Measuring and Controlling the Chaotic Motion of Profits

The study of economic systems has generated deep interest in exploring the complexity of chaotic motions in economy. Due to important developments in nonlinear dynamics, the last two decades have witnessed strong revival of interest in nonlinear endogenous business chaotic models. The inability to predict the behavior of dynamical systems in the presence of chaos suggests the application of chaos control methods, when we are more interested in obtaining regular behavior. In the present article, we study a specific economic model from the literature. More precisely, a system of three ordinary differential equations gather the variables of profits, reinvestments and financial flow of borrowings in the structure of a firm. Firstly, using results of symbolic dynamics, we characterize the topological entropy and the parameter space ordering of kneading sequences, associated with one-dimensional maps that reproduce significant aspects of the model dynamics. The analysis of the variation of this numerical invariant, in some realistic system parameter region, allows us to quantify and to distinguish different chaotic regimes. Finally, we show that complicated behavior arising from the chaotic firm model can be controlled without changing its original properties and the dynamics can be turned into the desired attracting time periodic motion (a stable steady state or into a regular cycle). The orbit stabilization is illustrated by the application of a feedback control technique initially developed by Romeiras et al. [1992]. This work provides another illustration of how our understanding of economic models can be enhanced by the theoretical and numerical investigation of nonlinear dynamical systems modeled by ordinary differential equations.

Evaluation of the respiratory motion effect in small animal PET images with GATE Monte Carlo simulations

The rapid growth in genetics and molecular biology combined with the development of techniques for genetically engineering small animals has led to increased interest in in vivo small animal imaging. Small animal imaging has been applied frequently to the imaging of small animals (mice and rats), which are ubiquitous in modeling human diseases and testing treatments. The use of PET in small animals allows the use of subjects as their own control, reducing the interanimal variability. This allows performing longitudinal studies on the same animal and improves the accuracy of biological models. However, small animal PET still suffers from several limitations. The amounts of radiotracers needed, limited scanner sensitivity, image resolution and image quantification issues, all could clearly benefit from additional research. Because nuclear medicine imaging deals with radioactive decay, the emission of radiation energy through photons and particles alongside with the detection of these quanta and particles in different materials make Monte Carlo method an important simulation tool in both nuclear medicine research and clinical practice. In order to optimize the quantitative use of PET in clinical practice, data- and image-processing methods are also a field of intense interest and development. The evaluation of such methods often relies on the use of simulated data and images since these offer control of the ground truth. Monte Carlo simulations are widely used for PET simulation since they take into account all the random processes involved in PET imaging, from the emission of the positron to the detection of the photons by the detectors. Simulation techniques have become an importance and indispensable complement to a wide range of problems that could not be addressed by experimental or analytical approaches.

Synchronization in Von Bertalanffy’s models

Many data have been useful to describe the growth of marine mammals, invertebrates and reptiles, seabirds, sea turtles and fishes, using the logistic, the Gom-pertz and von Bertalanffy's growth models. A generalized family of von Bertalanffy's maps, which is proportional to the right hand side of von Bertalanffy's growth equation, is studied and its dynamical approach is proposed. The system complexity is measured using Lyapunov exponents, which depend on two biological parameters: von Bertalanffy's growth rate constant and the asymptotic weight. Applications of synchronization in real world is of current interest. The behavior of birds ocks, schools of fish and other animals is an important phenomenon characterized by synchronized motion of individuals. In this work, we consider networks having in each node a von Bertalanffy's model and we study the synchronization interval of these networks, as a function of those two biological parameters. Numerical simulation are also presented to support our approaches.

The Sticky Information Macro Model: Beyond Perfect Foresight

Sticky information monetary models have been used in the macroeconomic literature to explain some of the observed features regarding inflation dynamics. In this paper, we explore the consequences of relaxing the rational expectations assumption usually taken in this type of model; in particular, by considering expectations formed through adaptive learning, it is possible to arrive to results other than the trivial convergence to a fixed point long-term equilibrium. The results involve the possibility of endogenous cyclical motion (periodic and a-periodic), which emerges essentially in scenarios of hyperinflation. In low inflation settings, the introduction of learning implies a less severe impact of monetary shocks that, nevertheless, tend to last for additional time periods relative to the pure perfect foresight setup.

Compression Efficiency Analysis of Wyner-Ziv Video Coding with Motion Compensated Side Information Interpolation

The Wyner-Ziv video coding (WZVC) rate distortion performance is highly dependent on the quality of the side information, an estimation of the original frame, created at the decoder. This paper, characterizes the WZVC efficiency when motion compensated frame interpolation (MCFI) techniques are used to generate the side information, a difficult problem in WZVC especially because the decoder only has available some reference decoded frames. The proposed WZVC compression efficiency rate model relates the power spectral of the estimation error to the accuracy of the MCFI motion field. Then, some interesting conclusions may be derived related to the impact of the motion field smoothness and the correlation to the true motion trajectories on the compression performance.

