"Nonlinear" covariance matrix and portfolio theory for non-Gaussian multivariate distributions

This paper offers a precise analytical characterization of the distribution of returns for a portfolio constituted of assets whose returns are described by an arbitrary joint multivariate distribution. In this goal, we introduce a non-linear transformation that maps the returns onto gaussian variables whose covariance matrix provides a new measure of dependence between the non-normal returns, generalizing the covariance matrix into a non-linear fractional covariance matrix. This nonlinear covariance matrix is chiseled to the specific fat tail structure of the underlying marginal distributions, thus ensuring stability and good-conditionning. The portfolio distribution is obtained as the solution of a mapping to a so-called phi-q field theory in particle physics, of which we offer an extensive treatment using Feynman diagrammatic techniques and large deviation theory, that we illustrate in details for multivariate Weibull distributions. The main result of our theory is that minimizing the portfolio variance (i.e. the relatively ``small'' risks) may often increase the large risks, as measured by higher normalized cumulants. Extensive empirical tests are presented on the foreign exchange market that validate satisfactorily the theory. For ``fat tail'' distributions, we show that an adequete prediction of the risks of a portfolio relies much more on the correct description of the tail structure rather than on their correlations.Comment: Latex, 76 page

Time and time-frequency analysis of near-infrared signals for the assessment of ozone autohemotherapy long-term effects in multiple sclerosis

Ozone autohemotherapy is an emerging therapeutic technique that is gaining increasing importance in treating neurological disorders. A validated and standard methodology to assess the effect of such therapy on brain metabolism and circulation is however still lacking. We used a near-infrared spectroscopy system (NIRS) to monitor the cerebral oxygenation of 9 subjects: 4 remitting-relapsing multiple sclerosis (MS) sufferers and 5 controls. Subjects were tested before, during, and after ozone autohemotherapy. We monitored the concentration changes in the level of oxygenated and deoxygenated haemoglobin, and in the level of the Cytochrome-c-oxidase (CYT-c). From the time and time-frequency analysis of the NIRS signals we extracted 128 variables, which were used to characterize the metabolic brain pattern during the therapy. We showed that by using only 7 NIRS variables out of 128 it is possible to characterize the metabolic brain pattern of the two groups of subjects. The MS subjects showed a marked increase of the CYT-c activity and concentration about 40 minutes after the end of the autohemotherapy, possibly revealing a reduction of the chronic oxidative stress level typical of MS sufferers. From a technical point of view, this preliminary study showed that NIRS could be useful to show the effects of ozone autohemotherapy at cerebral level, in a long term monitoring. The clinical result of this study is the quantitative measurement of the CYT-c level changes in MS induced by ozone autohemotherap

Transient Astrophysical Pulses and Quantum Gravity

Searches for transient astrophysical pulses could open an exciting new window into the fundamental physics of quantum gravity. In particular, an evaporating primordial black hole in the presence of an extra dimension can produce a detectable transient pulse. Observations of such a phenomenon can in principle explore the electroweak energy scale, indicating that astrophysical probes of quantum gravity can successfully complement the exciting new physics expected to be discovered in the near future at the Large Hadron Collider.Comment: 7 pages, This essay received an honorable mention in the Gravity Research Foundation Essay Competition, 200

CFD optimization of large water storages for efficient cooling of high power intermittent thermal loads

The design optimization of water basins for the refrigeration of intermittent high-power heat sources, by mean of CFD simulations, is presented. A case study of an experimental facility is considered, that foreseen two large water basins as thermal storage, with volume of 315 m3 and 500 m3 respectively, and an installed nominal cooling power around 25 MW for the cooling of an intermittent load, with peak power of around 65 MW. A strong horizontal stratification has been looked after in the preliminary design, which include a labyrinth of walls and weirs, and water inlet/outlet plugs positioned at the opposite side of the basins. The intensity and the role of this stratification have been explored using a CFD software, simulating both winter and summer sceneries. Some variants to the original design have been studied, in order to optimize the stratification of water temperatures. It is shown that a large water storage with an optimal design could help very much in reducing cooling power demand in case of intermittent thermal load. Keywords: Large water storage, Thermal stratification, CF

optimized low pressure solar dec with zeolite based adsorption

Abstract This paper presents a new concept of hybrid/natural air conditioning system with a high level of architectural integration. A solar DEC (Desiccant Evaporative Cooling) open cycle with very low pressure drops, drastically reduces the electricity consumption for driving fans. The supply air is dehumidified by an innovative zeolite coated adsorption bed and cooled indirectly by an evaporative cooler, through a low pressure drop heat exchanger. The adsorption bed is a finned coil heat exchanger coated with a SAPO-34 zeolite layer realizing both heat and mass transfer in one component. Low thermal grade heat is used to regenerate the adsorbent material, showing high compatibility with low temperature solar systems such as flat plate or evacuated tubes solar collectors. Experimental data have been used for validating a CFD model of the coated coil. The possibility to remove the adsorption heat during dehumidification reduces the air temperature with a positive effect on cooling power

CFD optimization of large water storages for efficient cooling of high power intermittent thermal loads

The design optimization of water basins for the refrigeration of intermittent high-power heat sources, by mean of CFD simulations, is presented. A case study of an experimental facility is considered, that foreseen two large water basins as thermal storage, with volume of 315m3 and 500m3 respectively, and an installed nominal cooling power around 25MW for the cooling of an intermittent load, with peak power of around 65MW. A strong horizontal stratification has been looked after in the preliminary design, which include a labyrinth of walls and weirs, and water inlet/outlet plugs positioned at the opposite side of the basins. The intensity and the role of this stratification have been explored using a CFD software, simulating both winter and summer sceneries. Some variants to the original design have been studied, in order to optimize the stratification of water temperatures. Itis shown that a large water storage with an optimal design could help very much in reducing cooling power demand in case of intermittent thermal load

Intraluminal recanalization of long infrainguinal chronic total occlusions using the Crosser system

Purpose: To assess the safety and efficacy of a device for vibrational angioplasty in the percutaneous intraluminal recanalization of long infrainguinal chronic total occlusions (CTO). Technique: The Crosser CTO Recanalization System is a mechanical recanalization device that uses high-frequency vibrational energy to disrupt and channel through fibrocalcific plaque without harming the vessel wall, thus assisting in the recanalization of an occluded artery. In 12 diabetic patients (7 men; median age 71 years, range 58–80) with critical limb ischemia owing to long (median length 26 cm, range 21–32) infrainguinal CTOs resistant to conventional guidewire techniques, the Crosser CTO Recanalization System was successful in intraluminally crossing the occlusion in 9 (75%) patients in ,5 minutes (mean 4:03 minutes). The safety endpoint (distal lumen guidewire position with no vessel perforation or dissection) was achieved in all successful cases. Conclusion: In our preliminary experience, the Crosser CTO Recanalization Catheter decreased crossing time, was safe, and achieved a high rate of intraluminal recanalization of long infrainguinal CTOs. J Endovasc Ther. 2009;16:23–27 Key words: critical limb ischemia, chronic total occlusion, percutaneous interventions, infrainguinal occlusion, intraluminal recanalization, vibrational energ