Brownian motion with drift threshold model

In this thesis we implement estimating procedures in order to estimate threshold parameters for the continuous time threshold models driven by stochastic di®erential equations. The ¯rst procedure is based on the EM (expectation-maximization) algorithm applied to the threshold model built from the Brownian motion with drift process. The second procedure mimics one of the fundamental ideas in the estimation of the thresholds in time series context, that is, conditional least squares estimation. We implement this procedure not only for the threshold model built from the Brownian motion with drift process but also for more generic models as the ones built from the geometric Brownian motion or the Ornstein-Uhlenbeck process. Both procedures are implemented for simu- lated data and the least squares estimation procedure is also implemented for real data of daily prices from a set of international funds. The ¯rst fund is the PF-European Sus- tainable Equities-R fund from the Pictet Funds company and the second is the Parvest Europe Dynamic Growth fund from the BNP Paribas company. The data for both funds are daily prices from the year 2004. The last fund to be considered is the Converging Europe Bond fund from the Schroder company and the data are daily prices from the year 2005.

A nonlinear threshold model for the dependence of extremes of stationary sequences

One of the main implications of the efficient market hypothesis (EMH) is that expected future returns on financial assets are not predictable if investors are risk neutral. In this paper we argue that financial time series offer more information than that this hypothesis seems to supply. In particular we postulate that runs of very large returns can be predictable for small time periods. In order to prove this we propose a TAR(3,1)-GARCH(1,1) model that is able to describe two different types of extreme events: a first type generated by large uncertainty regimes where runs of extremes are not predictable and a second type where extremes come from isolated dread/joy events. This model is new in the literature in nonlinear processes. Its novelty resides on two features of the model that make it different from previous TAR methodologies. The regimes are motivated by the occurrence of extreme values and the threshold variable is defined by the shock affecting the process in the preceding period. In this way this model is able to uncover dependence and clustering of extremes in high as well as in low volatility periods. This model is tested with data from General Motors stocks prices corresponding to two crises that had a substantial impact in financial markets worldwide; the Black Monday of October 1987 and September 11th, 2001. By analyzing the periods around these crises we find evidence of statistical significance of our model and thereby of predictability of extremes for September 11th but not for Black Monday. These findings support the hypotheses of a big negative event producing runs of negative returns in the first case, and of the burst of a worldwide stock market bubble in the second example. JEL classification: C12; C15; C22; C51 Keywords and Phrases: asymmetries, crises, extreme values, hypothesis testing, leverage effect, nonlinearities, threshold models

Partial Knowledge Restrictions on theTwo-Stage Threshold Model of Choice

In the context of the two-stage threshold model of decision making, with the agent’s choices determined by the interaction Of three “structural variables,” we study the restrictions on behavior that arise when one or more variables are xogenously known. Our results supply necessary and sufficient conditions for consistency with the model for all possible states of partial Knowledge, and for both single- and multivalued choice functions.

Evolution of self-organized division of labor in a response threshold model.

Division of labor in social insects is determinant to their ecological success. Recent models emphasize that division of labor is an emergent property of the interactions among nestmates obeying to simple behavioral rules. However, the role of evolution in shaping these rules has been largely neglected. Here, we investigate a model that integrates the perspectives of self-organization and evolution. Our point of departure is the response threshold model, where we allow thresholds to evolve. We ask whether the thresholds will evolve to a state where division of labor emerges in a form that fits the needs of the colony. We find that division of labor can indeed evolve through the evolutionary branching of thresholds, leading to workers that differ in their tendency to take on a given task. However, the conditions under which division of labor evolves depend on the strength of selection on the two fitness components considered: amount of work performed and on worker distribution over tasks. When selection is strongest on the amount of work performed, division of labor evolves if switching tasks is costly. When selection is strongest on worker distribution, division of labor is less likely to evolve. Furthermore, we show that a biased distribution (like 3:1) of workers over tasks is not easily achievable by a threshold mechanism, even under strong selection. Contrary to expectation, multiple matings of colony foundresses impede the evolution of specialization. Overall, our model sheds light on the importance of considering the interaction between specific mechanisms and ecological requirements to better understand the evolutionary scenarios that lead to division of labor in complex systems. ELECTRONIC SUPPLEMENTARY MATERIAL: The online version of this article (doi:10.1007/s00265-012-1343-2) contains supplementary material, which is available to authorized users.

