Value-at-Risk prediction by higher moment dynamics.

In this paper the prediction of Value-at-Risk by means of models accounting for higher moment dynamics is studied. We consider the GARCHDSK model, which allows for dynamic skewness and kurtosis, and compare its performance with that of several widely adopted models. The analysis is based on the study of sequences of (long and short) VaR violations, for which the hypotheses of absence of autocorrelation and of correct coverage rates are assessed. Both in-sample and out-of-sample results are investigated

Looking for skewness in financial time series

In this paper marginal and conditional skewness of financial return time series is studied, by means of testing procedures and suitable models, for nine major international stock indexes. To analyze time-varying conditional skewness a new GARCH-type model with dynamic skewness and kurtosis is proposed. Results indicate that there are no evidences of marginal asymmetry in the nine series, but there are clear findings of significant time-varying conditional skewness. The economic significance of conditional skewness is analyzed and compared by considering Value-at-Risk, Expected Shortfall and Market Risk Capital Requirements set by the Basel Accord

Model Reduction for Quantum Systems: Discrete-time Quantum Walks and Open Markov Dynamics

A general approach to obtain reduced models for a wide class of discrete-time quantum systems is proposed. The obtained models not only reproduce exactly the output of a given quantum model, but are also guaranteed to satisfy physical constraints, namely complete positivity and preservation of total probability. A fundamental framework for exact model reduction of quantum systems is constructed leveraging on algebraic methods, as well as novel results on quantum conditional expectations in finite-dimensions. The proposed reduction algorithm is illustrated and tested on prototypical examples, including the quantum walk realizing Grover's algorithm.Comment: 16 page

Algebraic Reduction of Hidden Markov Models

The problem of reducing a Hidden Markov Model (HMM) to one of smaller dimension that exactly reproduces the same marginals is tackled by using a system-theoretic approach. Realization theory tools are extended to HMMs by leveraging suitable algebraic representations of probability spaces. We propose two algorithms that return coarse-grained equivalent HMMs obtained by stochastic projection operators: the first returns models that exactly reproduce the single-time distribution of a given output process, while in the second the full (multi-time) distribution is preserved. The reduction method exploits not only the structure of the observed output, but also its initial condition, whenever the latter is known or belongs to a given subclass. Optimal algorithms are derived for a class of HMM, namely observable ones

The Determinants of Health-Related Quality of Life in a Sample of Primary School Children: A Cross-Sectional Analysis

Background: Health-related quality of life (HRQoL) in childhood is a multidimensional construct with many sub dimensions of subjective experience, including physical activity (PA), psychological well-being, social interaction, and school performance, that represents a fundamental health outcome to assess a child’s physical and psycho-social functioning. Our study aims to explore the potential predictors of children’s health-related quality of life, using a convenience sample from the Imola Active Break Study (I-MOVE), considering demographic, anthropometric measures, PA level measured by Actigraph accelerometers, parent-reported/self-reported HRQoL, and body image. Methods: A cross-sectional analysis was conducted among 151 primary school children in Italy. HRQoL was assessed using the Italian version 4.0 of the Paediatric Quality of Life (PedsQL) questionnaire. Results: Children who spent more time partaking in moderate PA were associated with a higher total PedsQL score (p < 0.03). Mother’s body mass index (BMI) was the only variable statistically significant associated with the physical health domain of PedsQL. Parent’s proxy-report perception concerning children’s psychosocial health was statistically relevant. The children’s gender, age, and BMI had no association with any of the HRQoL outcomes. Discussion: Parent proxy-report psychosocial health and mother’s BMI should be considered as predictors of HRQoL for the psychosocial and physical domain. PA should be implemented in order to improve the HRQoL of primary school children

Mind-muscle connection: effects of verbal instructions on muscle activity during bench press exercise

