Improving the risk concept: a revision of Arrow-Pratt theory in the context of controlled dynamic stochastic environments

In the literature on risk, one generally assume that uncertainty is uniformly distributed over the entire working horizon, when the absolute risk-aversion index is negative and constant. From this perspective, the risk is totally exogenous, and thus independent of endogenous risks. The classic procedure is "myopic" with regard to potential changes in the future behavior of the agent due to inherent random fluctuations of the system. The agent's attitude to risk is rigid. Although often criticized, the most widely used hypothesis for the analysis of economic behavior is risk-neutrality. This borderline case must be envisaged with prudence in a dynamic stochastic context. The traditional measures of risk-aversion are generally too weak for making comparisons between risky situations, given the dynamic �complexity of the environment. This can be highlighted in concrete problems in finance and insurance, context for which the Arrow-Pratt measures (in the small) give ambiguous.

Predictive motion control of a mirosot mobile robot

This paper discusses predictive motion control of a MiRoSoT robot. The dynamic model of the robot is deduced by taking into account the whole process - robot, vision, control and transmission systems. Based on the obtained dynamic model, an integrated predictive control algorithm is proposed to position precisely with either stationary or moving obstacle avoidance. This objective is achieved automatically by introducing distant constraints into the open-loop optimization of control inputs. Simulation results demonstrate the feasibility of such control strategy for the deduced dynamic model

Study and implementation of some quantitative trading models

Quantitative or algorithmic trading is the automatization of investments decisions obeying a fixed or dynamic sets of rules to determine trading orders. It has increasingly made its way up to 70% of the trading volume of one of the biggest financial markets such as the New York Stock Exchange (NYSE). However, there is not a signi cant amount of academic literature devoted to it due to the private nature of investment banks and hedge funds. This projects aims to review the literature and discuss the models available in a subject that publications are scarce and infrequently. We review the basic and fundamental mathematical concepts needed for modeling financial markets such as: stochastic processes, stochastic integration and basic models for prices and spreads dynamics necessary for building quantitative strategies. We also contrast these models with real market data with minutely sampling frequency from the Dow Jones Industrial Average (DJIA). Quantitative strategies try to exploit two types of behavior: trend following or mean reversion. The former is grouped in the so-called technical models and the later in the so-called pairs trading. Technical models have been discarded by financial theoreticians but we show that they can be properly cast into a well defined scientific predictor if the signal generated by them pass the test of being a Markov time. That is, we can tell if the signal has occurred or not by examining the information up to the current time; or more technically, if the event is F_t-measurable. On the other hand the concept of pairs trading or market neutral strategy is fairly simple. However it can be cast in a variety of mathematical models ranging from a method based on a simple euclidean distance, in a co-integration framework or involving stochastic differential equations such as the well-known Ornstein-Uhlenbeck mean reversal ODE and its variations. A model for forecasting any economic or financial magnitude could be properly defined with scientific rigor but it could also lack of any economical value and be considered useless from a practical point of view. This is why this project could not be complete without a backtesting of the mentioned strategies. Conducting a useful and realistic backtesting is by no means a trivial exercise since the \laws" that govern financial markets are constantly evolving in time. This is the reason because we make emphasis in the calibration process of the strategies' parameters to adapt the given market conditions. We find out that the parameters from technical models are more volatile than their counterpart form market neutral strategies and calibration must be done in a high-frequency sampling manner to constantly track the currently market situation. As a whole, the goal of this project is to provide an overview of a quantitative approach to investment reviewing basic strategies and illustrating them by means of a back-testing with real financial market data. The sources of the data used in this project are Bloomberg for intraday time series and Yahoo! for daily prices. All numeric computations and graphics used and shown in this project were implemented in MATLAB^R scratch from scratch as a part of this thesis. No other mathematical or statistical software was used.

Understanding the development of the ESDP: Perspectives and insights from historical institutionalism and theories of learning

How can we best understand the emergence of the European Security and Defence Policy (ESDP)? This paper applies the theories of historical institutionalism and experiential learning to offer a dynamic conceptualisation of moves towards an ESDP which highlights some of the causal factors that a more temporally-restricted analysis would miss. It firstly shows how the institutional and functional expansion of European Political Cooperation (EPC) over the course of the 1970s and 80s gave rise to a context in which the development of a security and defence dimension came to be viewed as more logical and even necessary. It then goes on to analyse some of the external factors (in the form of actors, events and institutions) that further pushed in this direction and proved to influence the policy’s subsequent evolution. The paper is therefore intended to act as a first-step to understanding the ESDP’s development from this perspective.

