Improved estimation of the covariance matrix of stock returns with an application to portofolio selection

This paper proposes to estimate the covariance matrix of stock returnsby an optimally weighted average of two existing estimators: the samplecovariance matrix and single-index covariance matrix. This method isgenerally known as shrinkage, and it is standard in decision theory andin empirical Bayesian statistics. Our shrinkage estimator can be seenas a way to account for extra-market covariance without having to specifyan arbitrary multi-factor structure. For NYSE and AMEX stock returns from1972 to 1995, it can be used to select portfolios with significantly lowerout-of-sample variance than a set of existing estimators, includingmulti-factor models.

Self-similarity of complex networks and hidden metric spaces

We demonstrate that the self-similarity of some scale-free networks with respect to a simple degree-thresholding renormalization scheme finds a natural interpretation in the assumption that network nodes exist in hidden metric spaces. Clustering, i.e., cycles of length three, plays a crucial role in this framework as a topological reflection of the triangle inequality in the hidden geometry. We prove that a class of hidden variable models with underlying metric spaces are able to accurately reproduce the self-similarity properties that we measured in the real networks. Our findings indicate that hidden geometries underlying these real networks are a plausible explanation for their observed topologies and, in particular, for their self-similarity with respect to the degree-based renormalization.

Using spatially distributed parameters and multi-response objective functions to solve parameterization of complex applications of semi-distributed hydrological models

Application of semi-distributed hydrological models to large, heterogeneous watersheds deals with several problems. On one hand, the spatial and temporal variability in catchment features should be adequately represented in the model parameterization, while maintaining the model complexity in an acceptable level to take advantage of state-of-the-art calibration techniques. On the other hand, model complexity enhances uncertainty in adjusted model parameter values, therefore increasing uncertainty in the water routing across the watershed. This is critical for water quality applications, where not only streamflow, but also a reliable estimation of the surface versus subsurface contributions to the runoff is needed. In this study, we show how a regularized inversion procedure combined with a multiobjective function calibration strategy successfully solves the parameterization of a complex application of a water quality-oriented hydrological model. The final value of several optimized parameters showed significant and consistentdifferences across geological and landscape features. Although the number of optimized parameters was significantly increased by the spatial and temporal discretization of adjustable parameters, the uncertainty in water routing results remained at reasonable values. In addition, a stepwise numerical analysis showed that the effects on calibration performance due to inclusion of different data types in the objective function could be inextricably linked. Thus caution should be taken when adding or removing data from an aggregated objective function.

Rapid and sensitive hormonal profiling of complex plant samples by liquid chromatography coupled to electrospray ionization tandem mass spectrometry

Background Plant hormones play a pivotal role in several physiological processes during a plant's life cycle, from germination to senescence, and the determination of endogenous concentrations of hormones is essential to elucidate the role of a particular hormone in any physiological process. Availability of a sensitive and rapid method to quantify multiple classes of hormones simultaneously will greatly facilitate the investigation of signaling networks in controlling specific developmental pathways and physiological responses. Due to the presence of hormones at very low concentrations in plant tissues (10-9 M to 10-6 M) and their different chemistries, the development of a high-throughput and comprehensive method for the determination of hormones is challenging. Results The present work reports a rapid, specific and sensitive method using ultrahigh-performance liquid chromatography coupled to electrospray ionization tandem spectrometry (UPLC/ESI-MS/MS) to analyze quantitatively the major hormones found in plant tissues within six minutes, including auxins, cytokinins, gibberellins, abscisic acid, 1-amino-cyclopropane-1-carboxyic acid (the ethylene precursor), jasmonic acid and salicylic acid. Sample preparation, extraction procedures and UPLC-MS/MS conditions were optimized for the determination of all plant hormones and are summarized in a schematic extraction diagram for the analysis of small amounts of plant material without time-consuming additional steps such as purification, sample drying or re-suspension. Conclusions This new method is applicable to the analysis of dynamic changes in endogenous concentrations of hormones to study plant developmental processes or plant responses to biotic and abiotic stresses in complex tissues. An example is shown in which a hormone profiling is obtained from leaves of plants exposed to salt stress in the aromatic plant, Rosmarinus officinalis.

