An empirical study of correlation and volatility changes of stock indices and their impact on risk figures

During world financial crisis it became obvious that classical models of portfolio theory significantly under-estimated risks, especially with regard to stocks. Instabilities of correlations and volatilities, the relevant parameters characterizing risk, led to over-estimation of diversification effects and consequently to under-estimation of risks. In this article, we analyze the relevant risk parameters concerning stocks during different market periods of the previous decade. We show that parameters and risks significantly change with market periods and find that the impact of fluctuations and estimation errors is ten times larger for volatilities than for correlations. Moreover, it turns out that diversification between sectors is more efficient than diversification between countries

Immersive Ars Memoria: Evaluating the Usefulness of a Virtual Memory Palace

The Method of Loci (also memory palace) is the most powerful mnemonic strategy and was widely analyzed over the last twenty years. Especially, the approach to combine this ancient learning method with modern technology got more and more into the focus of an interdisciplinary research community. Researchers presented their students virtual environments via computer screen or head-mounted displays and instructed them to use these virtual worlds as a template for a memory palace. However, most studies did not investigate the users’ attitude to actually use such a tool in everyday situations. This study addresses this research gap by an experiment and a correlation and regression analysis. Results show significant correlations between the learning success and important factors of the users intention to use a virtual memory palace

Hospital-based, prospective, multicentre surveillance to determine the incidence of intussusception in children aged below 15 years in Germany

<p>Abstract</p> <p>Background</p> <p>A new vaccine against Rotavirus (RV) gastroenteritis was introduced in Germany in 2006. In 1997 the first RV vaccine was withdrawn due to an increased incidence in intussusception (IS). Thus, an accurate estimation of the incidence of IS is important for post-licensure surveillance.</p> <p>Methods</p> <p>IS-Data were obtained from the 'Erhebungseinheit für seltene pädiatrische Erkrankungen Deutschland' (ESPED, German surveillance unit for rare pediatric diseases) collaborations' central register where all cases of intussusception in Germany for the years 2006 and 2007 are collected (n = 1200). In order to obtain an unbiased estimate of the incidence, it is necessary to determine the population under risk out of which these cases originated, and the proportion of real cases not reported to the registry (underreporting). In order to assess underreporting, a random sample of 31 hospitals was re-assessed by an outside reviewer. The estimation of incidence was done using a single Maximum-Likelihood (ML) estimator based on data from both the registry and the sample.</p> <p>Results</p> <p>The uncorrected observed incidence was calculated to be 26.6/100,000 child-years for children below 1 year old, 23.8 for those below 2 years old, and 5.2 for those below 15 years old. The review revealed a mean reporting quota of about 41% and the ML approach yielded an incidence of 51.5/100,000 child-years (95%CI [41.7;61.1]) for children below 2 years of age.</p> <p>Conclusions</p> <p>While substantial under-reporting led to very conservative estimates of the IS incidence, the approach described here allows an accurate estimation of IS incidence including corresponding confidence bands. Therefore, ML estimation is a straightforward instrument to derive stable, unbiased estimates in epidemiological studies with incomplete data.</p

Nonparametric detection of changes over time in image data from fluorescence microscopy of living cells

The question whether structural changes in time-resolved images are of statistical significance or merely emerge from random noise is of great relevance in many practical applications such as live cell fluorescence microscopy, where intracellular diffusion processes are investigated. Using bootstrap-methods, we construct nonparametric confidence bands for time-resolved images from fluorescence microscopy and use these to detect and visualize temporal changes between individual frames in imaging of living cells. We model the images frames as two-dimensional fields of Poisson random variables and provide a strong approximation result for independent and standardized but not necessarily identically distributed Poisson random variables. The latter result is used to derive a limit result for the maximal difference between the reconstructed and the true image. This provides the theoretical foundation of our method. We apply regularization techniques to cope with the ill-posedness of the convolution problem induced by the imaging system. Our approach provides a criterion to assess time-resolved small scale structural changes, for example, in the nanometer range. It can also be adopted for use in other imaging systems. Moreover, a data-driven selection method for the regularization parameter based on statistical multiscale methods is discussed

Demonstrating Single and Multiple Currents Through the E. coli-SecYEG-Pore: Testing for the Number of Modes of Noisy Observations

We analyze a new dataset from an electrophysiological recording of transmembrane currents through a bacterial membrane channel to demonstrate the existence of single and multiple channel currents. Protein channels mediate transport through biological membranes; knowledge of the channel properties gained from electrophysiological recordings is important for a targeted drug design. We investigate the bacterial membrane protein SecYEG which is of essential importance for the secretory pathway for sorting of newly synthesized proteins to their place of function in the cell. Our results strongly indicate that in the SecYEG pore the different modes of the density of channel currents are approximately equidistant and correspond to different numbers of open channels in the membrane. A current of ≈12 pA under the present experimental conditions turns out to be characteristic of the presence of a single open SecYEG pore, a fact that had not been electrophysiologically characterized so far. Electrophysiological recordings of single protein channels show a substantial amount of background noise. The data at our disposal can be modeled as the independent sum of an error variable and the realization of the ionic current. Thus, we are led to deconvoluting the density of the observations in order to recover the density f of the ionic currents, and then investigating the number of modes of f. To this end we propose an extension of Silverman’s (1981) test for the number of modes to deconvolution kernel density estimation, and develop the relevant theory. The finite sample performance of the test is investigated in a simulation study