Understanding the two-component sensing System of virulent bacteria

Report for the scientific sojourn carried out at the l’ Institute for Computational Molecular Science of the Temple University, United States, from 2010 to 2012. Two-component systems (TCS) are used by pathogenic bacteria to sense the environment within a host and activate mechanisms related to virulence and antimicrobial resistance. A prototypical example is the PhoQ/PhoP system, which is the major regulator of virulence in Salmonella. Hence, PhoQ is an attractive target for the design of new antibiotics against foodborne diseases. Inhibition of the PhoQ-mediated bacterial virulence does not result in growth inhibition, presenting less selective pressure for the generation of antibiotic resistance. Moreover, PhoQ is a histidine kinase (HK) and it is absent in animals. Nevertheless, the design of satisfactory HK inhibitors has been proven to be a challenge. To compete with the intracellular ATP concentrations, the affinity of a HK inhibidor must be in the micromolar-nanomolar range, whereas the current lead compounds have at best millimolar affinities. Moreover, the drug selectivity depends on the conformation of a highly variable loop, referred to as the “ATP-lid, which is difficult to study by X-Ray crystallography due to its flexibility. I have investigated the binding of different HK inhibitors to PhoQ. In particular, all-atom molecular dynamics simulations have been combined with enhanced sampling techniques in order to provide structural and dynamic information of the conformation of the ATP-lid. Transient interactions between these drugs and the ATP-lid have been identified and the free energy of the different binding modes has been estimated. The results obtained pinpoint the importance of protein flexibility in the HK-inhibitor binding, and constitute a first step in developing more potent and selective drugs. The computational resources of the hosting institution as well as the experience of the members of the group in drug binding and free energy methods have been crucial to carry out this work.

8-month non-use of a language. A case tudy. A longitudinal study of the effects on non use of one of the languages (Spanish) of a German L1 multilingual

Under the Dynamic Model of Multilingualism multilinguals are especially vulnerable to language attrition. It was the aim of the present study to verify if this was the case and to observe whether the different linguistic skills (receptive vs. descriptive) and the different linguistic levels (syntactic, lexical, morphological, etc.) would be affected equally.Data were gathered longitudinally by means of a language test for the subject’s reading, writing, listening and speaking skills as well as her knowledge of grammar and vocabulary. Although the overall accuracy remained intact and no proof for attrition in the receptive skills was found, the productive skills - mainly fluency - were shown to have suffered from language attrition. This was demonstrated by an increase in the number of pauses, hesitations, repetitions and self-corrections among others and decrease in the percentage of error-free clauses and decrease in the clause length, in oral and written fluency respectively.

Improving social measurements: the experience of the ESS first rounds in Spain

With the two aims of monitoring social change and improving social measurement, the European Social Survey is now closing its third round. This paper shows how the accumulated experience of the two first rounds has been used to validate the questionnaire, better adapt the sampling design to the country characteristics and efficiently commit fieldwork in Spain. For example, the dynamic character of the population nowadays makes necessary to estimated design effects at each round from the data of the previous round. The paper also demonstrates how, starting with a response rate of 52% at first round, a 66% response rate is achieved at the third round thanks to an extensive quality control conducted by the polling agency and the ESS national team and based on a detailed analysis of the non-response cases and the incidences reported by the interviewed in the contact form.

The Labor Market Effects of Technology Shocks

We analyze the labor market effects of neutral and investment-specific technology shocks along the intensive margin (hours worked) and the extensive margin (unemployment). We characterize the dynamic response of unemployment in terms of the job separation and the job finding rate. Labor market adjustments occur along the extensive margin in response to neutral shocks, along the intensive margin in response to investment specific shocks. The job separation rate accounts for a major portion of the impact response of unemployment. Neutral shocks prompt a contemporaneous increase in unemployment because of a sharp rise in the separation rate. This is prolonged by a persistent fall in the job finding rate. Investment specific shocks rise employment and hours worked. Neutral shocks explain a substantial portion of the volatility of unemployment and output; investment specific shocks mainly explain hours worked volatility. This suggests that neutral progress is consistent with Schumpeterian creative destruction, while investment-specific progress operates as in a neoclassical growth model.

The illusion of control, the structures of prizes and the demand for football pools in Spain

Using data for all the fixtures for the seasons from 1972-73 to 2002-03, we estimate a dynamic model of demand for football pools in Spain paying attention to whether their main economic explanatory variable is the effective price of a ticket or the jackpot. Additionally, we evaluate the importance of the composition of the list of games in terms of whether First Division matches are included or not. Results show that the jackpot model is preferred to the effective price model, having important implications in terms of how the structure of the game should be changed in order to increase demand.

On the term structure of Interbank interest rates: Jump-diffusion processes and option pricing

In this paper we study the dynamic behavior of the term structureof Interbank interest rates and the pricing of options on interest ratesensitive securities. We posit a generalized single factor model withjumps to take into account external influences in the market. Daily datais used to test for jump effects. Qualitative examination of the linkagebetween Monetary Authorities' interventions and jumps are studied. Pricingresults suggests a systematic underpricing in bonds and call options ifthe jumps component is not included. However, the pricing of put optionson bonds presents indeterminacies.

