Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models

In this paper we examine the usefulness of multivariate semi-parametric GARCH models for portfolio selection under a Value-at-Risk (VaR) constraint. First, we specify and estimate several alternative multivariate GARCH models for daily returns on the S\&P 500 and Nasdaq indexes. Examining the within sample VaRs of a set of given portfolios shows that the semi-parametric model performs uniformly well, while parametric models in several cases have unacceptable failure rates. Interestingly, distributional assumptions appear to have a much larger impact on the performance of the VaR estimates than the particular parametric specification chosen for the GARCH equations. Finally, we examine the economic value of the multivariate GARCH models by determining optimal portfolios based on maximizing expected returns subject to a VaR constraint, over a period of 500 consecutive days. Again, the superiority and robustness of the semi-parametric model is confirmedmultivariate GARCH, semi-parametric estimation, Value-at-Risk, asset allocation

The Evolution of Cell Communication: The Road not Taken.

In the post-genomic era the complex problem of evolutionary biology can be tackled from the top-down, the bottom-up, or from the middle-out. Given the emergent and contingent nature of this process, we have chosen to take the latter approach, both as a mechanistic link to developmental biology and as a rational means of identifying signaling mechanisms based on their functional genomic significance. Using this approach, we have been able to configure a working model for lung evolution by reverse-engineering lung surfactant from the mammalian lung to the swim bladder of fish. Based on this archetypal cell-molecular model, we have reduced evolutionary biology to cell communication, starting with unicellular organisms communicating with the environment, followed by cell-cell communication to generate metazoa, culminating in the communication of genetic information between generations, i.e. reproduction. This model predicts the evolution of physiologic systems-including development, homeostasis, disease, regeneration/repair, and aging- as a logical consequence of biology reducing entropy. This approach provides a novel and robust way of formulating refutable, testable hypotheses to determine the ultimate origins and first principles of physiology, providing candidate genes for phenotypes hypothesized to have mediated evolutionary changes in structure and/or function. Ultimately, it will form the basis for predictive medicine and molecular bioethics, rather than merely showing associations between genes and pathology, which is an unequivocal Just So Story. In this new age of genomics, our reach must exceed our grasp

Anti de Sitter Holography via Sekiguchi Decomposition

In the present paper we start consideration of anti de Sitter holography in the general case of the (q+1)-dimensional anti de Sitter bulk with boundary q-dimensional Minkowski space-time. We present the group-theoretic foundations that are necessary in our approach. Comparing what is done for q=3 the new element in the present paper is the presentation of the bulk space as the homogeneous space G/H = SO(q,2)/SO(q,1), which homogeneous space was studied by Sekiguchi.Comment: 10 pages, to appear in the Proceedings of the XI International Workshop "Lie Theory and Its Applications in Physics", (Varna, Bulgaria, June 2015

Diastolic And Systolic Right Ventricular Dysfunction Precedes Left Ventricular Dysfunction In Patients Paced From Right Ventricular Apex

Background: Cardiac dysfunction after right ventricular (RV) apical pacing is well known but its extent, time frame of appearance and individual effect on left ventricular (LV), RV systolic and diastolic parameters has not evaluated in a systematic fashion. Methods: Patients with symptomatic bradycardia and ACC-AHA Class I indication for permanent pacemaker implantation (PPI) were implanted a single chamber (VVI) pacemaker. They were followed prospectively by echocardiographic examination which was done at baseline, 1 week, 1 month and 6 months after implantation. Parameters observed were chamber dimensions (M-line), chamber volumes, cardiac output (modified Simpson's method), systolic functions (ejection fraction, pre-ejection period, ejection time and ratio) and diastolic functions( isovolumic relaxation time & deceleration time) of left and right heart. Results: Forty eight consecutive patients (mean age 65.6±11.8 yrs, 66.7% males, mean EF 61.82±10.36%) implanted a VVI pacemaker were enrolled in this study. The first significant change to appear in cardiac function after VVI pacing was in diastolic properties of RV as shown by increase in RV isovolumic relaxation time (IVRT) from 65.89±15.93 to 76.58±17.00 ms,(p<0.001) at 1week and RV deceleration time (DT) from 133.84±38.13 to 153.09±31.41 ms, (p=0.02) at 1 month. Increase in RV internal dimension (RVID) from 1.26±0.41 to 1.44±0.44, (p<0.05) was also noticed at 1 week. The LV diastolic parameters were significantly altered after 1 month with increase in LV-IVRT from 92.36±21.47 to 117.24±27.21ms, (p<0.001) and increase in LV DT from 147.56±31.84 to 189.27±28.49ms,(p<0.01). This was followed by LV systolic abnormality which appeared at 6 months with an increase in LVPEP from 100.33±14.43 to 118.41±21.34ms, (p<0.001) and increase in LVPEP/LVET ratio from 0.34±0.46 to 0.44±0.10, (p<0.001)]. The reduction in LV EF was manifested at 6 months falling from 61.82±10.36% to52.52±12.11%, (p<0.05) without any significant change in the resting cardiac output. Conclusion: The present study shows that dysfunction of right ventricle is the first abnormality that occurs in VVI paced patients, which manifests by 1 week followed by LV dysfunction which starts appearing by 1 month and the diastolic dysfunctions precede the systolic dysfunction in both ventricles

