Estimating stochastic volatility diffusion using conditional moments of integrated volatility

We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated by the sum of the squared high-frequency increments of the process. Our simulation evidence indicates that the resulting GMM estimator is highly reliable and accurate. Our empirical implementation based on high-frequency five-minute foreign exchange returns suggests the presence of multiple latent stochastic volatility factors and possible jumps. © 2002 Elsevier Science B.V. All rights reserved.

Bound on quantum computation time: Quantum error correction in a critical environment

We obtain an upper bound on the time available for quantum computation for a given quantum computer and decohering environment with quantum error correction implemented. First, we derive an explicit quantum evolution operator for the logical qubits and show that it has the same form as that for the physical qubits but with a reduced coupling strength to the environment. Using this evolution operator, we find the trace distance between the real and ideal states of the logical qubits in two cases. For a super-Ohmic bath, the trace distance saturates, while for Ohmic or sub-Ohmic baths, there is a finite time before the trace distance exceeds a value set by the user. © 2010 The American Physical Society.

The effect of hydrogen bonding on the diffusion of water in n-alkanes and n-alcohols measured with a novel single microdroplet method.

While the Stokes-Einstein (SE) equation predicts that the diffusion coefficient of a solute will be inversely proportional to the viscosity of the solvent, this relation is commonly known to fail for solutes, which are the same size or smaller than the solvent. Multiple researchers have reported that for small solutes, the diffusion coefficient is inversely proportional to the viscosity to a fractional power, and that solutes actually diffuse faster than SE predicts. For other solvent systems, attractive solute-solvent interactions, such as hydrogen bonding, are known to retard the diffusion of a solute. Some researchers have interpreted the slower diffusion due to hydrogen bonding as resulting from the effective diffusion of a larger complex of a solute and solvent molecules. We have developed and used a novel micropipette technique, which can form and hold a single microdroplet of water while it dissolves in a diffusion controlled environment into the solvent. This method has been used to examine the diffusion of water in both n-alkanes and n-alcohols. It was found that the polar solute water, diffusing in a solvent with which it cannot hydrogen bond, closely resembles small nonpolar solutes such as xenon and krypton diffusing in n-alkanes, with diffusion coefficients ranging from 12.5x10(-5) cm(2)/s for water in n-pentane to 1.15x10(-5) cm(2)/s for water in hexadecane. Diffusion coefficients were found to be inversely proportional to viscosity to a fractional power, and diffusion coefficients were faster than SE predicts. For water diffusing in a solvent (n-alcohols) with which it can hydrogen bond, diffusion coefficient values ranged from 1.75x10(-5) cm(2)/s in n-methanol to 0.364x10(-5) cm(2)/s in n-octanol, and diffusion was slower than an alkane of corresponding viscosity. We find no evidence for solute-solvent complex diffusion. Rather, it is possible that the small solute water may be retarded by relatively longer residence times (compared to non-H-bonding solvents) as it moves through the liquid.

Structural manifestation of the delocalization error of density functional approximations: C(4N+2) rings and C(20) bowl, cage, and ring isomers.

The ground state structure of C(4N+2) rings is believed to exhibit a geometric transition from angle alternation (N < or = 2) to bond alternation (N > 2). All previous density functional theory (DFT) studies on these molecules have failed to reproduce this behavior by predicting either that the transition occurs at too large a ring size, or that the transition leads to a higher symmetry cumulene. Employing the recently proposed perspective of delocalization error within DFT we rationalize this failure of common density functional approximations (DFAs) and present calculations with the rCAM-B3LYP exchange-correlation functional that show an angle-to-bond-alternation transition between C(10) and C(14). The behavior exemplified here manifests itself more generally as the well known tendency of DFAs to bias toward delocalized electron distributions as favored by Huckel aromaticity, of which the C(4N+2) rings provide a quintessential example. Additional examples are the relative energies of the C(20) bowl, cage, and ring isomers; we show that the results from functionals with minimal delocalization error are in good agreement with CCSD(T) results, in contrast to other commonly used DFAs. An unbiased DFT treatment of electron delocalization is a key for reliable prediction of relative stability and hence the structures of complex molecules where many structure stabilization mechanisms exist.