Combining Generic Programming and Service-Oriented Architectures for the Effective and Timely Development of Complex e-Learning Systems

Peer-reviewed

$E_{1}$-Formality of complex algebraic varieties

Let $X$ be a smooth complex algebraic variety. Morgan showed that the rational homotopy type of $X$ is a formal consequence of the differential graded algebra defined by the first term $E_{1}(X,W)$ of its weight spectral sequence. In the present work, we generalize this result to arbitrary nilpotent complex algebraic varieties (possibly singular and/or non-compact) and to algebraic morphisms between them. In particular, our results generalize the formality theorem of Deligne, Griffiths, Morgan and Sullivan for morphisms of compact Kähler varieties, filling a gap in Morgan"s theory concerning functoriality over the rationals. As an application, we study the Hopf invariant of certain algebraic morphisms using intersection theory.

Weight filtration on the cohomology of complex analytic spaces

We extend Deligne's weight filtration to the integer cohomology of complex analytic spaces (endowed with an equivalence class of compactifications). In general, the weight filtration that we obtain is not part of a mixed Hodge structure. Our purely geometric proof is based on cubical descent for resolution of singularities and Poincaré-Verdier duality. Using similar techniques, we introduce the singularity filtration on the cohomology of compactificable analytic spaces. This is a new and natural analytic invariant which does not depend on the equivalence class of compactifications and is related to the weight filtration.

One, two, or many mechanisms? The brain's processing of complex words

The heated debate over whether there is only a single mechanism or two mechanisms for morphology has diverted valuable research energy away from the more critical questions about the neural computations involved in the comprehension and production of morphologically complex forms. Cognitive neuroscience data implicate many brain areas. All extant models, whether they rely on a connectionist network or espouse two mechanisms, are too underspecified to explain why more than a few brain areas differ in their activity during the processing of regular and irregular forms. No one doubts that the brain treats regular and irregular words differently, but brain data indicate that a simplistic account will not do. It is time for us to search for the critical factors free from theoretical blinders.

Development of a tool for the construction of "ground truth" for complex color images with text

Aquesta memoria resumeix el treball de final de carrera d’Enginyeria Superior d’Informàtica. Explicarà les principals raons que han motivat el projecte així com exemples que il·lustren l’aplicació resultant. En aquest cas el software intentarà resoldre la actual necessitat que hi ha de tenir dades de Ground Truth per als algoritmes de segmentació de text per imatges de color complexes. Tots els procesos seran explicats en els diferents capítols partint de la definició del problema, la planificació, els requeriments i el disseny fins a completar la il·lustració dels resultats del programa i les dades de Ground Truth resultants.

The algebraic equality of two asymptotic tests for the hypothesis that a normal distribution has a specified correlation matrix

It is proved the algebraic equality between Jennrich's (1970) asymptotic$X^2$ test for equality of correlation matrices, and a Wald test statisticderived from Neudecker and Wesselman's (1990) expression of theasymptoticvariance matrix of the sample correlation matrix.

Compact matrix expressions for generalized Wald tests of equality of moment vectors

Asymptotic chi-squared test statistics for testing the equality ofmoment vectors are developed. The test statistics proposed aregeneralizedWald test statistics that specialize for different settings by inserting andappropriate asymptotic variance matrix of sample moments. Scaled teststatisticsare also considered for dealing with situations of non-iid sampling. Thespecializationwill be carried out for testing the equality of multinomial populations, andtheequality of variance and correlation matrices for both normal andnon-normaldata. When testing the equality of correlation matrices, a scaled versionofthe normal theory chi-squared statistic is proven to be an asymptoticallyexactchi-squared statistic in the case of elliptical data.

