Fat Tails Research Articles

Value at Risk with Performing Exponential Generalized Autoregressive Conditional Heteroscedasticity–Generalized Pareto Distribution

Stocks are an investment that many investors are interested in but often have a high risk. Value at Risk (VaR) is one tool that is often used in risk measurement. In general, financial data fluctuate rapidly so that the variants of the residuals are not constant or heteroscedasticity. The condition of heteroscedasticity is modeled using the ARCH/GARCH model. If there is an asymmetric effect on the data, it is modeled using an asymmetric GARCH model, namely Exponential GARCH (EGARCH). In addition to the impacts of heteroscedasticity and asymmetric events, extreme events in fat distribution tails are modeled using the Extreme Value Theory method, namely the Peaks Over Threshold method with the Generalized Pareto Distribution (GPD) approach. The data in this study is the return data of PT. Indocement Tunggal Prakarsa Tbk (INTP) for the period of March 1, 2013 - October 31, 2018. It was found that the data was heteroscedasticity, asymmetric, and there were also fat distribution tails, so it was modeled using a combination of EGARCH-GPD models. ARIMA ([2], 0, [2,13]) EGARCH (1,1) has the smallest AIC compared to other models, and then we choose it as the best model. The amount of risk with a 95% confidence level obtained with the GPD approach is 0.333% of current investment.

Ovine ELOVL5 and FASN genes polymorphisms and their correlations with sheep tail fat deposition.

Reducing tail fat deposition can increase the economic value of a carcass and improve feed efficiency. This study aimed to explore ELOVL5 and FASN polymorphisms associated with tail fat deposition and their expression levels of sheep. Association analysis showed that ELOVL5 synonymous mutation g.62534 C>T was associated with tail width, tail fat weight, and relative tail fat weight (P<0.05). FASN synonymous mutation g.12694 A>G was associated with tail length and width (P<0.05). Combined effect analyses indicated significant differences between the combined genotypes and tail fat deposition. Quantitative real-time reverse transcription PCR indicated that the ELOVL5 and FASN expression levels were significantly higher in tail fat than in other tissues (P<0.05). ELOVL5 expression levels in tail-fat tissue of big-tail sheep was significantly higher than that in small-tail sheep (P<0.01). FASN expression levels were significantly higher in tail-fat tissue of small-tail sheep than in that of big-tail sheep (P<0.05). During development, ELOVL5 tail fat expression increased significantly from 0 to 6months old (P<0.05), and FASN expression at 3months old was significantly higher than that at 0 (minimum) and 6months old (P<0.05). Therefore, ELOVL5 and FASN polymorphisms could represent new candidate molecular markers and targets to reduce tail fat deposition in sheep.

How a Company Could Benefit from the Volatility of Prices: The Shipping Industry as a Case Study

Statisticians, almost 190 years ago, established the law of the “large numbers” and the “central limit theorem”-CLT. The CLT led to “Normal Distribution”, which determines the 99.6% probability for something to happen, provided the number of repetitions → ∞. This tool, despite its formidable equation, is based on two simple parameters: the mean μ and the variance σ2. “Normality” was so strong1 that risk is defined as the deviation from μ. Surprises came mainly in 1894, 1929, 1987, and in 2008, when the deviations reached an unbelievable 22σ (Black Monday)! Research thereafter focused on cases where σ > 3, known as the “fat tails”. The fat-tailed distributions were specified by Cauchy (in 1824) and identified in financial markets by Mandelbrot B and in shipping markets by Goulielmos A. The yardstick of risk σ, replaced by α, and the shape of the distribution allowed for longer tails, etc., i.e., a departure from normality, called leptokurtosis. The shipping industry suffered, from 1741, from 22 cycles, till 2022 (May). But this was not really a surprise. The Surprise was the decreasing duration of the cycles over time, from 15 years to 8, the reduction of good times, and the increase of bad years, which emerge now more frequently! Any symmetry assumed between peaks and troughs in freight rate markets proved to be dangerous! History is useful, but it depends on the assumption that it is repeated2. Models to forecast freight rates and α in the shipping industry failed, despite the use of nonlinear models and computer software. The appearance of the “Joker” destroyed all forecasting attempts! The purpose of this work was to indicate chronologically the opportunities that have been created by volatility, for shipowners, mainly from the very volatile prices of the newly-built, but also of the second-hand ships in liquid and dry shipping sectors. As shown the 30% to 51% of the total cost is determined by these prices, and thus a competitive advantage can be sought after the ship has been built or bought. We used “suitable” diagrams of historical time series related to shipping prices and showed how a bad economic phenomenon like wild volatility could be used to achieve an excellent performance. The whole analysis is based on the principle: “how to exploit opportunities in times—which become now frequent—of wild economic variations?”

