Random diffusion and leverage effect in financial markets

We prove that Brownian market models with random diffusion coefficients provide an exact measure of the leverage effect [J-P. Bouchaud et al., Phys. Rev. Lett. 87, 228701 (2001)]. This empirical fact asserts that past returns are anticorrelated with future diffusion coefficient. Several models with random diffusion have been suggested but without a quantitative study of the leverage effect. Our analysis lets us to fully estimate all parameters involved and allows a deeper study of correlated random diffusion models that may have practical implications for many aspects of financial markets.

Estimation of jump-diffusion processes via empirical characteristic functions

Preface The starting point for this work and eventually the subject of the whole thesis was the question: how to estimate parameters of the affine stochastic volatility jump-diffusion models. These models are very important for contingent claim pricing. Their major advantage, availability T of analytical solutions for characteristic functions, made them the models of choice for many theoretical constructions and practical applications. At the same time, estimation of parameters of stochastic volatility jump-diffusion models is not a straightforward task. The problem is coming from the variance process, which is non-observable. There are several estimation methodologies that deal with estimation problems of latent variables. One appeared to be particularly interesting. It proposes the estimator that in contrast to the other methods requires neither discretization nor simulation of the process: the Continuous Empirical Characteristic function estimator (EGF) based on the unconditional characteristic function. However, the procedure was derived only for the stochastic volatility models without jumps. Thus, it has become the subject of my research. This thesis consists of three parts. Each one is written as independent and self contained article. At the same time, questions that are answered by the second and third parts of this Work arise naturally from the issues investigated and results obtained in the first one. The first chapter is the theoretical foundation of the thesis. It proposes an estimation procedure for the stochastic volatility models with jumps both in the asset price and variance processes. The estimation procedure is based on the joint unconditional characteristic function for the stochastic process. The major analytical result of this part as well as of the whole thesis is the closed form expression for the joint unconditional characteristic function for the stochastic volatility jump-diffusion models. The empirical part of the chapter suggests that besides a stochastic volatility, jumps both in the mean and the volatility equation are relevant for modelling returns of the S&P500 index, which has been chosen as a general representative of the stock asset class. Hence, the next question is: what jump process to use to model returns of the S&P500. The decision about the jump process in the framework of the affine jump- diffusion models boils down to defining the intensity of the compound Poisson process, a constant or some function of state variables, and to choosing the distribution of the jump size. While the jump in the variance process is usually assumed to be exponential, there are at least three distributions of the jump size which are currently used for the asset log-prices: normal, exponential and double exponential. The second part of this thesis shows that normal jumps in the asset log-returns should be used if we are to model S&P500 index by a stochastic volatility jump-diffusion model. This is a surprising result. Exponential distribution has fatter tails and for this reason either exponential or double exponential jump size was expected to provide the best it of the stochastic volatility jump-diffusion models to the data. The idea of testing the efficiency of the Continuous ECF estimator on the simulated data has already appeared when the first estimation results of the first chapter were obtained. In the absence of a benchmark or any ground for comparison it is unreasonable to be sure that our parameter estimates and the true parameters of the models coincide. The conclusion of the second chapter provides one more reason to do that kind of test. Thus, the third part of this thesis concentrates on the estimation of parameters of stochastic volatility jump- diffusion models on the basis of the asset price time-series simulated from various "true" parameter sets. The goal is to show that the Continuous ECF estimator based on the joint unconditional characteristic function is capable of finding the true parameters. And, the third chapter proves that our estimator indeed has the ability to do so. Once it is clear that the Continuous ECF estimator based on the unconditional characteristic function is working, the next question does not wait to appear. The question is whether the computation effort can be reduced without affecting the efficiency of the estimator, or whether the efficiency of the estimator can be improved without dramatically increasing the computational burden. The efficiency of the Continuous ECF estimator depends on the number of dimensions of the joint unconditional characteristic function which is used for its construction. Theoretically, the more dimensions there are, the more efficient is the estimation procedure. In practice, however, this relationship is not so straightforward due to the increasing computational difficulties. The second chapter, for example, in addition to the choice of the jump process, discusses the possibility of using the marginal, i.e. one-dimensional, unconditional characteristic function in the estimation instead of the joint, bi-dimensional, unconditional characteristic function. As result, the preference for one or the other depends on the model to be estimated. Thus, the computational effort can be reduced in some cases without affecting the efficiency of the estimator. The improvement of the estimator s efficiency by increasing its dimensionality faces more difficulties. The third chapter of this thesis, in addition to what was discussed above, compares the performance of the estimators with bi- and three-dimensional unconditional characteristic functions on the simulated data. It shows that the theoretical efficiency of the Continuous ECF estimator based on the three-dimensional unconditional characteristic function is not attainable in practice, at least for the moment, due to the limitations on the computer power and optimization toolboxes available to the general public. Thus, the Continuous ECF estimator based on the joint, bi-dimensional, unconditional characteristic function has all the reasons to exist and to be used for the estimation of parameters of the stochastic volatility jump-diffusion models.

