Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations

We propose a new approach for modeling nonlinear multivariate interest rate processes based on time-varying copulas and reducible stochastic differential equations (SDEs). In the modeling of the marginal processes, we consider a class of nonlinear SDEs that are reducible to Ornstein--Uhlenbeck (OU) process or Cox, Ingersoll, and Ross (1985) (CIR) process. The reducibility is achieved via a nonlinear transformation function. The main advantage of this approach is that these SDEs can account for nonlinear features, observed in short-term interest rate series, while at the same time leading to exact discretization and closed-form likelihood functions. Although a rich set of specifications may be entertained, our exposition focuses on a couple of nonlinear constant elasticity volatility (CEV) processes, denoted as OU-CEV and CIR-CEV, respectively. These two processes encompass a number of existing models that have closed-form likelihood functions. The transition density, the conditional distribution function, and the steady-state density function are derived in closed form as well as the conditional and unconditional moments for both processes. In order to obtain a more flexible functional form over time, we allow the transformation function to be time varying. Results from our study of U.S. and UK short-term interest rates suggest that the new models outperform existing parametric models with closed-form likelihood functions. We also find the time-varying effects in the transformation functions statistically significant. To examine the joint behavior of interest rate series, we propose flexible nonlinear multivariate models by joining univariate nonlinear processes via appropriate copulas. We study the conditional dependence structure of the two rates using Patton (2006a) time-varying symmetrized Joe--Clayton copula. We find evidence of asymmetric dependence between the two rates, and that the level of dependence is positively related to the level of the two rates. (JEL: C13, C32, G12) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

Trusting Groups in Coalition Formation using Social Distance

In environments where distributed team formation is key, and defections are possible, the use of trust as social capital allows social norms to be defied and compared. An agent can use this information, when invited to join a group or collation, to decide whether or not its utility will be increased by joining. In this work a social network approach is used to define and reason about the relationships contained in the agent community. Previous baseline work is extended with two decision making mechanisms. These are compared by simulating an abstract grid-like environment, and preliminary results are reported.

THE GULL-TAPEWORM, DIPHYLLOBOTHRIUM-DENDRITICUM AND NEUROPEPTIDE-F - AN IMMUNOCYTOCHEMICAL STUDY

Neuropeptide F (Moniezia expansa) immunoreactivity (NPF-IR) has been detected in the nervous system of plerocercoid and adult stages of the gull-tapeworm Diphyllobothrium dendriticum, using immunocytochemical methodology. The application of the antiserum for this authentic flatworm neuropeptide to whole-mounts and frozen sections of the worm has resulted in new information about its neuroanatomy. Thus, at regular intervals, transverse nerves extend from the main nerve cords laterally, joining the longitudinal lateral minor cords in the cortical parenchyma. In the adult worm, the transverse nerves are located at the posterior border of each proglottis. The medullary parenchyma lacks NPF-IR. The NPF-immunoreactive cell bodies are bi- to multipolar and preferentially located in the peripheral nervous system, in close association with the holdfast musculature of the scolex and the extensive body musculature. NPF-IR was observed in the innervation to the muscular ducts of the reproductive system. The pattern of NPF-IR was compared with that recorded for RFamide- and 5-HT-IR and double-immunostaining has revealed separate populations of serotoninergic and peptidergic neurones.

Functional characterization of UDP-glucose:undecaprenyl-phosphate glucose-1-phosphate transferases of Escherichia coli and Caulobacter crescentus

Escherichia coli K-12 WcaJ and the Caulobacter crescentus HfsE, PssY, and PssZ enzymes are predicted to initiate the synthesis of colanic acid (CA) capsule and holdfast polysaccharide, respectively. These proteins belong to a prokaryotic family of membrane enzymes that catalyze the formation of a phosphoanhydride bond joining a hexose-1-phosphate with undecaprenyl phosphate (Und-P). In this study, in vivo complementation assays of an E. coli K-12 wcaJ mutant demonstrated that WcaJ and PssY can complement CA synthesis. Furthermore, WcaJ can restore holdfast production in C. crescentus. In vitro transferase assays demonstrated that both WcaJ and PssY utilize UDP-glucose but not UDP-galactose. However, in a strain of Salmonella enterica serovar Typhimurium deficient in the WbaP O antigen initiating galactosyltransferase, complementation with WcaJ or PssY resulted in O-antigen production. Gas chromatography-mass spectrometry (GC-MS) analysis of the lipopolysaccharide (LPS) revealed the attachment of both CA and O-antigen molecules to lipid A-core oligosaccharide (OS). Therefore, while UDP-glucose is the preferred substrate of WcaJ and PssY, these enzymes can also utilize UDP-galactose. This unexpected feature of WcaJ and PssY may help to map specific residues responsible for the nucleotide diphosphate specificity of these or similar enzymes. Also, the reconstitution of O-antigen synthesis in Salmonella, CA capsule synthesis in E. coli, and holdfast synthesis provide biological assays of high sensitivity to examine the sugar-1-phosphate transferase specificity of heterologous proteins.