Fat Tails, Tipping Points and Asymmetric Time Horizons: Dealing With Systemic Climate-Related Uncertainty in the Prudential Regime

Fat Tails, Tipping Points and Asymmetric Time Horizons: Dealing With Systemic Climate-Related Uncertainty in the Prudential Regime

СУБДИФУЗIЙНИЙ ЧАС ПЕРШОГО ВИХОДУ НАДИСКРЕТНIЙ СIТЦI

In the work considered process of continuous-time random walk, that has fat-tailed jump waiting time, on an equispaced grid of one-dimensional domain with absorbing boundary. Deduced fractional equation w.r.t. cumulative distribution function of first passage time. Obtained asymptotic of density of this variable and shown that it has fat tail.

The concentration of power in the market for contemporary art: an empirical analysis of ArtReview\u2019s \u201cPower 100\u201d

Art experts and intermediaries play a crucial role in art markets. Artworks are goods whose quality is difficult to determine. Therefore, it seems necessary to restrict competition in the market for art experts to a certain extent, but not too much, in order to provide high-quality know-how. This paper contains an empirical analysis of the extent to which the market for art experts is concentrated. To this end, different methods for measuring the market concentration are applied, with an emphasis on the determination of the distribution function of a newly defined Power Index. The annual Power 100 ranking in the magazine ArtReview from 2002 to 2019 is used to study concentration in the art expert market. The results reveal not only several indications of a hierarchically tiered, but also highly concentrated market power in this market. First, the selection of nationalities of the so-called power members is biased, given that particularly Americans and western Europeans are overrepresented in relation to their world population shares, in contrast to underrepresented Asians, Africans, and Latin Americans. Second, although there is considerable variability in the low tiers of the ranking, the top positions in the rankings are very stable, as shown by the Power Dominance Index. Third, the main empirical result of this paper is that the Top 99 ranking positions follow an extreme value Fréchet distribution with a fat tail. This is interpreted as an indication of excessive concentration on the highest tier of art experts. Liberalizing the art expert market to a certain extent may provide more diversity and less dominance in high-end art markets.

VaR as a mitigating risk tool in the maritime sector: An empirical approach on freight rates

&lt;abstract&gt; &lt;p&gt;Shipping freight rates fluctuation is considered as one of the most important risk factors that participants face in the tanker shipping market (ship-owners, charterers, traders, hedge funds, banks and other financial institutions) in order to watch its evolution. This study examines freight rates for two of the most popular clean and dirty tanker routes; TC2 and TD3 from 22 May 2007 to 21 September 2015, using daily spot and future prices. The full data sample is divided into two sub periods, from 22 May 2007 to 13 August 2013 (in sample period) on which the model estimation section is based and from 14 August 2013 to 21 September 2015 (out of sample period) over which the Value at Risk is measured and backtesting process was performed. In all cases tested, there are observed high peaks and fat tails in all distributions. We apply a range of VaR models (parametric and non-parametric) in order to estimate the risk of the returns of TC2 route and TD3 route for spot, one month and three months future market. Backtesting tools are implemented in order to find the best fit model in terms of economic and statistical accuracy. Our empirical analysis concludes that the best fit models used for mitigating risk are simple GARCH model and non-parametric model. The above outcome seems to be valid a) for spot returns as well as for future returns and b) for short and long positions. In addition to the aforementioned conclusions, it is observed high freight rate risk at all routes. Our results are useful for risk management purposes for all the tanker shipping market participants and derivatives' counterparties.&lt;/p&gt; &lt;/abstract&gt;

