Value-at-Risk and Tsallis statistics: risk analysis of the aerospace sector

In this study, we analyze the aerospace stocks prices in order to characterize the sector behavior. The data analyzed cover the period from January 1987 to April 1999. We present a new index for the aerospace sector and we investigate the statistical characteristics of this index. Our results show that this index is well described by Tsallis distribution. We explore this result and modify the standard Value-at-Risk (VaR), financial risk assessment methodology in order to reflect an asset which obeys Tsallis non-extensive statistics.Comment: 10 pages, 4 figures, 1 table, to appear in Physica

Critical Temperature tuning of Ti/TiN multilayer films suitable for low temperature detectors

We present our current progress on the design and test of Ti/TiN Multilayer for use in Kinetic Inductance Detectors (KIDs). Sensors based on sub-stoichiometric TiN film are commonly used in several applications. However, it is difficult to control the targeted critical temperature $T_C$, to maintain precise control of the nitrogen incorporation process and to obtain a production uniformity. To avoid these problems we investigated multilayer Ti/TiN films that show a high uniformity coupled with high quality factor, kinetic inductance and inertness of TiN. These features are ideal to realize superconductive microresonator detectors for astronomical instruments application but also for the field of neutrino physics. Using pure Ti and stoichiometric TiN, we developed and tested different multilayer configuration, in term of number of Ti/TiN layers and in term of different interlayer thicknesses. The target was to reach a critical temperature $T_C$ around $(1\div 1.5)$ K in order to have a low energy gap and slower recombination time (i.e. low generation-recombination noise). The results prove that the superconductive transition can be tuned in the $(0.5\div 4.6)$ K temperature range properly choosing the Ti thickness in the $(0\div 15)$ nm range, and the TiN thickness in the $(5\div 100)$ nm rang

Density, refractive index, apparent volumes and excess molar volumes of four protic ionic liquids + water at T=298.15 AND 323.15 K

Densities and refractive index of binay mixtures of water with four protic ionic liquids, based on ammonium and fatty acids, were measured at 298.15 and 323.15 K, under atmospheric pressure. Apparent and excess molar volumes were obtained by experiments and fitting data to the Redlich-Meyer (RM), Redlich-Kister (RK) and Prigogine-Flory-Patterson (PFP) equations. The molar volume values were high, suggesting strong ion-solvent interaction. The same interaction also became stronger as the temperature increased. Excess volume values were negative, indicating that packing efficiency ability or attractive interactions occurred in mixtures of ionic liquid + water. The errors (AARD) for the properties in excess were in the range of 1.8% to 7.2%. The PFP error for the apparent volume was in the range of 0.34% to 0.06%, lower than the RM error for the same property, which was in the range of 0.70 to 1.55%. The Gladstone-Dale model was applied to correlate the refractive index of the binary mixture with the density from the values of both pure components323671682FUNDAÇÃO DE AMPARO À PESQUISA DO ESTADO DE SÃO PAULO - FAPESP2011/19736-

Design, Synthesis and Discovery of N,N'-Carbazoyl-aryl-urea Inhibitors of Zika NS5 Methyltransferase and Virus Replication

The recent outbreaks of Zika virus (ZIKV) infection worldwide make the discovery of novel antivirals against flaviviruses a research priority. This work describes the identification of novel inhibitors of ZIKV through a structure‐based virtual screening approach using the ZIKV NS5‐MTase. A novel series of molecules with a carbazoyl‐aryl‐urea structure has been discovered and a library of analogues has been synthesized. The new compounds inhibit ZIKV MTase with IC50 between 23–48 μM. In addition, carbazoyl‐aryl‐ureas also proved to inhibit ZIKV replication activity at micromolar concentration

Accounting for risk of non linear portfolios: a novel Fourier approach

The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the benchmark Delta Gamma Normal model, which in general exhibits exponentially damped power law tails. We show how the knowledge of the model characteristic function leads to Fourier representations for two standard risk measures, the Value at Risk and the Expected Shortfall, and for their sensitivities with respect to the model parameters. We detail the numerical implementation of our formulae and we emphasizes the reliability and efficiency of our results in comparison with Monte Carlo simulation.Comment: 10 pages, 12 figures. Final version accepted for publication on Eur. Phys. J.