Joined-up government in Ireland:From un-strategic choices to patriotic imperatives

Over the last decade, joined-up government has assumed a prominent place in the study and practice of public management. In this article, drawing on the Irish case we adopt an institutionalist approach to the issue of joining-up government and bureaucratic reform. We explore how the period of sustained and rapid economic growth in Ireland during the 1990s was also characterised by a fragmentation of the public service and proliferation of agencies. Subsequently, as a consequence of the sharp contraction in public spending brought about by the global financial crisis, we find an accelerated process of public sector recentralisation, retrenchment and de-agencification. Much of this is occurring in an unplanned manner but under the generic banner of 'joining up' government. We identify the drivers behind these dynamics and how they have manifested themselves, as well as the changes to politicaladministrative relationships brought about by new initiatives, the power imbalances they expose, and ultimately their consequences on public service delivery. © Taylor & Francis Group, LLC.

Strategies of actin reorganisation in plant cells

Spatial-temporal flexibility of the actin filament network (F-actin) is essential for all basic cellular functions and is governed by a stochastic dynamic model. In this model, actin filaments that randomly polymerise from a pool of free actin are bundled with other filaments and severed by ADF/cofilin. The fate of the severed fragments is not known. It has been proposed that the fragments are disassembled and the monomeric actin recycled for the polymerisation of new filaments. Here, we have generated tobacco cell lines and Arabidopsis plants expressing the actin marker Lifeact to address the mechanisms of F-actin reorganisation in vivo. We found that F-actin is more dynamic in isotropically expanding cells and that the density of the network changes with a periodicity of 70 seconds. The depolymerisation rate, but not the polymerisation rate, of F-actin increases when microtubules are destabilised. New filaments can be assembled from shorter free cytoplasmic fragments, from the products of F-actin severing and by polymerisation from the ends of extant filaments. Thus, remodelling of F-actin might not require bulk depolymerisation of the entire network, but could occur via severing and end-joining of existing polymers.

DNA double strand break repair: a radiation perspective

SIGNIFICANCE:
Ionizing radiation (IR) can induce a wide range of unique deoxyribonucleic acid (DNA) lesions due to the spatiotemporal correlation of the ionization produced. Of these, DNA double strand breaks (DSBs) play a key role. Complex mechanisms and sophisticated pathways are available within cells to restore the integrity and sequence of the damaged DNA molecules.
RECENT ADVANCES:
Here we review the main aspects of the DNA DSB repair mechanisms with emphasis on the molecular pathways, radiation-induced lesions, and their significance for cellular processes.
CRITICAL ISSUES:
Although the main characteristics and proteins involved in the two DNA DSB repair processes present in eukaryotic cells (homologous recombination and nonhomologous end-joining) are reasonably well established, there are still uncertainties regarding the primary sensing event and their dependency on the complexity, location, and time of the damage. Interactions and overlaps between the different pathways play a critical role in defining the repair efficiency and determining the cellular functional behavior due to unrepaired/miss-repaired DNA lesions. The repair pathways involved in repairing lesions induced by soluble factors released from directly irradiated cells may also differ from the established response mechanisms.
FUTURE DIRECTIONS:
An improved understanding of the molecular pathways involved in sensing and repairing damaged DNA molecules and the role of DSBs is crucial for the development of novel classes of drugs to treat human diseases and to exploit characteristics of IR and alterations in tumor cells for successful radiotherapy applications.

Composition Games for Distributed Systems: the EU Grant games

We analyze ways by which people decompose into groups in distributed systems. We are interested in systems in which an agent can increase its utility by connecting to other agents, but must also pay a cost that increases with the size of the sys- tem. The right balance is achieved by the right size group of agents. We formulate and analyze three intuitive and realistic games and show how simple changes in the protocol can dras- tically improve the price of anarchy of these games. In partic- ular, we identify two important properties for a low price of anarchy: agreement in joining the system, and the possibil- ity of appealing a rejection from a system. We show that the latter property is especially important if there are some pre- existing constraints regarding who may collaborate (or com- municate) with whom.

Comparison of tack of pressure-sensitive adhesives (PSAs) at different temperatures

Pressure-sensitive adhesives (PSAs) have applications in the fields of packaging, joining, wound care, and personal care. Depending on the application of the PSA, different performance tests are carried out when new products are developed or the quality of the existing products is checked. Tack is the property of an adhesive that enables it to form instant bond on the surface under light pressure. The tack of a PSA strongly depends on the way the bond is created. Parameters such as the bonded area, contact time and the nature of tack materials all affect the tack force measured. In the development of any PSA, it is desirable to correlate the performance related properties such as tack and peel strength to the rheological behaviour. Finding these correlations would make it possible to evaluate the performance of a PSA using its rheological characteristics. In this investigation we have studied the influence of rheological behaviour of three different PSAs on their tackiness. The three different PSAs used in this study are a low molecular weight rosin ester, high molecular weight rosin ester, and dicyclopentadiene. Various rheological properties such as viscosity, phase angle, and elastic and viscous moduli are measured versus the frequency and temperature. Also the tack properties at various removal speeds and temperatures are evaluated. Analysis of the results indicates different performances of the three PSAs which could be related to their rheological properties, especially the phase angle, at different frequencies and temperatures. The PSA with high molecular weight rosin ester is more sensitive to temperature changes and showed drastic changes in tackiness from high temperature to low temperature. On the other hand, rosin ester with low molecular weight is less sensitive to temperature changes. © 2010 VSP.

