Long memory in return structures from developed markets

[En]The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When return series exhibit long memory, the series realizations are not independent over time and past returns can help predict future returns, thus violating the market efficiency hypothesis. It poses a serious challenge to the supporters of random walk behavior of the stock returns indicating a potentially predictable component in the series dynamics. We computed Hurst-Mandelbrot’s Classical R/S statistic, Lo’s statistic and semi parametric GPH statistic using spectral regression. The findings suggest existence of long memory in volatility and random walk for logarithmic return series in general for all the selected stock market indices. Findings are in line with the stylized facts of financial time series.

Switching Regimes in the Term Structure of Interest Rates During U.S. Post-War: A case for the Lucas proof equilibrium?

Published as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 1, pages 5.

Desarrollo de un modelo de calibración de pérdidas por riesgos inherentes a una Hipoteca Inversa. Métrica del riesgo de supervivencia.

391 p.

Can environmental constraints determine random patterns of plant species co-occurrence?

Plant community ecologists use the null model approach to infer assembly processes from observed patterns of species co-occurrence. In about a third of published studies, the null hypothesis of random assembly cannot be rejected. When this occurs, plant ecologists interpret that the observed random pattern is not environmentally constrained - but probably generated by stochastic processes. The null model approach (using the C-score and the discrepancy index) was used to test for random assembly under two simulation algorithms. Logistic regression, distance-based redundancy analysis, and constrained ordination were used to test for environmental determinism (species segregation along environmental gradients or turnover and species aggregation). This article introduces an environmentally determined community of alpine hydrophytes that presents itself as randomly assembled. The pathway through which the random pattern arises in this community is suggested to be as follows: Two simultaneous environmental processes, one leading to species aggregation and the other leading to species segregation, concurrently generate the observed pattern, which results to be neither aggregated nor segregated - but random. A simulation study supports this suggestion. Although apparently simple, the null model approach seems to assume that a single ecological factor prevails or that if several factors decisively influence the community, then they all exert their influence in the same direction, generating either aggregation or segregation. As these assumptions are unlikely to hold in most cases and assembly processes cannot be inferred from random patterns, we would like to propose plant ecologists to investigate specifically the ecological processes responsible for observed random patterns, instead of trying to infer processes from patterns

Ancient DNA from Hunter-Gatherer and Farmer Groups from Northern Spain Supports a Random Dispersion Model for the Neolithic Expansion into Europe

10 p.

Preprocess and data analysis techniques for affymetrix DNA microarrays using bioconductor: a case study in Alzheimer disease

DNA microarray, or DNA chip, is a technology that allows us to obtain the expression level of many genes in a single experiment. The fact that numerical expression values can be easily obtained gives us the possibility to use multiple statistical techniques of data analysis. In this project microarray data is obtained from Gene Expression Omnibus, the repository of National Center for Biotechnology Information (NCBI). Then, the noise is removed and data is normalized, also we use hypothesis tests to find the most relevant genes that may be involved in a disease and use machine learning methods like KNN, Random Forest or Kmeans. For performing the analysis we use Bioconductor, packages in R for the analysis of biological data, and we conduct a case study in Alzheimer disease. The complete code can be found in https://github.com/alberto-poncelas/ bioc-alzheimer

The interactive brain hypothesis

Enactive approaches foreground the role of interpersonal interaction in explanations of social understanding. This motivates, in combination with a recent interest in neuroscientific studies involving actual interactions, the question of how interactive processes relate to neural mechanisms involved in social understanding. We introduce the Interactive Brain Hypothesis (IBH) in order to help map the spectrum of possible relations between social interaction and neural processes. The hypothesis states that interactive experience and skills play enabling roles in both the development and current function of social brain mechanisms, even in cases where social understanding happens in the absence of immediate interaction. We examine the plausibility of this hypothesis against developmental and neurobiological evidence and contrast it with the widespread assumption that mindreading is crucial to all social cognition. We describe the elements of social interaction that bear most directly on this hypothesis and discuss the empirical possibilities open to social neuroscience. We propose that the link between coordination dynamics and social understanding can be best grasped by studying transitions between states of coordination. These transitions form part of the self-organization of interaction processes that characterize the dynamics of social engagement. The patterns and synergies of this self-organization help explain how individuals understand each other. Various possibilities for role-taking emerge during interaction, determining a spectrum of participation. This view contrasts sharply with the observational stance that has guided research in social neuroscience until recently. We also introduce the concept of readiness to interact to describe the practices and dispositions that are summoned in situations of social significance (even if not interactive). This latter idea links interactive factors to more classical observational scenarios.