Analysis of an asymptotic preserving scheme for linear kinetic equations in the diffusion limit

We present a mathematical analysis of the asymptotic preserving scheme proposed in [M. Lemou and L. Mieussens, SIAM J. Sci. Comput., 31 (2008), pp. 334-368] for linear transport equations in kinetic and diffusive regimes. We prove that the scheme is uniformly stable and accurate with respect to the mean free path of the particles. This property is satisfied under an explicitly given CFL condition. This condition tends to a parabolic CFL condition for small mean free paths and is close to a convection CFL condition for large mean free paths. Our analysis is based on very simple energy estimates. © 2010 Society for Industrial and Applied Mathematics.

Error recovery in cyberphysical digital microfluidic biochips

Droplet-based digital microfluidics technology has now come of age, and software-controlled biochips for healthcare applications are starting to emerge. However, today's digital microfluidic biochips suffer from the drawback that there is no feedback to the control software from the underlying hardware platform. Due to the lack of precision inherent in biochemical experiments, errors are likely during droplet manipulation; error recovery based on the repetition of experiments leads to wastage of expensive reagents and hard-to-prepare samples. By exploiting recent advances in the integration of optical detectors (sensors) into a digital microfluidics biochip, we present a physical-aware system reconfiguration technique that uses sensor data at intermediate checkpoints to dynamically reconfigure the biochip. A cyberphysical resynthesis technique is used to recompute electrode-actuation sequences, thereby deriving new schedules, module placement, and droplet routing pathways, with minimum impact on the time-to-response. © 2012 IEEE.

BOLD signal compartmentalization based on the apparent diffusion coefficient.

Functional MRI (fMRI) can detect blood oxygenation level dependent (BOLD) hemodynamic responses secondary to neuronal activity. The most commonly used method for detecting fMRI signals is the gradient-echo echo-planar imaging (EPI) technique because of its sensitivity and speed. However, it is generally believed that a significant portion of these signals arises from large veins, with additional contribution from the capillaries and parenchyma. Early experiments using diffusion-weighted gradient-echo EPI have suggested that intra-voxel incoherent motion (IVIM) weighting inherent in the sequence can selectively attenuate contributions from different vessels based on the differences in the mobility of the blood within them. In the present study, we used similar approach to characterize the apparent diffusion coefficient (ADC) distribution within the activated areas of BOLD contrast. It is shown that the voxel values of the ADCs obtained from this technique can infer various vascular contributions to the BOLD signal.

Hybrid error correction and de novo assembly of single-molecule sequencing reads.

Single-molecule sequencing instruments can generate multikilobase sequences with the potential to greatly improve genome and transcriptome assembly. However, the error rates of single-molecule reads are high, which has limited their use thus far to resequencing bacteria. To address this limitation, we introduce a correction algorithm and assembly strategy that uses short, high-fidelity sequences to correct the error in single-molecule sequences. We demonstrate the utility of this approach on reads generated by a PacBio RS instrument from phage, prokaryotic and eukaryotic whole genomes, including the previously unsequenced genome of the parrot Melopsittacus undulatus, as well as for RNA-Seq reads of the corn (Zea mays) transcriptome. Our long-read correction achieves >99.9% base-call accuracy, leading to substantially better assemblies than current sequencing strategies: in the best example, the median contig size was quintupled relative to high-coverage, second-generation assemblies. Greater gains are predicted if read lengths continue to increase, including the prospect of single-contig bacterial chromosome assembly.

Improved delineation of short cortical association fibers and gray/white matter boundary using whole-brain three-dimensional diffusion tensor imaging at submillimeter spatial resolution.