Morphological Characterization of Karakul Sheep in North Part of Afghanistan

Karakul sheep are native breed in north part of Afghanistan; they have good adaptation and play the vital role at the income of country. This study was designed to characterize morphologically Karakul sheep in their home tract and production system. Data were collected from the breeding area to study lodging, all part of body measurement, handling workout and productive and reproductive proficiency of Karakul sheep. Mean flocks are 500 head, data collected randomly for phenotype characterization from 10 flocks, from every flock selected 10 ewes in different age (1 - 4 years) and one ram. Ram and ewes keeping together, before one-month season of breeding ram and ewes separating together until season of breeding, sometime lambing occurring out of season. Flock grazing around 11 hours daily, shearing is practiced two times a year, average wool production around 2 - 2.5 kg per clip. Internal parasite and two stomach (genetic disease) in lamb were the main reason for higher mortality rate, the breed is medium in size with a mean body weight of 47.6 ± 0.5 kg, average length of body 46.0 ± 0.2 cm and body height 67.0 ± 0.7 cm. Majority of animals have black and grey colour and also other colour like with, sapphire and mix can find in the flock. Sapphire have good market, it is expensive. Around all of ewes polled and some of rams are polled and some are having horn, Karakul sheep have pendulous ears and long fat tail, good store for fat, have similar function to camel’s hump.

Spatial populations with seed-bank: well-posedness, duality and equilibrium

We consider a system of interacting Fisher-Wright diffusions with seed-bank. Individuals live in colonies and are subject to resampling and migration as long as they are active. Each colony has a structured seed-bank into which individuals can retreat to become dormant, suspending their resampling and migration until they become active again. As geographic space labeling the colonies we consider a countable Abelian group G endowed with the discrete topology. The key example of interest is the Euclidean lattice G= Zd, d∈N. Our goal is to classify the long-time behaviour of the system in terms of the underlying model parameters. In particular, we want to understand in what way the seed-bank enhances genetic diversity. We introduce three models of increasing generality, namely, individuals become dormant: (1) in the seed-bank of their colony; (2) in the seed-bank of their colony while adopting a random colour that determines their wake-up time; (3) in the seed-bank of a random colony while adopting a random colour. The extension in (2) allows us to model wake-up times with fat tails while preserving the Markov property of the evolution. The extension in (3) allows us to place individuals in different colony when they become dormant. For each of the three models we show that the system of continuum stochastic differential equations, describing the population in the large-colony-size limit, has a unique strong solution. We also show that the system converges to a unique equilibrium depending on a single density parameter that is determined by the initial state, and exhibits a dichotomy of coexistence (= locally multi-type equilibrium) versus clustering (= locally mono-type equilibrium) depending on the parameters controlling the migration and the seed-bank. The seed-bank slows down the loss of genetic diversity. In model (1), the dichotomy between clustering and coexistence is determined by migration only. In particular, clustering occurs for recurrent migration and coexistence occurs for transient migration, as for the system without seed-bank. In models (2) and (3), an interesting interplay between migration and seed-bank occurs. In particular, the dichotomy is affected by the seed-bank when the wake-up time has infinite mean. For instance, for critically recurrent migration the system exhibits clustering for finite mean wake-up time and coexistence for infinite mean wake-up time. Hence, at the critical dimension for the system without seed-bank, new universality classes appear when the seed-bank is added. If the wake-up time has a sufficiently fat tail, then the seed-bank determines the dichotomy and migration has no effect at all. The presence of the seed-bank makes the proof of convergence to a unique equilibrium a conceptually delicate issue. By combining duality arguments with coupling techniques, we show that our results also hold when we replace the Fisher-Wright diffusion function by a more general diffusion function, drawn from an appropriate class.

Volatility in Solar Renewable Energy Certificates: Jumps and Fat Tails

Volatility in Solar Renewable Energy Certificates: Jumps and Fat Tails

Carcass and Meat Quality of Lambs from Thin-Tailed and Fat-Tailed Breeds at Five Different Slaughter Weights

