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.

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.

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

391 p.

Education and the dynamics of family decisions

This paper investigates the extent to which a biased transmission of educational endowments affects fertility. To this end, we devise a version of Becker’s family decision model that takes preference change into account. Specifically, we model education as an instrument that increases the autonomy (to prefer), and autonomy as an instrument of preference-change for household-structures. The empirical validity of the proposed model is examined for the European setting using the European Community Household Panel. In the context of the model, empirical findings imply the following. On the one hand, both preference for quantity and preference for bequest for each offspring (quality) increases with education, while preference for current consumption decreases. On the other hand, education is found to be negatively correlated with fertility, at a decreasing rate. Therefore, the paper provides a useful additional toolkit for public policy evaluation. It explains how public policies oriented toward the guarantee of personal freedoms, such as the expansion of education and autonomy, are likely to guarantee the same freedoms for subsequent generations.

Approximate knowledge of rationality and correlated equilibria

We extend Aumann's [3] theorem deriving correlated equilibria as a consequence of common priors and common knowledge of rationality by explicitly allowing for non-rational behavior. We replace the assumption of common knowledge of rationality with a substantially weaker notion, joint p-belief of rationality, where agents believe the other agents are rational with probabilities p = (pi)i2I or more. We show that behavior in this case constitutes a constrained correlated equilibrium of a doubled game satisfying certain p-belief constraints and characterize the topological structure of the resulting set of p-rational outcomes. We establish continuity in the parameters p and show that, for p su ciently close to one, the p-rational outcomes are close to the correlated equilibria and, with high probability, supported on strategies that survive the iterated elimination of strictly dominated strategies. Finally, we extend Aumann and Dreze's [4] theorem on rational expectations of interim types to the broader p-rational belief systems, and also discuss the case of non-common priors.

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

10 p.

Exchange biased FeNi/FeMn bilayers with coercivity and switching field enhanced by FeMn surface oxidation

FeNi/FeMn bilayers were grown in a magnetic field and subjected to heat treatments at temperatures of 50 to 350 degrees C in vacuum or in a gas mixture containing oxygen. In the as-deposited state, the hysteresis loop of 30 nm FeNi layer was shifted. Low temperature annealing leads to a decrease of the exchange bias field. Heat treatments at higher temperatures in gas mixture result in partial oxidation of 20 nm thick FeMn layer leading to a nonlinear dependence of coercivity and a switching field of FeNi layer on annealing temperature. The maximum of coercivity and switching field were observed after annealing at 300 degrees C.

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.

The effects of disorder in dimerized quantum magnets in mean field approximations

15 p.

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.

Dipeptidyl-Peptidase IV Activity Is Correlated with Colorectal Cancer Prognosis

Background Dipeptidyl-peptidase IV (EC 3.4.14.5) (DPPIV) is a serine peptidase involved in cell differentiation, adhesion, immune modulation and apoptosis, functions that control neoplastic transformation. Previous studies have demonstrated altered expression and activity of tissue and circulating DPPIV in several cancers and proposed its potential usefulness for early diagnosis in colorectal cancer (CRC). Methods and principal findings The activity and mRNA and protein expression of DPPIV was prospectively analyzed in adenocarcinomas, adenomas, uninvolved colorectal mucosa and plasma from 116 CRC patients by fluorimetric, quantitative RT-PCR and immunohistochemical methods. Results were correlated with the most important classic pathological data related to aggressiveness and with 5-year survival rates. Results showed that: 1) mRNA levels and activity of DPPIV increased in colorectal neoplasms (Kruskal-Wallis test, p<0.01); 2) Both adenomas and CRCs displayed positive cytoplasmic immunostaining with luminal membrane reinforcement; 3) Plasmatic DPPIV activity was lower in CRC patients than in healthy subjects (Mann-U test, p<0.01); 4) Plasmatic DPPIV activity was associated with worse overall and disease-free survivals (log-rank p<0.01, Cox analysis p<0.01). Conclusion/significance 1) Up-regulation of DPPIV in colorectal tumors suggests a role for this enzyme in the neoplastic transformation of colorectal tissues. This finding opens the possibility for new therapeutic targets in these patients. 2) Plasmatic DPPIV is an independent prognostic factor in survival of CRC patients. The determination of DPPIV activity levels in the plasma may be a safe, minimally invasive and inexpensive way to define the aggressiveness of CRC in daily practice.

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

Crank-Nicholson method for rate equations in powder random lasers

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