On evaluating the accuracy and biological plausibility of diffusion MRI tractograms

In diffusion MRI, traditional tractography algorithms do not recover truly quantitative tractograms and the structural connectivity has to be estimated indirectly by counting the number of fiber tracts or averaging scalar maps along them. Recently, global and efficient methods have emerged to estimate more quantitative tractograms by combining tractography with local models for the diffusion signal, like the Convex Optimization Modeling for Microstructure Informed Tractography (COMMIT) framework. In this abstract, we show the importance of using both (i) proper multi-compartment diffusion models and (ii) adequate multi-shell acquisitions, in order to evaluate the accuracy and the biological plausibility of the tractograms.

Front spreading in population dynamic models. Theory and application to the Neolithic transition

This thesis presents population dynamics models that can be applied to predict the rate of spread of the Neolithic transition (change from hunter-gathering to farming economics) across the European continent, which took place about 9000 to 5000 years ago. The first models in this thesis provide predictions at a continental scale. We develop population dynamics models with explicit kernels and apply realistic data. We also derive a new time-delayed reaction-diffusion equation which yields speeds about a 10% slower than previous models. We also deal with a regional variability: the slowdown of the Neolithic front when reaching the North of Europe. We develop simple reaction-diffusion models that can predict the measured speeds in terms of the non-homogeneous distribution of pre-Neolithic (Mesolithic) population in Europe, which were present in higher densities at the North of the continent. Such models can explain the observed speeds.

Long-term diffusion experiment at Mont Terri: first results from field and laboratory data

The diffusion of radionuclides is an important safety aspect for nuclear waste disposal in argillaceous host rocks. A long-term diffusion experiment, termed DI-A, is being carried out at the Mont Terri Rock Laboratory in the Opalinus Clay formation. The aim of this experiment is the understanding of the migration and sorption behaviour of cationic and anionic species in consolidated clays. This study reports on the experimental layout and the first results obtained from the DI-A experiment, which include the investigation of HTO, Na-22(+), Cs+, and I- migration during a period of 1 year by analysing these tracers in the water circulating in the borehole. In addition, results obtained from through-diffusion experiments on small-sized samples with HTO, I-, and Cl-36(-) are presented. The decrease of tracer concentrations in the borehole is fastest for Cs+, followed by Na-22(+), HTO, and finally I-. The chemical composition of the artificial pore water in the borehole shows very little variation with time, thus indicating almost no chemical disturbance around the borehole. Through-diffusion experiments in the laboratory that were performed parallel to the bedding plane with two different methods yielded effective diffusion coefficients for HTO of 4-5 X 10(-11) m(2) s(-1) and significantly lower ones for anions Cl- and I- (0.7-1.6 X 10(-11) m(2) s(-1)). The results indicate the importance of anion exclusion effects arising from the negatively charged clay surfaces. Furthermore, they demonstrate the anisotropic diffusion properties of the clay formation with significantly increased diffusion rates parallel to bedding relative to the perpendicular direction. The tracer data of the in situ experiment were successfully described with 2D diffusion models using diffusion and sorption parameters obtained from the above mentioned and other laboratory studies. The modelling results indicate that HTO and I- diffused with no retardation. The retardation of Na+ and Cs+ could be described by empirical sorption expressions from previously derived batch sorption (Cs+) or diffusion (Na+) experiments. Overall, the obtained results demonstrate the feasibility of the technical concept to study the diffusion of nonsorbing and sorbing tracers in consolidated clays. (C) 2004 Elsevier B.V. All rights reserved.