Abstract In lamb production, deciding the optimal slaughter weight (SW) has great importance on product quality. The aim of the study was to determine the optimum SW for lambs from a thin-tailed breed (Kivircik) and a fat-tailed breed (Kangal Akkaraman) in order to get high-quality meat and carcass. Kivircik (n=60) and Kangal Akkaraman (n=59) lambs were allotted to five SW groups (20, 28, 36, 44 and 52 kg). In Kivircik lambs, backfat thickness and fatness score gradually increased in parallel with the increase in SW, while the increase in the tail fat and kidney knob and channel fat (KKCF) proportions were observed by up to 36 kg. In Kangal Akkaraman lambs, evident increases in fatness parameters, except tail fat proportion, were observed when the SW increased from 44 kg to 52 kg. Meat pH, Warner Bratzler shear force (WBSF) and cooking loss values were not influenced by SW in lambs of both breeds. As SW increased in Kivircik lambs, there was a significant decrease in meat lightness and an increase in yellowness. In Kangal Akkaraman breed, lambs slaughtered at 20 kg and 28 kg had higher L* values, and lower a* and C* values than those of other SW groups. In Kivircik lambs, the total PUFA proportion and the ΣPUFA/ ΣSFA ratio were lower in SW-44 and SW-52 groups than those of SW-20 and SW-28 groups. Decreases of these parameters were in SW-52 group in Kangal Akkaraman lambs. In meat samples of both breeds, SW-52 groups had a lower Σn-3 proportion and a higher Σn-6 / Σn-3 ratio than other SW groups. In Kivircik lambs, the panellists evaluated the meat of SW-20 and SW-28 groups as tender compared to those in SW-44 and SW-52 groups. In Kangal Akkaraman breed, flavour intensity in the meat of SW-52 lambs was higher than those of SW-20 and SW-28 groups. Results of the study indicate that slaughtering of lambs at 20 kg and 28 kg in both breeds provided better meat quality but caused lower carcass weight. Therefore, slaughtering Kivircik and Kangal Akkaraman lambs at 20 kg and 28 kg live weight might be recommended especially to farmers, who aim to obtain high-quality lamb meat. In this case, it should not be ignored that the amount of meat produced will be less. On the other hand, slaughtering lambs at about 44 kg weight could be recommended to farmers, who aimed to obtain as much quality lamb carcasses as possible without any negative influence on meat quality.

Preparation of Liquid Soap from Sheep’s Tail Fat

Preparation of Liquid Soap from Sheep’s Tail Fat

Vortex formation for a non-local interaction model with Newtonian repulsion and superlinear mobility

Abstract We consider density solutions for gradient flow equations of the form u t = ∇ · (γ(u)∇ N(u)), where N is the Newtonian repulsive potential in the whole space ℝ d with the nonlinear convex mobility γ(u) = u α , and α &gt; 1. We show that solutions corresponding to compactly supported initial data remain compactly supported for all times leading to moving free boundaries as in the linear mobility case γ(u) = u. For linear mobility it was shown that there is a special solution in the form of a disk vortex of constant intensity in space u = c 1 t −1 supported in a ball that spreads in time like c 2 t 1/d , thus showing a discontinuous leading front or shock. Our present results are in sharp contrast with the case of concave mobilities of the form γ(u) = u α , with 0 &lt; α &lt; 1 studied in [10]. There, we developed a well-posedness theory of viscosity solutions that are positive everywhere and moreover display a fat tail at infinity. Here, we also develop a well-posedness theory of viscosity solutions that in the radial case leads to a very detailed analysis allowing us to show a waiting time phenomena. This is a typical behaviour for nonlinear degenerate diffusion equations such as the porous medium equation. We will also construct explicit self-similar solutions exhibiting similar vortex-like behaviour characterizing the long time asymptotics of general radial solutions under certain assumptions. Convergent numerical schemes based on the viscosity solution theory are proposed analysing their rate of convergence. We complement our analytical results with numerical simulations illustrating the proven results and showcasing some open problems.

