Density forecasting and momentum

We fit 800 time series models to daily momentum returns in an out-of-sample exercise. We apply the Akaike Information Criterion for model selection and forecast the one day-ahead probability density function. Our findings show that a skewed and heavy-tailed density performs best, while a simple GARCH(1,1) specification for the conditional variance is picked most often. We also report the usefulness of low order ARMA models for the conditional mean. Our trading algorithms demonstrate that targeting downside risk substantially outperforms volatility scaling. Furthermore, a strategy designed to have an exposure to momentum which is linear in the one day-ahead Sortino ratio forecast generates an annualized Carhart four-factor alpha of 107.38%, in the absence of transaction costs.São estimados 800 modelos de análise temporal, aplicados aos retornos diários da estratégia de momentum, num contexto de previsão. É utilizado o critério de informação de Akaike, de modo a encontrar o modelo econométrico mais apropriado e procede-se à previsão a um dia da função de densidade de probabilidade. Os resultados mostram que uma distribuição assimétrica e leptocúrtica obtem a melhor performance, enquanto que o modelo GARCH(1,1) para a variância condicional é escolhido com maior frequência. Os modelos ARMA de pequena dimensão revelam-se também úteis. Os nossos algoritmos de transacção demonstram que controlar o risco ligado a retornos negativos é substancialmente melhor que controlar o nível de volatilidade. Adicionalmente, uma estratégia cuja exposição a momentum é linear na previsão a um dia do rácio de Sortino atinge, com base numa regressão com os quatro factores de Carhart, um alpha annualizado de 107.38%, ignorando custos de transacção

Testing for volatility persistence change: the effect of the credit crisis on the Portuguese banks

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and EconomicsIn this work project I propose to study the effect of the 2008 credit crisis on the Portuguese banking system. I will analyze the volatility of stock-returns of seven representative banks in two distinct periods, before (2001-2007) and during (2008-2012) the credit crisis. The purpose is the analysis of possible persistence changes in the structure of conditional volatility after the shock caused by the spread of the crisis. I will test for nonstationarity within a stochastic volatility model, using modified unit root tests, and also in a fractional integration context, in order to detect possible changes in the memory parameter

Behaviour of Human Erythrocyte Aggregation in Presence of Autologous Lipoproteins

The aim of this work was to evaluate in vitro the effect of autologous plasma lipoprotein subfractions on erythrocyte tendency to aggregate. Aliquots of human blood samples were enriched or not (control) with their own HDL-C, LDL-C, or VLDL-C fractions obtained from the same batch by density gradient ultracentrifugation. Plasma osmolality and erythrocyte aggregation index (EAI) were determined. Blood aliquots enriched with LDL-C and HDL-C showed significant higher EAI than untreated aliquots, whereas enrichment with VLDL-C does not induce significant EAI changes. For the same range of lipoprotein concentrations expressed as percentage of osmolality variation, the EAI variation was positive and higher in presence of HDL-C than upon enrichment with LDL-C (P < 0.01). Particle size, up to LDL diameter values, seems to reinforce erythrocyte tendency to aggregate at the same plasma osmolality (particle number) range of values

Ozone against mycotoxins and pesticide residues in food: Current applications and perspectives

Food safety may be compromised by the presence of chemical contaminants, such as mycotoxins and pesticide residues. Mycotoxins are natural contaminants produced by certain species of filamentous fungi and can cause toxic effects on human health. Pesticide residues are any specified substance in food resulting from the use of a pesticide with toxicological significance. To protect consumers from these toxic substances, different food regulatory agencies have set maximum levels permitted in different raw materials and processed foods. However, recent research has demonstrated a high incidence of both mycotoxins and pesticide residues (not simultaneously) in foods marketed all around the world, sometimes with levels above the regulated limits. One way to reduce such contaminants is to use ozone (O3) in food processing. Due to its high potential as an oxidant, O3 or the radicals generated in the ozonation process react with mycotoxins and pesticide residues that lose their toxicity due to molecular degradation. In this review paper the recent research into using O3 for gaseous ozonation and ozonized water to decontaminate food by eliminating and/or reducing mycotoxins and pesticide residues are discussed. Also the changes promoted in food quality attributes, the possible formation of degradation products of toxic relevance, as well as some perspectives for the future use of this technology in food processing are explored.National Counsel of Technological and Scientific Development, BrazilCoordenação de Aperfeiçoamento de Pessoal de Nível Superior, BrazilRio de Janeiro State Foundation to Support ResearchAuthors are grateful for the financial support provided by CNPq (National Counsel of Technological and Scientific Development, Brazil), CAPES (Coordenação de Aperfeiçoamento de Pessoal de Nível Superior, Brazil) and FAPERJ (Rio de Janeiro State Foundation to Support Research)