Study of stayability in Nellore cows using a threshold model

The objectives of the current study were to assess the feasibility of using stayability traits to improve fertility of Nellore cows and to examine the genetic relationship among the stayabilities at different ages. Stayability was defined as whether a cow calved every year up to the age of 5 (Stay5), 6 (Stay6), or 7 (Stay7) yr of age or more, given that she was provided the opportunity to breed. Data were analyzed based on a maximum a posteriori probit threshold model to predict breeding values on the liability scale, whereas the Gibbs sampler was used to estimate variance components. The EBV were obtained using all animals included in the pedigree or bulls with at least 10 daughters with stayability observations, and average genetic trends were obtained in the liability and transformed to the probability scale. Additional analyses were performed to study the genetic relationship among stayability traits, which were compared by contrasting results in terms of EBV and the average genetic superiority as a function of the selected proportion of sires. Heritability estimates and SD were 0.25 +/- 0.02, 0.22 +/- 0.03, and 0.28 +/- 0.03 for Stay5, Stay6, and Stay7, respectively. Average genetic trends, by year, were 0.51 +/- 0.34, and 0.38% for Stay5, Stay6, and Stay7, respectively. Estimates of EBV SD, in the probability scale, for all animals included in the pedigree and for bulls with at least 10 daughters with stayability observations were 7.98 and 12.95, 6.93 and 11.38, and 8.24 and 14.30% for Stay5, Stay6, and Stay7, respectively. A reduction in the average genetic superiorities in Stay7 would be expected if the selection were based on Stay5 or Stay6. Nonetheless, the reduction in EPD, depending on selection intensity, is on average 0.74 and 1.55%, respectively. Regressions of the sires' EBV for Stay5 and Stay6 on the sires' EBV for Stay7 confirmed these results. The heritability and genetic trend estimates for all stayability traits indicate that it is possible to improve fertility with selection based on a threshold analysis of stayability. The SD of EBV for stayability traits show that there is adequate genetic variability among animals to justify inclusion of stayability as a selection criterion. The potential linear relationship among stayability traits indicates that selection for improved female traits would be more effective by having predictions on the Stay5 trait.

Genetics and competing strategies in a threshold model for mail processing

Multi-agent algorithms inspired by the division of labour in social insects are applied to a problem of distributed mail retrieval in which agents must visit mail producing cities and choose between mail types under certain constraints.The efficiency (i.e. the average amount of mail retrieved per time step), and the flexibility (i.e. the capability of the agents to react to changes in the environment) are investigated both in static and dynamic environments. New rules for mail selection and specialisation are introduced and are shown to exhibit improved efficiency and flexibility compared to existing ones. We employ a genetic algorithm which allows the various rules to evolve and compete. Apart from obtaining optimised parameters for the various rules for any environment, we also observe extinction and speciation. From a more theoretical point of view, in order to avoid finite size effects, most results are obtained for large population sizes. However, we do analyse the influence of population size on the performance. Furthermore, we critically analyse the causes of efficiency loss, derive the exact dynamics of the model in the large system limit under certain conditions, derive theoretical upper bounds for the efficiency, and compare these with the experimental results.