AuCuAl shape memory alloys for use in opto-mechanical nanoactuators

University of Technology, Sydney. Faculty of Science.Shape memory alloys (SMAs) are a remarkable family of metallic materials that have the ability to return to their initial state and shape after being deformed. The key attribute that candidate alloys must possess is the existence of a reversible martensitic phase transformation. The most commonly used SMA, NiTi or ‘Nitinol’, has been proposed for a number of practical and theoretical applications [1-4], however a 100 nm lower limit has been found when producing thin films of this material for nanoscale applications. It has been shown that TiNi films thinner than this lose their shape memory effect due to oxide formation [5]. In the present work I explore whether variations of the Au₇Cu₅Al₄ SMA could be used as an alternate material for nanoscale SMA applications due to the resistance of Au₇Cu₅Al₄ to both aging [6] and oxidation [7]. A bonus is that the high Au content of this alloy may allow it to support a surface plasmon resonance in the visible part of the electromagnetic spectrum. My project involved the investigation of both bulk and thin-film samples. A range of techniques were used to examine the properties of both the bulk and thin-film alloys including SEM, TEM, EDS, SIMS, powder diffraction (X-ray and neutron), thermal analysis, electrical resistance and spectrophotometry. Various types of mathematical modelling were then used to interpret the results as well as to simulate the operation of hypothetical devices made with this alloy. Bulk AuCuAl SMAs with Al content varying along the Au 85 wt.% Au line of the AuCuAl ternary diagram were produced and their microstructures, physical properties and phase transformations studied. The extent to which the prototypical Au₇Cu₅Al₄ alloy resisted aging was investigated and the mechanisms that lead to some small changes in the transformation temperature under particular circumstances were considered. Whilst these alloys are very resistant to aging at high temperatures, aging below approximately 140°C in the austenite phase field results in a surprising and significant drop in the subsequent martensite-to-austenite transformation temperature. Nanoscale films of AuCuAl with similar compositions to those of the bulk alloys were then synthesised. The phase transformation characteristics in these samples were also determined and found to be sensitive to the Al content and deposition conditions. The sub-100 nm-thick films were produced following the same compositional trend as the bulk ternary samples, producing a sequence of α-, β- and γ-structured films as the Al content was systematically increased. It is shown that, when deposited under the right conditions and with the correct compositions, AuCuAl films could be produced with the ability to undergo a reversible austenite/martensite phase transformation. Reflection and transmission spectra of these films were measured and used to calculate their dielectric function (complex refractive index). These data were in turn used to model the localised surface plasmon resonances in hypothetical, opto-mechanical nano-actuators made from Au₇Cu₅Al₄. The calculations predict that the extinction of light of a wavelength of 740 nm could be modulated by a factor of 26 times by a suitably designed, SMA actuator. This project has paved the way for the possible future fabrication and testing of new opto-mechanical devices based on these principles

Comparing Deep Recurrent Networks Based on the MAE Random Sampling, a First Approach

Recurrent neural networks have demonstrated to be good at tackling prediction problems, however due to their high sensitivity to hyper-parameter configuration, finding an appropriate network is a tough task. Automatic hyper-parameter optimization methods have emerged to find the most suitable configuration to a given problem, but these methods are not generally adopted because of their high computational cost. Therefore, in this study we extend the MAE random sampling, a low-cost method to compare single-hidden layer architectures, to multiple-hidden-layer ones. We validate empirically our proposal and show that it is possible to predict and compare the expected performance of an hyper-parameter configuration in a low-cost way.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech. This research was partially funded by Ministerio de Economı́a, Industria y Competitividad, Gobierno de España, and European Regional Development Fund grant numbers TIN2016-81766-REDT (http://cirti.es) and TIN2017-88213-R (http://6city.lcc.uma.es)

Tuberculosis and gender: exploring the patterns in a case control study in Malawi.

BACKGROUND: In many populations there is an excess of tuberculosis in young women and older men. We explored possible explanations for these patterns, concentrating on human immunodeficiency virus (HIV) status, pregnancy, smoking, cooking smoke exposure, contact with tuberculosis cases within the household or outside, and gender differences in health service usage and diagnostic delay. DESIGN: Case control study in Karonga District, Malawi. METHODS: Cases were new tuberculosis patients with bacteriological or histological evidence of tuberculosis. Controls were selected in the community using field-based random sampling. RESULTS: The study included 598 tuberculosis cases and 992 controls, with an excess of tuberculosis in young females and older males. This was more marked in HIV-positive individuals. HIV infection was a similarly strong risk factor for tuberculosis in both men and women. Tuberculosis was associated with having a family or household contact with tuberculosis for both men and women. For women, but not men, contacts outside the close family and household were also a risk factor for tuberculosis. Tuberculosis was not associated with current or recent pregnancy, or with smoking or smoke exposure. There were no differences between men and women in health service usage or delay. CONCLUSIONS: In this population, HIV infection and contacts with known tuberculosis patients are important determinants of the gender distribution of cases

The imperial war museum’s social interpretation project

This report represents the output from research undertaken by University of Salford and MTM London as part of the joint Digital R&D Fund for Arts and Culture, operated by Nesta, Arts Council England and the AHRC. University of Salford and MTM London received funding from the programme to act as researchers on the Social Interpretation (SI) project, which was led by the Imperial War Museum (IWM) and their technical partners, The Centre for Digital Humanities, University College London, Knowledge Integration, and Gooii. The project was carried out between October 2011 and October 2012