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.

Stream segregation on a single electrode as a function of pulse rate in cochlear implant listeners.

While cochlear implants (CIs) usually provide high levels of speech recognition in quiet, speech recognition in noise remains challenging. To overcome these difficulties, it is important to understand how implanted listeners separate a target signal from interferers. Stream segregation has been studied extensively in both normal and electric hearing, as a function of place of stimulation. However, the effects of pulse rate, independent of place, on the perceptual grouping of sequential sounds in electric hearing have not yet been investigated. A rhythm detection task was used to measure stream segregation. The results of this study suggest that while CI listeners can segregate streams based on differences in pulse rate alone, the amount of stream segregation observed decreases as the base pulse rate increases. Further investigation of the perceptual dimensions encoded by the pulse rate and the effect of sequential presentation of different stimulation rates on perception could be beneficial for the future development of speech processing strategies for CIs.

Comparison of pattern detection methods in microarray time series of the segmentation clock.

While genome-wide gene expression data are generated at an increasing rate, the repertoire of approaches for pattern discovery in these data is still limited. Identifying subtle patterns of interest in large amounts of data (tens of thousands of profiles) associated with a certain level of noise remains a challenge. A microarray time series was recently generated to study the transcriptional program of the mouse segmentation clock, a biological oscillator associated with the periodic formation of the segments of the body axis. A method related to Fourier analysis, the Lomb-Scargle periodogram, was used to detect periodic profiles in the dataset, leading to the identification of a novel set of cyclic genes associated with the segmentation clock. Here, we applied to the same microarray time series dataset four distinct mathematical methods to identify significant patterns in gene expression profiles. These methods are called: Phase consistency, Address reduction, Cyclohedron test and Stable persistence, and are based on different conceptual frameworks that are either hypothesis- or data-driven. Some of the methods, unlike Fourier transforms, are not dependent on the assumption of periodicity of the pattern of interest. Remarkably, these methods identified blindly the expression profiles of known cyclic genes as the most significant patterns in the dataset. Many candidate genes predicted by more than one approach appeared to be true positive cyclic genes and will be of particular interest for future research. In addition, these methods predicted novel candidate cyclic genes that were consistent with previous biological knowledge and experimental validation in mouse embryos. Our results demonstrate the utility of these novel pattern detection strategies, notably for detection of periodic profiles, and suggest that combining several distinct mathematical approaches to analyze microarray datasets is a valuable strategy for identifying genes that exhibit novel, interesting transcriptional patterns.

Oscillations by minimal bacterial suicide circuits reveal hidden facets of host-circuit physiology.

Synthetic biology seeks to enable programmed control of cellular behavior though engineered biological systems. These systems typically consist of synthetic circuits that function inside, and interact with, complex host cells possessing pre-existing metabolic and regulatory networks. Nevertheless, while designing systems, a simple well-defined interface between the synthetic gene circuit and the host is frequently assumed. We describe the generation of robust but unexpected oscillations in the densities of bacterium Escherichia coli populations by simple synthetic suicide circuits containing quorum components and a lysis gene. Contrary to design expectations, oscillations required neither the quorum sensing genes (luxR and luxI) nor known regulatory elements in the P(luxI) promoter. Instead, oscillations were likely due to density-dependent plasmid amplification that established a population-level negative feedback. A mathematical model based on this mechanism captures the key characteristics of oscillations, and model predictions regarding perturbations to plasmid amplification were experimentally validated. Our results underscore the importance of plasmid copy number and potential impact of "hidden interactions" on the behavior of engineered gene circuits - a major challenge for standardizing biological parts. As synthetic biology grows as a discipline, increasing value may be derived from tools that enable the assessment of parts in their final context.

Math 412 - Topology with Applications

Highlights of Data Expedition: • Students explored daily observations of local climate data spanning the past 35 years. • Topological Data Analysis, or TDA for short, provides cutting-edge tools for studying the geometry of data in arbitrarily high dimensions. • Using TDA tools, students discovered intrinsic dynamical features of the data and learned how to quantify periodic phenomenon in a time-series. • Since nature invariably produces noisy data which rarely has exact periodicity, students also considered the theoretical basis of almost-periodicity and even invented and tested new mathematical definitions of almost-periodic functions. Summary The dataset we used for this data expedition comes from the Global Historical Climatology Network. “GHCN (Global Historical Climatology Network)-Daily is an integrated database of daily climate summaries from land surface stations across the globe.” Source: https://www.ncdc.noaa.gov/oa/climate/ghcn-daily/ We focused on the daily maximum and minimum temperatures from January 1, 1980 to April 1, 2015 collected from RDU International Airport. Through a guided series of exercises designed to be performed in Matlab, students explore these time-series, initially by direct visualization and basic statistical techniques. Then students are guided through a special sliding-window construction which transforms a time-series into a high-dimensional geometric curve. These high-dimensional curves can be visualized by projecting down to lower dimensions as in the figure below (Figure 1), however, our focus here was to use persistent homology to directly study the high-dimensional embedding. The shape of these curves has meaningful information but how one describes the “shape” of data depends on which scale the data is being considered. However, choosing the appropriate scale is rarely an obvious choice. Persistent homology overcomes this obstacle by allowing us to quantitatively study geometric features of the data across multiple-scales. Through this data expedition, students are introduced to numerically computing persistent homology using the rips collapse algorithm and interpreting the results. In the specific context of sliding-window constructions, 1-dimensional persistent homology can reveal the nature of periodic structure in the original data. I created a special technique to study how these high-dimensional sliding-window curves form loops in order to quantify the periodicity. Students are guided through this construction and learn how to visualize and interpret this information. Climate data is extremely complex (as anyone who has suffered from a bad weather prediction can attest) and numerous variables play a role in determining our daily weather and temperatures. This complexity coupled with imperfections of measuring devices results in very noisy data. This causes the annual seasonal periodicity to be far from exact. To this end, I have students explore existing theoretical notions of almost-periodicity and test it on the data. They find that some existing definitions are also inadequate in this context. Hence I challenged them to invent new mathematics by proposing and testing their own definition. These students rose to the challenge and suggested a number of creative definitions. While autocorrelation and spectral methods based on Fourier analysis are often used to explore periodicity, the construction here provides an alternative paradigm to quantify periodic structure in almost-periodic signals using tools from topological data analysis.