From North Africa to France:Family Migration in Text and Film

Over the past four decades immigration to France from the Francophone countries of North Africa has changed in character. For much of the twentieth century, migrants who crossed the Mediterranean to France were men seeking work, who frequently undertook manual labour, working long hours in difficult conditions. Recent decades have seen an increase in family reunification - the arrival of women and children from North Africa, either accompanying their husbands or joining them in France. Contemporary creative representations of migration are shaped by this shift in gender and generation from a solitary, mostly male experience to one that included women and children. Just as the shift made new demands of the 'host' society, it made new demands of authors and filmmakers as they seek to represent migration. This study reveals how text and film present new ways of thinking about migration, moving away from the configuration of the migrant as man and worker, to take women, children and the ties between them into account.

Density functional theory study of mixed-phase TiO2: heterostructures and electronic properties

In this work, density functional theory calculations have been performed to study the geometric, electronic, and energetic properties of two-phase TiO2 composites built by joining two single-phase TiO2 slabs, aiming at verifying possible improvement of the photo-activities of the composites through phase separation of excitons. We find that such desired electronic properties can be determined by several factors. When both the HOMO and LUMO levels of one of the two single-phase TiO2 slabs are higher than the corresponding ones of the other, the composite may have native electronic structures with phase-separated HOMO-LUMO states, especially when the two slabs exhibit highly matched surface lattices. For those pairs of TiO2 slabs with the HOMO and LUMO levels of one phase being within the range of those of the other, though the energetically favored composite give HOMO-LUMO states within one phase, one may still be able to separate them and move the HOMO state to the interface region by destabilizing the interactions between the two slabs.

Genetic diversity of root-associated fungal endophytes from Calluna vulgaris at contrasting field sites

A total of 107 putative ericoid mycorrhizal endophytes were isolated from hair roots of Calluna vulgaris from two abandoned arsenic/copper mine sites and a natural heathland site in southwest England. The endophytes were initially grouped as 14 RFLP types, based on the results of ITS-RFLP analysis using the restriction endonucleases Hinf I, Rsa I and Hae III. ITS sequences were obtained for representative isolates from each RFLP type and compared phylogenetically with sequences for known ericoid mycorrhizal endophytes and selected ascomycetes. The majority of endophyte isolates (62-92%) from each site were identified as Hymenoscyphus ericae, but a number of other less common mycorrhizal RFLP types were also identified, all of which appear to have strong affinities with the order Leotiales. None of the less common RFLP types was isolated from C. vulgaris at more than one field site. Neighbour-joining analysis indicated similarities between the endophytes from C. vulgaris and mycorrhizal endophytes isolated from other Ericaceae and Epacridaceae hosts in North America and Australia.

Additionality of Incubator Support on Networks of University Spin-Out Firms

The formation rate of university spin-out firms has increased markedly over the past decade. While this is seen as an important channel for the commercialisation of academic research, concerns have centred around high failure rates and no-to-low growth among those which survive compared to other new technology based firms. Universities have responded to this by investing in incubators to assist spin-outs to overcome their liability of newness. Yet how effective are incubators in supporting these firms? Here we examine this in terms of the structural networks that spin-out firms form, the role of the incubator in this and the effect of this on the spin-out process.

Enabling Robust and Efficient Distributed Computation in Dynamic Peer-to-Peer Networks

Motivated by the need for designing efficient and robust fully-distributed computation in highly dynamic networks such as Peer-to-Peer (P2P) networks, we study distributed protocols for constructing and maintaining dynamic network topologies with good expansion properties. Our goal is to maintain a sparse (bounded degree) expander topology despite heavy {\em churn} (i.e., nodes joining and leaving the network continuously over time). We assume that the churn is controlled by an adversary that has complete knowledge and control of what nodes join and leave and at what time and has unlimited computational power, but is oblivious to the random choices made by the algorithm. Our main contribution is a randomized distributed protocol that guarantees with high probability the maintenance of a {\em constant} degree graph with {\em high expansion} even under {\em continuous high adversarial} churn. Our protocol can tolerate a churn rate of up to $O(n/\poly\log(n))$ per round (where $n$ is the stable network size). Our protocol is efficient, lightweight, and scalable, and it incurs only $O(\poly\log(n))$ overhead for topology maintenance: only polylogarithmic (in $n$) bits needs to be processed and sent by each node per round and any node's computation cost per round is also polylogarithmic. The given protocol is a fundamental ingredient that is needed for the design of efficient fully-distributed algorithms for solving fundamental distributed computing problems such as agreement, leader election, search, and storage in highly dynamic P2P networks and enables fast and scalable algorithms for these problems that can tolerate a large amount of churn.