Downscaling of surface moisture flux and precipitation in the Ebro Valley (Spain) using analogues and analogues followed by random forests and multiple linear regression

In this paper, reanalysis fields from the ECMWF have been statistically downscaled to predict from large-scale atmospheric fields, surface moisture flux and daily precipitation at two observatories (Zaragoza and Tortosa, Ebro Valley, Spain) during the 1961-2001 period. Three types of downscaling models have been built: (i) analogues, (ii) analogues followed by random forests and (iii) analogues followed by multiple linear regression. The inputs consist of data (predictor fields) taken from the ERA-40 reanalysis. The predicted fields are precipitation and surface moisture flux as measured at the two observatories. With the aim to reduce the dimensionality of the problem, the ERA-40 fields have been decomposed using empirical orthogonal functions. Available daily data has been divided into two parts: a training period used to find a group of about 300 analogues to build the downscaling model (1961-1996) and a test period (19972001), where models' performance has been assessed using independent data. In the case of surface moisture flux, the models based on analogues followed by random forests do not clearly outperform those built on analogues plus multiple linear regression, while simple averages calculated from the nearest analogues found in the training period, yielded only slightly worse results. In the case of precipitation, the three types of model performed equally. These results suggest that most of the models' downscaling capabilities can be attributed to the analogues-calculation stage.

Criterio para análisis de fatiga con tensiones aleatorias

[ES]El trabajo que aquí se presenta tiene como principal objetivo comprobar la validez del método de Osgood, que es una particularización del método de Palmgren-Miner, que se emplea cuando un punto de una pieza está sometido a tensiones aleatorias. Se quiere comprobar su validez en situaciones reales en las que no se cumplen algunas de sus hipótesis de partida. En concreto en este trabajo se va a analizar la validez del método en dos casos: cuando el registro de tensiones aplicado sobre la pieza es alterno pero no sigue una distribución Gaussiana y cuando ni es Gaussiano ni alterno. Los resultados obtenidos empleando el método de Osgood en ambos casos se compararán con el daño obtenido para el mismo registro de tensiones empleando un método de daño lineal como es el método de Palmgren-Miner. Para llevar a cabo esta comprobación se va a hacer uso del programa Excel, mediante el cual se generarán los registros de tensiones aleatorias con los que se va a trabajar.

Nonperturbative dynamical decoupling with random control

Parametric fluctuations or stochastic signals are introduced into the rectangular pulse sequence to investigate the feasibility of random dynamical decoupling. In a large parameter region, we find that the out-of-order control pulses work as well as the regular pulses for dynamical decoupling and dissipation suppression. Calculations and analysis are enabled by and based on a nonperturbative dynamical decoupling approach allowed by an exact quantum-state-diffusion equation. When the average frequency and duration of the pulse sequence take proper values, the random control sequence is robust, fault-tolerant, and insensitive to pulse strength deviations and interpulse temporal separation in the quasi-periodic sequence. This relaxes the operational requirements placed on quantum control devices to a great deal.

Novel Evidence hat Attributing Affectively Salient Signal to Random Noise Is Associated with Psychosis

We wished to replicate evidence that an experimental paradigm of speech illusions is associated with psychotic experiences. Fifty-four patients with a first episode of psychosis (FEP) and 150 healthy subjects were examined in an experimental paradigm assessing the presence of speech illusion in neutral white noise. Socio-demographic, cognitive function and family history data were collected. The Positive and Negative Syndrome Scale (PANSS) was administered in the patient group and the Structured Interview for Schizotypy-Revised (SIS-R), and the Community Assessment of Psychic Experiences (CAPE) in the control group. Patients had a much higher rate of speech illusions (33.3% versus 8.7%, ORadjusted: 5.1, 95% CI: 2.3-11.5), which was only partly explained by differences in IQ (ORadjusted: 3.4, 95% CI: 1.4-8.3). Differences were particularly marked for signals in random noise that were perceived as affectively salient (ORadjusted: 9.7, 95% CI: 1.8-53.9). Speech illusion tended to be associated with positive symptoms in patients (ORadjusted: 3.3, 95% CI: 0.9-11.6), particularly affectively salient illusions (ORadjusted: 8.3, 95% CI: 0.7-100.3). In controls, speech illusions were not associated with positive schizotypy (ORadjusted: 1.1, 95% CI: 0.3-3.4) or self-reported psychotic experiences (ORadjusted: 1.4, 95% CI: 0.4-4.6). Experimental paradigms indexing the tendency to detect affectively salient signals in noise may be used to identify liability to psychosis.

Environmental taxes and the Double dividend hypothesis

In this End of Degree Dissertation I built a basic economic model, where two perfectly competitive markets interact, as a tool to understand, illustrate and evaluate environmentalfiscal reforms that have already been implemented or have been announced in many developed countries. Thus, in this dissertation I try to explain as simply as possible the theorical aspects of the “double dividend” hyphotesis and provide a numerical example with illustrative purpose.

Crank-Nicholson method for rate equations in powder random lasers

3rd International Conference on Mathematical Modeling in Physical Sciences (IC-MSQUARE 2014)