Evolution of competing strategies in a threshold model for task allocation

A nature inspired decentralised multi-agent algorithm is proposed to solve a problem of distributed task allocation in which cities produce and store batches of different mail types. Agents must collect and process the mail batches, without global knowledge of their environment or communication between agents. The problem is constrained so that agents are penalised for switching mail types. When an agent process a mail batch of different type to the previous one, it must undergo a change-over, with repeated change-overs rendering the agent inactive. The efficiency (average amount of mail retrieved), and the flexibility (ability of the agents to react to changes in the environment) are investigated both in static and dynamic environments and with respect to sudden changes. New rules for mail selection and specialisation are proposed and are shown to exhibit improved efficiency and flexibility compared to existing ones. We employ a evolutionary algorithm which allows the various rules to evolve and compete. Apart from obtaining optimised parameters for the various rules for any environment, we also observe extinction and speciation.

The influence of memory in a threshold model for distributed task assignment

A nature inspired decentralised multi-agent algorithm is proposed to solve a problem of distributed task selection in which cities produce and store batches of different mail types. Agents must collect and process the mail batches, without a priori knowledge of the available mail at the cities or inter-agent communication. In order to process a different mail type than the previous one, agents must undergo a change-over during which it remains inactive. We propose a threshold based algorithm in order to maximise the overall efficiency (the average amount of mail collected). We show that memory, i.e. the possibility for agents to develop preferences for certain cities, not only leads to emergent cooperation between agents, but also to a significant increase in efficiency (above the theoretical upper limit for any memoryless algorithm), and we systematically investigate the influence of the various model parameters. Finally, we demonstrate the flexibility of the algorithm to changes in circumstances, and its excellent scalability.

A bidomain threshold model of propagating calcium waves

We present a bidomain fire-diffuse-fire model that facilitates mathematical analysis of propagating waves of elevated intracellular calcium (Ca) in living cells. Modelling Ca release as a threshold process allows the explicit construction of travelling wave solutions to probe the dependence of Ca wave speed on physiologically important parameters such as the threshold for Ca release from the endoplasmic reticulum (ER) to the cytosol, the rate of Ca resequestration from the cytosol to the ER, and the total [Ca] (cytosolic plus ER). Interestingly, linear stability analysis of the bidomain fire-diffuse-fire model predicts the onset of dynamic wave instabilities leading to the emergence of Ca waves that propagate in a back-and-forth manner. Numerical simulations are used to confirm the presence of these so-called "tango waves" and the dependence of Ca wave speed on the total [Ca]. The original publication is available at www.springerlink.com (Journal of Mathematical Biology)

Threshold Autoregressive Model for a Time Series Data

In this paper we try to fit a threshold autoregressive (TAR) model to time series data of monthly coconut oil prices at Cochin market. The procedure proposed by Tsay [7] for fitting the TAR model is briefly presented. The fitted model is compared with a simple autoregressive (AR) model. The results are in favour of TAR process. Thus the monthly coconut oil prices exhibit a type of non-linearity which can be accounted for by a threshold model.

Genetic correlations between categorical morphological traits in Nelore cattle by applying Bayesian analysis under a threshold animal model

P>In this study, Bayesian analysis under a threshold animal model was used to estimate genetic correlations between morphological traits (body structure, finishing precocity and muscling) in Nelore cattle evaluated at weaning and yearling. Visual scores obtained from 7651 Nelore cattle at weaning and from 4155 animals at yearling, belonging to the Brazilian Nelore Program, were used. Genetic parameters for the morphological traits were estimated by two-trait Bayesian analysis under a threshold animal model. The genetic correlations between the morphological traits evaluated at two ages of the animal (weaning and yearling) were positive and high for body structure (0.91), finishing precocity (0.96) and muscling (0.94). These results indicate that the traits are mainly determined by the same set of genes of additive action and that direct selection at weaning will also result in genetic progress for the same traits at yearling. Thus, selection of the best genotypes during only one phase of life of the animal is suggested. However, genetic differences between morphological traits were better detected during the growth phase to yearling. Direct selection for body structure, finishing precocity and muscling at only one age, preferentially at yearling, is recommended as genetic differences between traits can be detected at this age.

Genetic analysis of the temperament of Nellore cattle using linear and threshold models

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)