Diet, atherosclerosis and atherothrombotic events

Copyright © 2007 Sociedade Portuguesa de Cardiologia. All rights reserved.Tem sido frequentemente referido em estudos epidemiológicos e ensaios clínicos que o tipo de dieta consumida e, em particular, a sua composição lipídica, além de se repercutir no metabolismo corporal pode interferir no desenvolvimento da aterosclerose e subsequentes complicações cardiovasculares. A dieta do “tipo ocidental” (rica em lípidos saturados, açúcares simples e sal, e pobre em peixe, vegetais e fibra) tem sido associada a uma maior tendência pró-inflamatória, próoxidante e pró-trombótica e, por consequência, a um maior risco cardiovascular. Em contraste, a dieta do “tipo Mediterrânico” (à base de mais peixe e pouca carne, fibras, fruta, vegetais e azeite e vinho) parece justificar a menor incidência de doença cardiovascular (e de cancro) nas populações consumidoras. Em posição intermédia parecem encontrar-se os grupos populacionais que consomem dietas preferencialmente ricas em ácidos gordos poli-insaturados. A actual carência de ensaios populacionais e clínicos randomizados e sob controlo rigoroso que relacionem as intervenções dietéticas com eventos cardiovasculares, primários ou secundários, poderá justificar algumas das divergências por vezes referidas. Também explicará a escassez de resultados esclarecedores sobre os mecanismos eventualmente dependentes da dieta utilizada no desenvolvimento da aterosclerose. Na generalidade, admite-se que as características morfológicas e funcionais do endotélio vascular possam ser afectados pelos constituintes absorvidos da dieta. A exposição sustentada a determinados componentes adversos poderá constituir um risco de disfunção endotelial, evidenciado pela diminuição de mediadores anti-trombóticos, anti-oxidantes, anti-inflamatórios e vasodilatadores periféricos, que constitui também um primeiro passo para a instalação da aterosclerose. Entre os principais mecanismos propostos destaca-se o efeito pró-inflamatório e próoxidante do excesso de colesterol na função endotelial, em contraste com o efeito aparentemente benéfico dos ácidos gordos mono-insaturados e os resultados mais contraditórios induzidos pelos ácidos gordos poli-insaturados.Epidemiologic studies and clinical trials have shown that diet and, in particular, the consumption of fats, influence the body's metabolism and can affect the development of atherosclerosis and resulting cardiovascular repercussions. A Western-type diet (high in saturated fats, simple sugars and salt, and low in fish, vegetables and fiber) has been associated with proinflammatory, pro-oxidative and prothrombotic tendencies and consequently higher cardiovascular risk. By contrast, a Mediterranean-type diet (with less meat and more fish, fiber, fruit, vegetables, olive oil and wine) appears to explain the lower tendency for cardiovascular disease (and cancer) in those who consume it. Between these two are population groups who prefer diets rich in polyunsaturated fatty acids. The lack of randomized and rigorously controlled population and clinical trials relating types of diet to primary or secondary cardiovascular events may explain some of the disagreements surrounding this subject. It would also explain the lack of results that shed light on diet-dependent mechanisms that may affect the development of atherosclerosis. In general, it is accepted that the morphologic and functional characteristics of vascular endothelium are influenced by the components absorbed from the diet. Prolonged exposure to certain harmful components in the diet may increase the risk of endothelial dysfunction, as shown by a decrease in antithrombotic, antioxidative, anti-inflammatory and peripheral vasodilatory modulators, which represents the first step towards the onset of atherosclerosis. Among the main mechanisms involved in endothelial dysfunction are the proinflammatory and prooxidative effects of excess cholesterol, in contrast with the apparent benefit of monounsaturated fatty acids and the less consistent results obtained with polyunsaturated fatty acids