NOVEL PHANTOMS AND POST-PROCESSING FOR DIFFUSION SPECTRUM IMAGING

High Angular Resolution Diffusion Imaging (HARDI) techniques, including Diffusion Spectrum Imaging (DSI), have been proposed to resolve crossing and other complex fiber architecture in the human brain white matter. In these methods, directional information of diffusion is inferred from the peaks in the orientation distribution function (ODF). Extensive studies using histology on macaque brain, cat cerebellum, rat hippocampus and optic tracts, and bovine tongue are qualitatively in agreement with the DSI-derived ODFs and tractography. However, there are only two studies in the literature which validated the DSI results using physical phantoms and both these studies were not performed on a clinical MRI scanner. Also, the limited studies which optimized DSI in a clinical setting, did not involve a comparison against physical phantoms. Finally, there is lack of consensus on the necessary pre- and post-processing steps in DSI; and ground truth diffusion fiber phantoms are not yet standardized. Therefore, the aims of this dissertation were to design and construct novel diffusion phantoms, employ post-processing techniques in order to systematically validate and optimize (DSI)-derived fiber ODFs in the crossing regions on a clinical 3T MR scanner, and develop user-friendly software for DSI data reconstruction and analysis. Phantoms with a fixed crossing fiber configuration of two crossing fibers at 90° and 45° respectively along with a phantom with three crossing fibers at 60°, using novel hollow plastic capillaries and novel placeholders, were constructed. T2-weighted MRI results on these phantoms demonstrated high SNR, homogeneous signal, and absence of air bubbles. Also, a technique to deconvolve the response function of an individual peak from the overall ODF was implemented, in addition to other DSI post-processing steps. This technique greatly improved the angular resolution of the otherwise unresolvable peaks in a crossing fiber ODF. The effects of DSI acquisition parameters and SNR on the resultant angular accuracy of DSI on the clinical scanner were studied and quantified using the developed phantoms. With a high angular direction sampling and reasonable levels of SNR, quantification of a crossing region in the 90°, 45° and 60° phantoms resulted in a successful detection of angular information with mean ± SD of 86.93°±2.65°, 44.61°±1.6° and 60.03°±2.21° respectively, while simultaneously enhancing the ODFs in regions containing single fibers. For the applicability of these validated methodologies in DSI, improvement in ODFs and fiber tracking from known crossing fiber regions in normal human subjects were demonstrated; and an in-house software package in MATLAB which streamlines the data reconstruction and post-processing for DSI, with easy to use graphical user interface was developed. In conclusion, the phantoms developed in this dissertation offer a means of providing ground truth for validation of reconstruction and tractography algorithms of various diffusion models (including DSI). Also, the deconvolution methodology (when applied as an additional DSI post-processing step) significantly improved the angular accuracy of the ODFs obtained from DSI, and should be applicable to ODFs obtained from the other high angular resolution diffusion imaging techniques.

Coalbed methane sorption related to coal composition

Gas sorption by coal is closely related to its physical and chemical properties, which are, in turn, governed by coal type and rank. The role of coal type (sensu maceral composition) is not fully established but it is clear that coal type may affect both adsorption capacity and desorption rate. Adsorption capacity is closely related to micropore (pores <2 nm) development, which is rank and maceral dependent. Adsorption isotherms indicate that in most cases bright (vitrinite-rich) coals have a greater adsorption capacity than their dull (often inertinite-rich) equivalents. However, no differences, or even the opposing trend, may be observed in relation to coal type. Desorption rate investigations have been performed using selected bright and dull coal samples in a high pressure microbalance. Interpretation of results using unipore spherical and bidisperse pore models indicate the importance of the pore structure. Bright, vitrinite-rich coals usually have the slowest desorption rates which is associated with their highly microporous structure. However, rapid desorption in bright coals may be related to development of extensive, unmineralised fracture systems. Both macro-and micro-pore systems are implicated in the more rapidly desorbing dull coals. Some dull, inertinite-rich coals may rapidly desorb due to a predominance of large, open cell lumina. Mineral matter is essentially nonadsorbent to coal gases and acts as a simple diluent. However, mineral-rich coals may be associated with more rapid desorption. Coal rank and type (maceral composition) per se do not appear to be the critical factors in controlling gas sorption, but rather the influence they exert over pore structure development. (C) 1998 Elsevier Science B.V.