Recent emergence of human connectome imaging has led to a high demand on angular and spatial resolutions for diffusion magnetic resonance imaging (MRI). While there have been significant growths in high angular resolution diffusion imaging, the improvement in spatial resolution is still limited due to a number of technical challenges, such as the low signal-to-noise ratio and high motion artifacts. As a result, the benefit of a high spatial resolution in the whole-brain connectome imaging has not been fully evaluated in vivo. In this brief report, the impact of spatial resolution was assessed in a newly acquired whole-brain three-dimensional diffusion tensor imaging data set with an isotropic spatial resolution of 0.85 mm. It was found that the delineation of short cortical association fibers is drastically improved as well as the definition of fiber pathway endings into the gray/white matter boundary-both of which will help construct a more accurate structural map of the human brain connectome.

Local kinetic interpretation of entropy production through reversed diffusion.

The time reversal of stochastic diffusion processes is revisited with emphasis on the physical meaning of the time-reversed drift and the noise prescription in the case of multiplicative noise. The local kinematics and mechanics of free diffusion are linked to the hydrodynamic description. These properties also provide an interpretation of the Pope-Ching formula for the steady-state probability density function along with a geometric interpretation of the fluctuation-dissipation relation. Finally, the statistics of the local entropy production rate of diffusion are discussed in the light of local diffusion properties, and a stochastic differential equation for entropy production is obtained using the Girsanov theorem for reversed diffusion. The results are illustrated for the Ornstein-Uhlenbeck process.

A Diffusion MRI Tractography Connectome of the Mouse Brain and Comparison with Neuronal Tracer Data.

Interest in structural brain connectivity has grown with the understanding that abnormal neural connections may play a role in neurologic and psychiatric diseases. Small animal connectivity mapping techniques are particularly important for identifying aberrant connectivity in disease models. Diffusion magnetic resonance imaging tractography can provide nondestructive, 3D, brain-wide connectivity maps, but has historically been limited by low spatial resolution, low signal-to-noise ratio, and the difficulty in estimating multiple fiber orientations within a single image voxel. Small animal diffusion tractography can be substantially improved through the combination of ex vivo MRI with exogenous contrast agents, advanced diffusion acquisition and reconstruction techniques, and probabilistic fiber tracking. Here, we present a comprehensive, probabilistic tractography connectome of the mouse brain at microscopic resolution, and a comparison of these data with a neuronal tracer-based connectivity data from the Allen Brain Atlas. This work serves as a reference database for future tractography studies in the mouse brain, and demonstrates the fundamental differences between tractography and neuronal tracer data.

Correction for Eddy Current-Induced Echo-Shifting Effect in Partial-Fourier Diffusion Tensor Imaging.

In most diffusion tensor imaging (DTI) studies, images are acquired with either a partial-Fourier or a parallel partial-Fourier echo-planar imaging (EPI) sequence, in order to shorten the echo time and increase the signal-to-noise ratio (SNR). However, eddy currents induced by the diffusion-sensitizing gradients can often lead to a shift of the echo in k-space, resulting in three distinct types of artifacts in partial-Fourier DTI. Here, we present an improved DTI acquisition and reconstruction scheme, capable of generating high-quality and high-SNR DTI data without eddy current-induced artifacts. This new scheme consists of three components, respectively, addressing the three distinct types of artifacts. First, a k-space energy-anchored DTI sequence is designed to recover eddy current-induced signal loss (i.e., Type 1 artifact). Second, a multischeme partial-Fourier reconstruction is used to eliminate artificial signal elevation (i.e., Type 2 artifact) associated with the conventional partial-Fourier reconstruction. Third, a signal intensity correction is applied to remove artificial signal modulations due to eddy current-induced erroneous T2(∗) -weighting (i.e., Type 3 artifact). These systematic improvements will greatly increase the consistency and accuracy of DTI measurements, expanding the utility of DTI in translational applications where quantitative robustness is much needed.