CP properties of symmetry-constrained two-Higgs-doublet models

The two-Higgs-doublet model can be constrained by imposing Higgs-family symmetries and/or generalized CP symmetries. It is known that there are only six independent classes of such symmetry-constrained models. We study the CP properties of all cases in the bilinear formalism. An exact symmetry implies CP conservation. We show that soft breaking of the symmetry can lead to spontaneous CP violation (CPV) in three of the classes.

Renormalization-group constraints on Yukawa alignment in multi-Higgs-doublet models

We write down the renormalization-group equations for the Yukawa-coupling matrices in a general multi-Higgs-doublet model. We then assume that the matrices of the Yukawa couplings of the various Higgs doublets to right-handed fermions of fixed quantum numbers are all proportional to each other. We demonstrate that, in the case of the two-Higgs-doublet model, this proportionality is preserved by the renormalization-group running only in the cases of the standard type-I, II, X, and Y models. We furthermore show that a similar result holds even when there are more than two Higgs doublets: the Yukawa-coupling matrices to fermions of a given electric charge remain proportional under the renormalization-group running if and only if there is a basis for the Higgs doublets in which all the fermions of a given electric charge couple to only one Higgs doublet.

Optimal design of piezolaminated structures using B-spline strip finite element models

A package of B-spline finite strip models is developed for the linear analysis of piezolaminated plates and shells. This package is associated to a global optimization technique in order to enhance the performance of these types of structures, subjected to various types of objective functions and/or constraints, with discrete and continuous design variables. The models considered are based on a higher-order displacement field and one can apply them to the static, free vibration and buckling analyses of laminated adaptive structures with arbitrary lay-ups, loading and boundary conditions. Genetic algorithms, with either binary or floating point encoding of design variables, were considered to find optimal locations of piezoelectric actuators as well as to determine the best voltages applied to them in order to obtain a desired structure shape. These models provide an overall economy of computing effort for static and vibration problems.

Statistical motion learning for improved transform domain Wyner-Ziv video coding

Wyner - Ziv (WZ) video coding is a particular case of distributed video coding (DVC), the recent video coding paradigm based on the Slepian - Wolf and Wyner - Ziv theorems which exploits the source temporal correlation at the decoder and not at the encoder as in predictive video coding. Although some progress has been made in the last years, WZ video coding is still far from the compression performance of predictive video coding, especially for high and complex motion contents. The WZ video codec adopted in this study is based on a transform domain WZ video coding architecture with feedback channel-driven rate control, whose modules have been improved with some recent coding tools. This study proposes a novel motion learning approach to successively improve the rate-distortion (RD) performance of the WZ video codec as the decoding proceeds, making use of the already decoded transform bands to improve the decoding process for the remaining transform bands. The results obtained reveal gains up to 2.3 dB in the RD curves against the performance for the same codec without the proposed motion learning approach for high motion sequences and long group of pictures (GOP) sizes.

Dynamical behaviour on the parameter space: new populational growth models proportional to beta densities

We present new populational growth models, generalized logistic models which are proportional to beta densities with shape parameters p and 2, where p > 1, with Malthusian parameter r. The complex dynamical behaviour of these models is investigated in the parameter space (r, p), in terms of topological entropy, using explicit methods, when the Malthusian parameter r increases. This parameter space is split into different regions, according to the chaotic behaviour of the models.

Constructing good deals in discrete time arbitrage-free dynamic pricing models

Recent literature has proved that many classical pricing models (Black and Scholes, Heston, etc.) and risk measures (V aR, CV aR, etc.) may lead to “pathological meaningless situations”, since traders can build sequences of portfolios whose risk leveltends to −infinity and whose expected return tends to +infinity, i.e., (risk = −infinity, return = +infinity). Such a sequence of strategies may be called “good deal”. This paper focuses on the risk measures V aR and CV aR and analyzes this caveat in a discrete time complete pricing model. Under quite general conditions the explicit expression of a good deal is given, and its sensitivity with respect to some possible measurement errors is provided too. We point out that a critical property is the absence of short sales. In such a case we first construct a “shadow riskless asset” (SRA) without short sales and then the good deal is given by borrowing more and more money so as to invest in the SRA. It is also shown that the SRA is interested by itself, even if there are short selling restrictions.