Vertical fluxes of sediment in oscillatory sheet flow

Time series of vertical sediment fluxes are derived from concentration time series in sheet flow under waves. While the concentrations C(z,t) vary very little with time for \z\ < 10d(50), the measured vertical sediment fluxes Q(zs)(z,t) vary strongly with time in this vertical band and their time variation follows, to some extent, the variation of the grain roughness Shields parameter 02,5(t). Thus, sediment distribution models based on the pickup function boundary condition are in some qualitative agreement with the measurements. However, the pickup function models are only able to model the upward bursts of sediment during the accelerating phases of the flow. They are, so far, unable to model the following strong downward sediment fluxes, which are observed during the periods of flow deceleration. Classical pickup functions, which essentially depend on the Shields parameter, are also incapable of modelling the secondary entrainment fluxes, which sometimes occur at free stream velocity reversal. The measured vertical fluxes indicate that the effective sediment settling velocity in the high [(0.3 < C(z,t) < 0.4] concentration area is typically only a few percent of the clear water settling velocity, while the measurements of Richardson and Jeronimo [Chem. Eng. Sci. 34 (1979) 1419], from a different physical setting, lead to estimates of the order 20%. The data does not support gradient diffusion as a model for sediment entrainment from the bed. That is, detailed modelling of the observed near-bed fluxes would require diffusivities that go negative during periods of flow deceleration. An observed general trend for concentration variability to increase with elevation close to the bed is also irreconcilable with diffusion models driven by a bottom boundary condition. (C) 2002 Published by Elsevier Science B.V.

Neolithic transitions: can genetic data help us understand a major demographic event in human prehistory?

Dissertation presented to obtain the Ph.D degree in Biology

Simulação de espectros de ressonância paramagnética eletrônica (RPE) através do programa NLSL

EPR users often face the problem of extracting information from frequently low-resolution and complex EPR spectra. Simulation programs that provide a series of parameters, characteristic of the investigated system, have been used to achieve this goal. This work describes the general aspects of one of those programs, the NLSL program, used to fit EPR spectra applying a nonlinear least squares method. Several motion regimes of the probes are included in this computational tool, covering a broad range of spectral changes. The meanings of the different parameters and rotational diffusion models are discussed. The anisotropic case is also treated by including an orienting potential and order parameters. Some examples are presented in order to show its applicability in different systems.

A Theoretical Comparison Between Integrated and Realized Volatilies

In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion the difference between the realized and the integrated volatilities for a given frequency of observations. Then, we compute the mean and variance of this noise and the correlation between the noise and the integrated volatility in the Eigenfunction Stochastic Volatility model of Meddahi (2001a). This model has, as special examples, log-normal, affine, and GARCH diffusion models. Using some previous empirical works, we show that the standard deviation of the noise is not negligible with respect to the mean and the standard deviation of the integrated volatility, even if one considers returns at five minutes. We also propose a simple approach to capture the information about the integrated volatility contained in the returns through the leverage effect.