The meaning of structural breaks for risk management: new evidence, mechanisms, and innovative views for the post-COVID-19 era

&lt;abstract&gt; &lt;p&gt;This paper quantitatively reveals the meaning of structural breaks for risk management by analyzing US and major European banking sector stocks. Applying newly extended Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity models, we supply the following new evidence. First, we find that incorporating structural breaks is always effective in estimating banking stock volatilities. Second, we clarify that structural breaks partially explain the tail fatness of banking stock returns. Third, we find that when incorporating structural breaks, the estimated volatilities more accurately capture their downside risk, proving that structural breaks matter for risk management. Fourth, our news impact curve and model parameter analyses also uncover that when incorporating structural breaks, the asymmetry in volatility responses to return shocks is more accurately captured. This proves why the estimated volatilities by incorporating structural breaks better explain downside risk. In addition, we further reveal that the estimated volatilities obtained through incorporating structural breaks increase sharply during momentous events such as the Lehman crisis, the European debt crisis, Brexit, and the recent COVID-19 crisis. Moreover, we also clarify that the volatility spreads between models with and without structural breaks rise during the Lehman and COVID-19 crises. Finally, based on our findings, we derive many significant and beneficial interpretations, implications, and innovative views for risk management using artificial intelligence in the post-COVID-19 era.&lt;/p&gt; &lt;/abstract&gt;

Polymorphisms in the ovine GP5 gene associated with blood physiological indices

This study aimed to analyze the effects of polymorphisms in GP5 on blood physiological indices of 1065 sheep. The coefficients of variation of the red blood cell count (RBC), hemoglobin concentration (HGB), mean platelet volume (MPV), mean erythrocyte hemoglobin content (MCH), and red blood cell distribution-coefficient of variation (RDW-CV) were greater than 10%, and there was a very significant correlation between the main indices such as RBC, white blood cell, and platelet count (PLT) and most other indices (p < 0.01). qRT-PCR showed that GP5 was expressed in the heart, liver, spleen, lung, kidney, rumen, duodenum, muscle, tail fat, and lymph tissue, with significantly higher expression in the lymph. Subsequently, we detected single nucleotide polymorphisms (SNPs) in GP5 from group, which identified synonymous mutation g.657 T > C in the first exon of GP5. Association analysis showed significant correlations between the SNP and the physiological traits (p < 0.05), in which the RBC, neutrophilic granulocyte (NEUT) and RDW-CV values in sheep with the TC genotype and TT genotype were markedly lower than those in the CC genotype (p < 0.05). Thus, GP5 polymorphisms could be candidate biomarkers to screen blood physiological indices.

Pervasive cytoquakes in the actomyosin cortex across cell types and substrate stiffness.

The actomyosin cytoskeleton enables cells to resist deformation, crawl, change their shape and sense their surroundings. Despite decades of study, how its molecular constituents can assemble together to form a network with the observed mechanics of cells remains poorly understood. Recently, it has been shown that the actomyosin cortex of quiescent cells can undergo frequent, abrupt reconfigurations and displacements, called cytoquakes. Notably, such fluctuations are not predicted by current physical models of actomyosin networks, and their prevalence across cell types and mechanical environments has not previously been studied. Using micropost array detectors, we have performed high-resolution measurements of the dynamic mechanical fluctuations of cells' actomyosin cortex and stress fiber networks. This reveals cortical dynamics dominated by cytoquakes-intermittent events with a fat-tailed distribution of displacements, sometimes spanning microposts separated by 4μm, in all cell types studied. These included 3T3 fibroblasts, where cytoquakes persisted over substrate stiffnesses spanning the tissue-relevant range of 4.3kPa-17kPa, and primary neonatal rat cardiac fibroblasts and myofibroblasts, human embryonic kidney cells and human bone osteosarcoma epithelial (U2OS) cells, where cytoquakes were observed on substrates in the same stiffness range. Overall, these findings suggest that the cortex self-organizes into a marginally stable mechanical state whose physics may contribute to cell mechanical properties, active behavior and mechanosensing.

UJI PALATABILITAS FODDER JAGUNG (ZEA MAYS) HIDROPONIK PADA TERNAK DOMBA EKOR GEMUK

Fodder is animal feed that is deliberately given due to limited forage land. Hydroponic corn fodder (Zea mays) is rich in nutrients that are useful for the growth and development of ruminants. This study aims to determine the palatability test of hydroponic corn fodder (Zea mays) in fat-tailed sheep. The study was carried out in the source of fortune livestock farmer group, Klirong District, Kebumen Regency from January 1 to February 28, 2021. The research design was a completely randomized design with a unidirectional pattern, using 4 treatments which were repeated 4 times. The treatments consisted of P0 (addition of POC 0 grams/2L of water), P1 (addition of POC 30 grams/2L of water), P2 (addition of POC 60 grams/2L of water), P3 (addition of POC 90 grams/2L of water). The palatability response variables that were measured included the time of grasping (seconds), the amount of consumption (grams) and the time of consumption (minutes). The data obtained was analyzed for variance (ANOVA), if the treatment had a significant effect, the BNJ test would be continued. The effect of POC had no significant effect (p&gt;0.05) on the time of plucking, the amount of consumption and the time of feed consumption in fat-tailed sheep. The average feeding time is 0.64-16.99 seconds, the total consumption is 21.25 grams-48.75 grams, and the consumption time is 15 minutes for every 100 grams of feed given. Keywords: palatability, corn fodder, fat tail

