement of a shear-thinning fluid by another of same rheological properties is studied experimentally in a transparent fracture by an optical technique imaging relative concentration distributions. The fracture walls have complementary self-affine geometries and are shifted laterally in the direction perpendicular to the mean flow velocity {\bf U} : the flow field is strongly channelized and macro dispersion controls the front structure for P\'{e}clet numbers above a few units. The global front width increases then linearly with time and reflects the velocity distribution between the different channels. In contrast, at the local scale, front spreading is similar to Taylor dispersion between plane parallel surfaces. Both dispersion mechanisms depend strongly on the fluid rheology which shifts from Newtonian to shear-thinning when the flow rate increases. In the latter domain, increasing the concentration enhances the global front width but reduces both Taylor dispersion (due to the flattening of the velocity profile in the gap of the fracture) and the size of medium scale front structures

Maintenance of Weight Loss in Adolescents: Current Status and Future Directions

There is a dearth of research on the long-term efficacy and safety of treatments for adolescent obesity. This narrative review examined several approaches to treatment, focusing on long-term effectiveness data in adolescents, as well as relevant findings from studies of adults. The available research suggests that lifestyle modification has promise in obese adolescents, although it is not clear that any particular dietary or physical activity approach is more effective than another. Meal replacements are quite effective in adults and deserve further research in adolescents. Extending the length of treatment to teach weight loss maintenance skills is likely to improve long-term outcomes in adolescents, and delivering treatment via the Internet or telephone is a novel way of doing so. Treatment that combines lifestyle modification with the medication orlistat generally appears to be safe but only marginally superior to lifestyle modification alone. More research is needed on the management of adolescent obesity, which has been overlooked when compared with research on the treatment of obesity in children and adults

Placebo response in binge eating disorder

Objective: Placebo response in studies of binge eating disorder (BED) has raised concern about its diagnostic stability. The aims of this study were (1) to compare placebo responders (PRs) with nonresponders (NRs); (2) to investigate the course of BED following placebo response; and (3) to examine attributions regarding placebo response. Method: The baseline placebo run-in phase (BL) was part of a RCT investigating sibutramine hydrochloride for BED; it included 451 participants, ages 19–63, diagnosed with BED. Follow-up (FU) included 33 PRs. Results: In this study, 32.6% of participants responded to placebo (PRs = 147; NRs = 304). PRs exhibited significantly less symptom severity. At FU (n = 33), many PRs reported continued symptoms. Conclusion: PRs exhibited significantly less severe pathology than NRs. Placebo response in BED may transitory or incomplete. The results of this study suggest variable stability in the BED diagnosis

Silicon-based molecular electronics

Molecular electronics on silicon has distinct advantages over its metallic counterpart. We describe a theoretical formalism for transport through semiconductor-molecule heterostructures, combining a semi-empirical treatment of the bulk silicon bandstructure with a first-principles description of the molecular chemistry and its bonding with silicon. Using this method, we demonstrate that the presence of a semiconducting band-edge can lead to a novel molecular resonant tunneling diode (RTD) that shows negative differential resistance (NDR) when the molecular levels are driven by an STM potential into the semiconducting band-gap. The peaks appear for positive bias on a p-doped and negative for an n-doped substrate. Charging in these devices is compromised by the RTD action, allowing possible identification of several molecular highest occupied (HOMO) and lowest unoccupied (LUMO) levels. Recent experiments by Hersam et al. [1] support our theoretical predictions.Comment: Author list is reverse alphabetical. All authors contributed equally. Email: rakshit/liangg/ ghosha/[email protected]

Continuous-time random-walk approach to normal and anomalous reaction-diffusion processes

We study the dynamics of a radioactive species flowing through a porous material, within the Continuous-Time Random Walk (CTRW) approach to the modelling of stochastic transport processes. Emphasis is given to the case where radioactive decay is coupled to anomalous diffusion in locally heterogeneous media, such as porous sediments or fractured rocks. In this framework, we derive the distribution of the number of jumps each particle can perform before a decay event. On the basis of the obtained results, we compute the moments of the cumulative particle distribution, which can be then used to quantify the overall displacement and spread of the contaminant species.Comment: 6 pages, 4 figure

The systematic study of the influence of neutron excess on the fusion cross sections using different proximity-type potentials

Using different types of proximity potentials, we have examined the trend of variations of barrier characteristics (barrier height and its position) as well as fusion cross sections for 50 isotopic systems including various collisions of C, O, Mg, Si, S, Ca, Ar, Ti and Ni nuclei with $1\leq N/Z < 1.6$ condition for compound systems. The results of our studies reveal that the relationships between increase of barrier positions and decrease of barrier heights are both linear with increase of $N/Z$ ratio. Moreover, fusion cross sections also enhance linearly with increase of this ratio.Comment: 28 pages, 7 figures, 5 Table

Theory of continuum percolation III. Low density expansion

We use a previously introduced mapping between the continuum percolation model and the Potts fluid (a system of interacting s-states spins which are free to move in the continuum) to derive the low density expansion of the pair connectedness and the mean cluster size. We prove that given an adequate identification of functions, the result is equivalent to the density expansion derived from a completely different point of view by Coniglio et al. [J. Phys A 10, 1123 (1977)] to describe physical clustering in a gas. We then apply our expansion to a system of hypercubes with a hard core interaction. The calculated critical density is within approximately 5% of the results of simulations, and is thus much more precise than previous theoretical results which were based on integral equations. We suggest that this is because integral equations smooth out overly the partition function (i.e., they describe predominantly its analytical part), while our method targets instead the part which describes the phase transition (i.e., the singular part).Comment: 42 pages, Revtex, includes 5 EncapsulatedPostscript figures, submitted to Phys Rev

Efficient Dynamic Importance Sampling of Rare Events in One Dimension

Exploiting stochastic path integral theory, we obtain \emph{by simulation} substantial gains in efficiency for the computation of reaction rates in one-dimensional, bistable, overdamped stochastic systems. Using a well-defined measure of efficiency, we compare implementations of ``Dynamic Importance Sampling'' (DIMS) methods to unbiased simulation. The best DIMS algorithms are shown to increase efficiency by factors of approximately 20 for a $5 k_B T$ barrier height and 300 for $9 k_B T$, compared to unbiased simulation. The gains result from close emulation of natural (unbiased), instanton-like crossing events with artificially decreased waiting times between events that are corrected for in rate calculations. The artificial crossing events are generated using the closed-form solution to the most probable crossing event described by the Onsager-Machlup action. While the best biasing methods require the second derivative of the potential (resulting from the ``Jacobian'' term in the action, which is discussed at length), algorithms employing solely the first derivative do nearly as well. We discuss the importance of one-dimensional models to larger systems, and suggest extensions to higher-dimensional systems.Comment: version to be published in Phys. Rev.