On the design of customized risk measures in insurance, the problem of capital allocation and the theory of fluctuations for Lévy processes

Dans cette thèse, nous étudions quelques problèmes fondamentaux en mathématiques financières et actuarielles, ainsi que leurs applications. Cette thèse est constituée de trois contributions portant principalement sur la théorie de la mesure de risques, le problème de l’allocation du capital et la théorie des fluctuations. Dans le chapitre 2, nous construisons de nouvelles mesures de risque cohérentes et étudions l’allocation de capital dans le cadre de la théorie des risques collectifs. Pour ce faire, nous introduisons la famille des "mesures de risque entropique cumulatifs" (Cumulative Entropic Risk Measures). Le chapitre 3 étudie le problème du portefeuille optimal pour le Entropic Value at Risk dans le cas où les rendements sont modélisés par un processus de diffusion à sauts (Jump-Diffusion). Dans le chapitre 4, nous généralisons la notion de "statistiques naturelles de risque" (natural risk statistics) au cadre multivarié. Cette extension non-triviale produit des mesures de risque multivariées construites à partir des données financiéres et de données d’assurance. Le chapitre 5 introduit les concepts de "drawdown" et de la "vitesse d’épuisement" (speed of depletion) dans la théorie de la ruine. Nous étudions ces concepts pour des modeles de risque décrits par une famille de processus de Lévy spectrallement négatifs.

Theory and numerical integration of subsurface light transport

En synthèse d’images, reproduire les effets complexes de la lumière sur des matériaux transluminescents, tels que la cire, le marbre ou la peau, contribue grandement au réalisme d’une image. Malheureusement, ce réalisme supplémentaire est couteux en temps de calcul. Les modèles basés sur la théorie de la diffusion visent à réduire ce coût en simulant le comportement physique du transport de la lumière sous surfacique tout en imposant des contraintes de variation sur la lumière incidente et sortante. Une composante importante de ces modèles est leur application à évaluer hiérarchiquement l’intégrale numérique de l’illumination sur la surface d’un objet. Cette thèse révise en premier lieu la littérature actuelle sur la simulation réaliste de la transluminescence, avant d’investiguer plus en profondeur leur application et les extensions des modèles de diffusion en synthèse d’images. Ainsi, nous proposons et évaluons une nouvelle technique d’intégration numérique hiérarchique utilisant une nouvelle analyse fréquentielle de la lumière sortante et incidente pour adapter efficacement le taux d’échantillonnage pendant l’intégration. Nous appliquons cette théorie à plusieurs modèles qui correspondent à l’état de l’art en diffusion, octroyant une amélioration possible à leur efficacité et précision.

Theoretical and experimental approaches towards the determination of solute effective diffusivities in foods

The aim of this review paper is to present experimental methodologies and the mathematical approaches used to determine effective diffusivities of solutes in food materials. The paper commences by describing the diffusion phenomena related to solute mass transfer in foods and effective diffusivities. It then focuses on the mathematical formulation for the calculation of effective diffusivities considering different diffusion models based on Fick's second law of diffusion. Finally, experimental considerations for effective diffusivity determination are elucidated primarily based on the acquirement of a series of solute content versus time curves appropriate to the equation model chosen. Different factors contributing to the determination of the effective diffusivities such as the structure of food material, temperature, diffusion solvent, agitation, sampling, concentration and different techniques used are considered. (c) 2005 Elsevier Inc. All rights reserved.

An Experimental Study of Submerged Entry Nozzles (SEN) Focusing on Decarburization and Clogging