Negativity effect and the emergence of ideologies

``Negativity effect'' refers to the psychological phenomenon that peopletend to attach greater weight to negative information than to equallyextreme and equally likely positive information in a variety of informationprocessing tasks. Numerous studies of impression formation have found thatnegative information is weighted more heavily than positive information asimpressions of others are formed. There is empirical evidence in politicalscience that shows the importance of the negativity effect in the informationprocessing of the voters. This effect can explain the observed decreaseof popularity for a president the longer he is in office. \\We construct a dynamic model of political competition, incorporating thenegativity effect in the decision rule of the voters and allowing their preferencesto change over time, according to the past performance of the candidateswhile in office. Our model may explain the emergence of ideologies out ofthe competition for votes of myopic candidates freely choosing policypositions. This result gives rise to the formation of political parties,as infinitely--lived agents with a certain ideology. Furthermore, in thismodel some voters may start out by switching among parties associated withdifferent policies, but find themselves supporting one of the parties fromsome point on. Thus, the model describes a process by which some votersbecome identified with a ``right'' or ``left'' bloc, while others ``swing''between the two parties.

Improving social measurements: The experience of the ESS first rounds in Spain

With the two aims of monitoring social change and improving social measurement, the European Social Survey is now closing its third round. This paper shows how the accumulated experience of the two first rounds has been used to validate the questionnaire, better adapt the sampling design to the country characteristics and efficiently commit fieldwork in Spain. For example, the dynamic character of the population nowadays makes necessary to estimated design effects at each round from the data of the previous round. The paper also demonstrates how, starting with a response rate of 52% at first round, a 66% response rate is achieved at the third round thanks to an extensive quality control conducted by the polling agency and the ESS national team and based on a detailed analysis of the non-response cases and the incidences reported by the interviewed in the contact form.

Fine-Tuning Translation Kinetics Selection as the Driving Force of Codon Usage Bias in the Hepatitis A Virus Capsid

Hepatitis A virus (HAV), the prototype of genus Hepatovirus, has several unique biological characteristics that distinguish it from other members of the Picornaviridae family. Among these, the need for an intact eIF4G factor for the initiation of translation results in an inability to shut down host protein synthesis by a mechanism similar to that of other picornaviruses. Consequently, HAV must inefficiently compete for the cellular translational machinery and this may explain its poor growth in cell culture. In this context of virus/cell competition, HAV has strategically adopted a naturally highly deoptimized codon usage with respect to that of its cellular host. With the aim to optimize its codon usage the virus was adapted to propagate in cells with impaired protein synthesis, in order to make tRNA pools more available for the virus. A significant loss of fitness was the immediate response to the adaptation process that was, however, later on recovered and more associated to a re-deoptimization rather than to an optimization of the codon usage specifically in the capsid coding region. These results exclude translation selection and instead suggest fine-tuning translation kinetics selection as the underlying mechanism of the codon usage bias in this specific genome region. Additionally, the results provide clear evidence of the Red Queen dynamics of evolution since the virus has very much evolved to re-adapt its codon usage to the environmental cellular changing conditions in order to recover the original fitness.

Edelfosine-induced metabolic changes in cancer cells that precede the overproduction of reactive oxygen species and apoptosis

Background: Metabolic flux profiling based on the analysis of distribution of stable isotope tracer in metabolites is an important method widely used in cancer research to understand the regulation of cell metabolism and elaborate new therapeutic strategies. Recently, we developed software Isodyn, which extends the methodology of kinetic modeling to the analysis of isotopic isomer distribution for the evaluation of cellular metabolic flux profile under relevant conditions. This tool can be applied to reveal the metabolic effect of proapoptotic drug edelfosine in leukemia Jurkat cell line, uncovering the mechanisms of induction of apoptosis in cancer cells. Results: The study of 13C distribution of Jukat cells exposed to low edelfosine concentration, which induces apoptosis in ¿5% of cells, revealed metabolic changes previous to the development of apoptotic program. Specifically, it was found that low dose of edelfosine stimulates the TCA cycle. These metabolic perturbations were coupled with an increase of nucleic acid synthesis de novo, which indicates acceleration of biosynthetic and reparative processes. The further increase of the TCA cycle fluxes, when higher doses of drug applied, eventually enhance reactive oxygen species (ROS) production and trigger apoptotic program. Conclusion: The application of Isodyn to the analysis of mechanism of edelfosine-induced apoptosis revealed primary drug-induced metabolic changes, which are important for the subsequent initiation of apoptotic program. Initiation of such metabolic changes could be exploited in anticancer therapy.

Specialisation in Europe and asymmetric shocks: potential risks of EMU

Most optimistic views, based on Optimum Currency Areas (OCA) literature, have concluded that the probability of asymmetric shocks to occur at anational level will tend to diminish in the Economic and Monetary Union (EMU)as a result of the intensification of the integration process during the most recent years. Therefore, since Economic Geography Theories predict a higherspecialisation of regions, it is expected that asymmetric shocks will increase.Previous studies have examined to what extent asymmetric shocks have been relevant in the past using, mainly, static measures of asymmetries such as the correlation coefficients between series of shocks previously calculated from astructural VAR model (Bayoumi and Eichengreen, 1992).In this paper, we study the evolution of manufacturing specific asymmetries in Europe from a dynamic point of view (applying the modelproposed by Haldane and Hall, 1991) in order to obtain new evidence about potential risks of EMU.