Demand and revenue implications of an integrated public transport policy: the case of Madrid

One of the most popular options for promoting public transport use is the provision of an integrated and high quality public transport system. This was the strategy adopted by the regional government in Madrid in 1986 and since then public transport patronage has increased by more than 50%. This paper has two objectives. The first is to identify the factors underlying the significant increase in the demand for public transport in Madrid. To do this we estimate an aggregate demand function for bus and underground trips, which allows us to obtain the demand elasticities with respect to the main attributes of public transport services and also to calculate the long-term impact of changes in those explanatory variables on patronage. The second objective is to evaluate the impact on revenue derived from the introduction of the travel card scheme, and to discuss the consequences on revenue of changes in the relative fare levels of different types of ticket without substantially affecting patronage. This latter issue is addressed by estimating a matrix of own and cross-price elasticities for different ticket types.

Ultrastructural characterisation of the cell wall of Arabidopsis thaliana transgenic plants

The plant cell wall is a strong fibrillar network that gives each cell its stable shape. It is constituted by a network of cellulose microfibrils embedded in a matrix of polysaccharides, such as xyloglucans. To enlarge, cells selectively loosen this network. Moreover, there is a pectin-rich intercellular material, the middle lamella, cementing together the walls of adjacent plant cells. Xyloglucan endotransglucosylase/hydrolases (XTHs) are a group of enzymes involved in the reorganisation of the cellulose-xyloglucan framework by catalysing cleavage and re-ligation of the xyloglucan chains in the plant cell wall, and are considered cell wall loosening agents. In the laboratory, it has been isolated and characterised a XTH gene, ZmXTH1, from an elongation root cDNA library of maize. To address the cellular function of ZmXTH1, transgenic Arabidopsis thaliana plants over-expressing ZmXTH1 (under the control of the CaMV35S promoter) were generated. The aim of the work performed was therefore the characterisation of these transgenic plants at the ultrastructural level, by transmission electron microscopy (TEM).The detailed cellular phenotype of transgenic plants was investigated by comparing ultra-thin transverse sections of basal stem of 5-weeks old plants of wild type (Col 0) and 35S-ZmXTH1 Arabidopsis plants. Transgenic plants show modifications in the cell walls, particularly a thicker middle lamella layer with respect the wild type plants, supporting the idea that the overexpression of ZmXTH1 could imply a pronounced wall-loosening. In sum, the work carried out reinforces the idea that ZmXTH1 is involved in the cell wall loosening process in maize.  

Applications of the MuSIASEM approach to study changes in the metabolic pattern of Catalonia

This document presents an integrated analysis of the performance of Catalonia based on an analysis of how the energy consumption (measured at the societal level for the Catalan Society) is used within both the productive sectors of the economy and the household, to generate added value, jobs, and to guarantee a given level of material standard of living to the population. The trends found in Catalonia are compared to the trends of other European Countries to contextualize the performance of Catalonia with respect to other societies that have followed different paths of economic development. The first part of the document consists of the Multi-Scale Integrated Analysis of Societal and Ecosystem Metabolism (MuSIASEM) approach that has been used to provide this integrated analysis of Catalan Society across different scales (starting from an analysis of the specific sectors of the Catalan economy as an Autonomous Community and scaling up to an intra-regional (European Union 14) comparison) and across different dimensions of analyses of energy consumption coupled with added value generation. Within the scope of this study, we observe the various trajectories of changes in the metabolic pattern for Catalonia and the EU14 countries in the Paid Work Sectors composed of namely, the Agricultural Sector, the Productive Sector and the Services and Government Sector also in comparison with the changes in the household sector. The flow intensities of the exosomatic energy and the added value generated for each specific sector are defined per hour of human activity, thus characterized as exosomatic energy (MJ/hour) (or Exosomatic Metabolic Rate) and added value (€/hour) (Economic Labour Productivity) across multiple levels. Within the second part of the document, the possible usage of the MuSIASEM approach to land use analyses (using a multi-level matrix of categories of land use) has been conducted.