The submerged entry nozzle (SEN) is used to transport the molten steel from a tundish to a mould. The main purpose of its usage is to prevent oxygen and nitrogen pick-up by molten steel from the gas. Furthermore, to achieve the desired flow conditions in the mould. Therefore, the SEN can be considered as a vital factor for a stable casting process and the steel quality. In addition, the steelmaking processes occur at high temperatures around 1873 K, so the interaction between the refractory materials of the SEN and molten steel is unavoidable. Therefore, the knowledge of the SEN behaviors during preheating and casting processes is necessary for the design of the steelmaking processes  The internal surfaces of modern SENs are coated with a glass/silicon powder layer to prevent the SEN graphite oxidation during preheating. The effects of the interaction between the coating layer and the SEN base refractory materials on clogging were studied. A large number of accretion samples formed inside alumina-graphite clogged SENs were examined using FEG-SEM-EDS and Feature analysis. The internal coated SENs were used for continuous casting of stainless steel grades alloyed with Rare Earth Metals (REM). The post-mortem study results clearly revealed the formation of a multi-layer accretion. A harmful effect of the SENs decarburization on the accretion thickness was also indicated. In addition, the results indicated a penetration of the formed alkaline-rich glaze into the alumina-graphite base refractory. More specifically, the alkaline-rich glaze reacts with graphite to form a carbon monoxide gas. Thereafter, dissociation of CO at the interface between SEN and molten metal takes place. This leads to reoxidation of dissolved alloying elements such as REM (Rare Earth Metal). This reoxidation forms the “In Situ” REM oxides at the interface between the SEN and the REM alloyed molten steel. Also, the interaction of the penetrated glaze with alumina in the SEN base refractory materials leads to the formation of a high-viscous alumina-rich glaze during the SEN preheating process. This, in turn, creates a very uneven surface at the SEN internal surface. Furthermore, these uneven areas react with dissolved REM in molten steel to form REM aluminates, REM silicates and REM alumina-silicates. The formation of the large “in-situ” REM oxides and the reaction of the REM alloying elements with the previously mentioned SEN´s uneven areas may provide a large REM-rich surface in contact with the primary inclusions in molten steel. This may facilitate the attraction and agglomeration of the primary REM oxide inclusions on the SEN internal surface and thereafter the clogging. The study revealed the disadvantages of the glass/silicon powder coating applications and the SEN decarburization. The decarburization behaviors of Al2O3-C, ZrO2-C and MgO-C refractory materials from a commercial Submerged Entry Nozzle (SEN), were also investigated for different gas atmospheres consisting of CO2, O2 and Ar. The gas ratio values were kept the same as it is in a propane combustion flue gas at different Air-Fuel-Ratio (AFR) values for both Air-Fuel and Oxygen-Fuel combustion systems. Laboratory experiments were carried out under nonisothermal conditions followed by isothermal heating. The decarburization ratio (α) values of all three refractory types were determined by measuring the real time weight losses of the samples. The results showed the higher decarburization ratio (α) values increasing for MgO-C refractory when changing the Air-Fuel combustion to Oxygen-Fuel combustion at the same AFR value. It substantiates the SEN preheating advantage at higher temperatures for shorter holding times compared to heating at lower temperatures during longer holding times for Al2O3-C samples. Diffusion models were proposed for estimation of the decarburization rate of an Al2O3-C refractory in the SEN. Two different methods were studied to prevent the SEN decarburization during preheating: The effect of an ZrSi2 antioxidant and the coexistence of an antioxidant additive and a (4B2O3 ·BaO) glass powder on carbon oxidation for non-isothermal and isothermal heating conditions in a controlled atmosphere. The coexistence of 8 wt% ZrSi2 and 15 wt% (4B2O3 ·BaO) glass powder of the total alumina-graphite refractory base materials, presented the most effective resistance to carbon oxidation. The 121% volume expansion due to the Zircon formation during heating and filling up the open pores by a (4B2O3 ·BaO) glaze during the green body sintering led to an excellent carbon oxidation resistance. The effects of the plasma spray-PVD coating of the Yttria Stabilized Zirconia (YSZ) powder on the carbon oxidation of the Al2O3-C coated samples were investigated. Trials were performed at non-isothermal heating conditions in a controlled atmosphere. Also, the applied temperature profile for the laboratory trials were defined based on the industrial preheating trials. The controlled atmospheres consisted of CO2, O2 and Ar. The thicknesses of the decarburized layers were measured and examined using light optic microscopy, FEG-SEM and EDS. A 250-290 μm YSZ coating is suggested to be an appropriate coating, as it provides both an even surface as well as prevention of the decarburization even during heating in air. In addition, the interactions between the YSZ coated alumina-graphite refractory base materials in contact with a cerium alloyed molten stainless steel were surveyed. The YSZ coating provided a total prevention of the alumina reduction by cerium. Therefore, the prevention of the first clogging product formed on the surface of the SEN refractory base materials. Therefore, the YSZ plasma-PVD coating can be recommended for coating of the hot surface of the commercial SENs.