Effect of Nutrition on the Morphometric Markers in Spayed Dogs

Abstract Obesity and overweight have been frequently observed in dogs in recent years as in humans. The compositions of fatty acids in the accumulated lipids in tissues of obese animals may have important roles in the process and mechanisms related to the onset of metabolic disorders. The purpose of this study was to evaluate the effects of a vegetarian diet, which contained a higher proportion of unsaturated fatty acids on individual morphometric parameters in spayed dogs. Seven mongrel dogs without ideal body condition scores (average: 7.42) were fed vegetarian dog kibbles and received the daily amount of energy calculated with the following formula: 130 kcal × weight (kg) 0.75. The animals were evaluated on days 0 and 60 in relation to the body measurements, such as: body weight, metabolic body weight, body fat percentage, nape, rib, tail base, chest, and abdomen, using a plicometer. Also determined were the body condition scores (scale from 1—thin to 9—obese), canine body mass index, and their waist circumference. These data were analysed by the Student’s t-test. The body measurement variation of body fat percentage, waist circumference, body condition score and thickness values of the abdomen differed significantly (P &lt; 0.01).

Transcriptome profiling of LncRNAs in sheep tail fat deposition

LncRNAs have recently received special attention due to their critical role in many important biological processes. There are few reports on its regulatory function in sheep fat deposition. In this study, two sheep populations with different tail types in Xinjiang, Bashibai sheep (fat-tailed) and the hybrid population of Bashibai sheep and wild argali (small-tailed) were selected for whole transcriptome sequencing from their tail tissues. First, 728 differentially expressed LncRNAs of tail fat between Bashibai and F2 sheep were identified by RNA-seq. Second, the tissue expression profile and relative expression difference between Bashibai and F2 sheep of 2 of 728 DE LncRNAs were analyzed by RT-PCR. LncRNA-MSTRG.24995 was highly expressed in tail fat, while lncRNA-MSTRG.36913 was highly expressed in subcutaneous fat. In addition, the expressions of LncRNA-MSTRG.24995 and LncRNA-MSTRG.36913 in tail fat of F2 sheep were significantly lower than that of Bashibai sheep, while those patterns in longissimus dorsi, quadriceps femoris and rumen were reversed. Third, the expression pattern of target genes FASN and THRSP in each tissue was similar with that of corresponding LncRNAs. The LncRNA-MSTRG.24995 directly affects tail fat deposition by FASN gene, while the LncRNA-MSTRG.36913 indirectly affects that by THRSP gene. This will help us to understand molecular mechanism of fat tail deposition from transcriptomic perspectives.

Continuous Time Random Walk with Correlated Waiting Times. The Crucial Role of Inter-Trade Times in Volatility Clustering.

In many physical, social, and economic phenomena, we observe changes in a studied quantity only in discrete, irregularly distributed points in time. The stochastic process usually applied to describe this kind of variable is the continuous-time random walk (CTRW). Despite the popularity of these types of stochastic processes and strong empirical motivation, models with a long-term memory within the sequence of time intervals between observations are rare in the physics literature. Here, we fill this gap by introducing a new family of CTRWs. The memory is introduced to the model by assuming that many consecutive time intervals can be the same. Surprisingly, in this process we can observe a slowly decaying nonlinear autocorrelation function without a fat-tailed distribution of time intervals. Our model, applied to high-frequency stock market data, can successfully describe the slope of decay of the nonlinear autocorrelation function of stock market returns. We achieve this result without imposing any dependence between consecutive price changes. This proves the crucial role of inter-event times in the volatility clustering phenomenon observed in all stock markets.