Shareholder wealth creation in response to announcements of acquisitions of unlisted firms: Evidence from Spain

We investigate shareholder value creation of Spanish listed firms in response to announcements of acquisitions of unlisted companies and compare this experience to the purchase of listed firms over the period 1991–2006. Similar to foreign markets, acquirers of listed targets earn insignificant average abnormal returns, whereas acquirers of unlisted targets gain significant positive average abnormal returns. When we relate these results to company and transaction characteristics our findings diverge from those reported in the literature for other foreign markets, as our evidence suggests that the listing status effect is mainly associated with the fact that unlisted firms tend to be smaller and lesser–known firms, and thus suffer from a lack of competition in the market for corporate control. Consequently, the payment of lower premiums and the possibility of diversifying shareholders’ portfolios lead to unlisted firm acquisitions being viewed as value–orientated transactions.

Volatility forecasting with range models: An evaluation of new alternatives to the CARR model

The aim of this paper is to analyze the forecasting ability of the CARR model proposed by Chou (2005) using the S&P 500. We extend the data sample, allowing for the analysis of different stock market circumstances and propose the use of various range estimators in order to analyze their forecasting performance. Our results show that there are two range-based models that outperform the forecasting ability of the GARCH model. The Parkinson model is better for upward trends and volatilities which are higher and lower than the mean while the CARR model is better for downward trends and mean volatilities.

Avaliação do risco associado a movimentos verticais de navios em manobra no porto da Praia da Vitória

O risco associado a um navio em manobra pode ser avaliado pela probabilidade do movimento vertical de um ponto do navio ultrapassar um determinado limiar pré-definido. Essa excedência pode originar danos tanto no próprio navio como nas estruturas portuárias envolventes. Este trabalho surge no seguimento de um estudo efectuado no Laboratório Nacional de Engenharia Civil (LNEC), no qual foi desenvolvido um conjunto de ferramentas de avaliação da função resposta do navio quando sujeito à agitação marítima e, partindo dessas ferramentas, foi obtido um procedimento para determinação do espectro dos movimentos verticais de um ponto de um navio parado sujeito àquele estado de agitação (Rodrigues, 2010). No presente estudo, estendeu-se esse procedimento de modo a avaliar a influência da velocidade de avanço do navio no espectro dos movimentos verticais do mesmo. O percurso de entrada do “N/M Fernão Gomes” no porto da Praia da Vitória foi o caso de estudo considerado. A agitação marítima incidente no navio cobriu o período de Janeiro de 2009 a Dezembro de 2010 e foi obtida com base no modelo previsão de escala regional (WAVEWATCH III) e posteriormente transferida para o interior do porto com o recurso a modelos numéricos de propagação de ondas (SWAN e DREAMS). Foi também assumido que a altura do movimento vertical do navio segue uma distribuição de Rayleigh, a qual possibilita a determinação da altura significativa desse movimento vertical, bem como a implementação de um procedimento para determinar a probabilidade de a altura do movimento vertical do navio não exceder um limiar pré-definido e consequentemente mostrar, através da análise dos resultados, a influência da velocidade de avanço do navio. Da análise dos resultados concluiu-se que a velocidade tem uma influência significativa nos resultados. No final avaliou-se a contribuição dos resultados anteriormente determinados, para a análise do risco associado aos movimentos verticais do navio quando em manobra no porto em estudo.

The condensation and ordering of models of empty liquids

We consider a simple model consisting of particles with four bonding sites ("patches"), two of type A and two of type B, on the square lattice, and investigate its global phase behavior by simulations and theory. We set the interaction between B patches to zero and calculate the phase diagram as the ratio between the AB and the AA interactions, epsilon(AB)*, varies. In line with previous work, on three-dimensional off-lattice models, we show that the liquid-vapor phase diagram exhibits a re-entrant or "pinched" shape for the same range of epsilon(AB)*, suggesting that the ratio of the energy scales - and the corresponding empty fluid regime - is independent of the dimensionality of the system and of the lattice structure. In addition, the model exhibits an order-disorder transition that is ferromagnetic in the re-entrant regime. The use of low-dimensional lattice models allows the simulation of sufficiently large systems to establish the nature of the liquid-vapor critical points and to describe the structure of the liquid phase in the empty fluid regime, where the size of the "voids" increases as the temperature decreases. We have found that the liquid-vapor critical point is in the 2D Ising universality class, with a scaling region that decreases rapidly as the temperature decreases. The results of simulations and theoretical analysis suggest that the line of order-disorder transitions intersects the condensation line at a multi-critical point at zero temperature and density, for patchy particle models with a re-entrant, empty fluid, regime. (C) 2011 American Institute of Physics. [doi: 10.1063/1.3657406]