Different attentional foci may modify muscle activation during exercises. Our aim was to determine if it is possible to selectively activate the pectoralis major or triceps brachii muscles according to specific verbal instructions provided during the bench press exercise. 13 resistance-trained males (25.6\ub15.4 yrs, 182.7\ub19.1 cm, 86.4\ub19.7 kg) underwent an electromyographic signals acquisition of the sternocostal head, clavicular head of the pectoralis major, the anterior deltoid, and the long head of the triceps brachii (LT) during bench press exercise. Participants performed one non-instructed set (NIS) of 4 repetitions at 50% 1-repetition maximum (1-RM) and one NIS of 4 repetitions at 80% 1-RM. Four additional sets of 4 repetitions at 50% and 80% 1-RM were randomly performed with verbal instructions to isolate the chest muscles (chest instructed set, CIS) or to isolate the triceps muscles (triceps instructed set, TIS). Participants showed significantly higher LT activation during TIS compared to non-instructed set both at 50% (p=0.0199) and 80% 1-RM (p=0.0061) respectively. TIS elicited a significant (p=0.0250) higher activation of LT compared to CIS. Our results suggest that verbal instructions seem to be effective for increasing activity of the triceps brachii but not the pectoralis major during the bench press

Case ascertainment uncertainties in prevalence surveys of Parkinson's disease

Using unpublished data from five completed prevalence surveys of Parkinson's disease (PD), we investigated case ascertainment uncertainties that potentially have a direct effect on prevalence. These uncertainties arise from the choice of diagnostic criteria, the choice of screening method, and the amount of information lost because of nonresponse. The surveys were conducted in Argentina, India, China, Italy, and the Netherlands. Our analyses consisted of simple comparisons of prevalence results, positive predictive values (a screening measure), and nonresponse percentages. We found that (a) prevalence comparisons between surveys have diminished value if the surveys used different diagnostic criteria for PD; (b) screening performance may be affected adversely if symptom questions are answered by one family member for the entire family living together rather than by each family member individually; and (c) nonresponse from refusal or unavailability does not necessarily lead to bias, but special caution may be appropriate with prevalence results pertaining to elderly women

Health Status and Patient Satisfaction after Corneal Graft: Results from the Corneal Transplant Epidemiological Study

Purpose. To evaluate effects of corneal transplantation on the health-related quality of life and patients' satisfaction. Methods. Patients scheduled for elective penetrating or anterior lamellar keratoplasty completed by telephone interview the SF-12 Health Survey, before and one year after surgery, and a 6-item questionnaire on the satisfaction for graft outcomes. Results. The two questionnaires were answered by 1,223 patients. Transplantation did not influence the PCS-12 in males (ES = −0.01) and had a negative effect in females (ES = −0.18). Both sexes improved their MCS-12 (ES = 0.18 and 0.23, resp.). The majority of patients (83.1%) were satisfied by the outcome of the graft. Conclusions. This is the first report on the use of the SF-12 and one of the few that assess quality of life in patients after corneal transplantation. We showed that grafting improves patients' health-related quality of life results of patients, influencing mental health (i.e., psychological attitude, social interaction, and emotions) with minor effects on physical health (limitation, pain, and vitality)

Mind-muscle connection: effects of verbal instructions on muscle activity during bench press exercise

Different attentional foci may modify muscle activation during exercises. Our aim was to determine if it is possible to selectively activate the pectoralis major or triceps brachii muscles according to specific verbal instructions provided during the bench press exercise. 13 resistance-trained males (25.6±5.4 yrs, 182.7±9.1 cm, 86.4±9.7 kg) underwent an electromyographic signals acquisition of the sternocostal head, clavicular head of the pectoralis major, the anterior deltoid, and the long head of the triceps brachii (LT) during bench press exercise. Participants performed one non-instructed set (NIS) of 4 repetitions at 50% 1-repetition maximum (1-RM) and one NIS of 4 repetitions at 80% 1-RM. Four additional sets of 4 repetitions at 50% and 80% 1-RM were randomly performed with verbal instructions to isolate the chest muscles (chest instructed set, CIS) or to isolate the triceps muscles (triceps instructed set, TIS). Participants showed significantly higher LT activation during TIS compared to non-instructed set both at 50% (p=0.0199) and 80% 1-RM (p=0.0061) respectively. TIS elicited a significant (p=0.0250) higher activation of LT compared to CIS. Our results suggest that verbal instructions seem to be effective for increasing activity of the triceps brachii but not the pectoralis major during the bench press