Evidence of the heterogeneous market hypothesis using wavelet multi -resolution analysis

In finance literature many economic theories and models have been proposed to explain and estimate the relationship between risk and return. Assuming risk averseness and rational behavior on part of the investor, the models are developed which are supposed to help in forming efficient portfolios that either maximize (minimize) the expected rate of return (risk) for a given level of risk (rates of return). One of the most used models to form these efficient portfolios is the Sharpe's Capital Asset Pricing Model (CAPM). In the development of this model it is assumed that the investors have homogeneous expectations about the future probability distribution of the rates of return. That is, every investor assumes the same values of the parameters of the probability distribution. Likewise financial volatility homogeneity is commonly assumed, where volatility is taken as investment risk which is usually measured by the variance of the rates of return. Typically the square root of the variance is used to define financial volatility, furthermore it is also often assumed that the data generating process is made of independent and identically distributed random variables. This again implies that financial volatility is measured from homogeneous time series with stationary parameters. In this dissertation, we investigate the assumptions of homogeneity of market agents and provide evidence for the case of heterogeneity in market participants' information, objectives, and expectations about the parameters of the probability distribution of prices as given by the differences in the empirical distributions corresponding to different time scales, which in this study are associated with different classes of investors, as well as demonstrate that statistical properties of the underlying data generating processes including the volatility in the rates of return are quite heterogeneous. In other words, we provide empirical evidence against the traditional views about homogeneity using non-parametric wavelet analysis on trading data, The results show heterogeneity of financial volatility at different time scales, and time-scale is one of the most important aspects in which trading behavior differs. In fact we conclude that heterogeneity as posited by the Heterogeneous Markets Hypothesis is the norm and not the exception.

Pyramid Multi-resolution Scanning for Two-sample Comparison

Testing for two-sample differences is challenging when the differences are local and only involve a small portion of the data. To solve this problem, we apply a multi- resolution scanning framework that performs dependent local tests on subsets of the sample space. We use a nested dyadic partition of the sample space to get a collection of windows and test for sample differences within each window. We put a joint prior on the states of local hypotheses that allows both vertical and horizontal message passing among the partition tree to reflect the spatial dependency features among windows. This information passing framework is critical to detect local sample differences. We use both the loopy belief propagation algorithm and MCMC to get the posterior null probability on each window. These probabilities are then used to report sample differences based on decision procedures. Simulation studies are conducted to illustrate the performance. Multiple testing adjustment and convergence of the algorithms are also discussed.

Modeling Techniques for the High-Resolution Interpretation of Cryo-Electron Microscopy Reconstructions

Essential biological processes are governed by organized, dynamic interactions between multiple biomolecular systems. Complexes are thus formed to enable the biological function and get dissembled as the process is completed. Examples of such processes include the translation of the messenger RNA into protein by the ribosome, the folding of proteins by chaperonins or the entry of viruses in host cells. Understanding these fundamental processes by characterizing the molecular mechanisms that enable then, would allow the (better) design of therapies and drugs. Such molecular mechanisms may be revealed trough the structural elucidation of the biomolecular assemblies at the core of these processes. Various experimental techniques may be applied to investigate the molecular architecture of biomolecular assemblies. High-resolution techniques, such as X-ray crystallography, may solve the atomic structure of the system, but are typically constrained to biomolecules of reduced flexibility and dimensions. In particular, X-ray crystallography requires the sample to form a three dimensional (3D) crystal lattice which is technically di‑cult, if not impossible, to obtain, especially for large, dynamic systems. Often these techniques solve the structure of the different constituent components within the assembly, but encounter difficulties when investigating the entire system. On the other hand, imaging techniques, such as cryo-electron microscopy (cryo-EM), are able to depict large systems in near-native environment, without requiring the formation of crystals. The structures solved by cryo-EM cover a wide range of resolutions, from very low level of detail where only the overall shape of the system is visible, to high-resolution that approach, but not yet reach, atomic level of detail. In this dissertation, several modeling methods are introduced to either integrate cryo-EM datasets with structural data from X-ray crystallography, or to directly interpret the cryo-EM reconstruction. Such computational techniques were developed with the goal of creating an atomic model for the cryo-EM data. The low-resolution reconstructions lack the level of detail to permit a direct atomic interpretation, i.e. one cannot reliably locate the atoms or amino-acid residues within the structure obtained by cryo-EM. Thereby one needs to consider additional information, for example, structural data from other sources such as X-ray crystallography, in order to enable such a high-resolution interpretation. Modeling techniques are thus developed to integrate the structural data from the different biophysical sources, examples including the work described in the manuscript I and II of this dissertation. At intermediate and high-resolution, cryo-EM reconstructions depict consistent 3D folds such as tubular features which in general correspond to alpha-helices. Such features can be annotated and later on used to build the atomic model of the system, see manuscript III as alternative. Three manuscripts are presented as part of the PhD dissertation, each introducing a computational technique that facilitates the interpretation of cryo-EM reconstructions. The first manuscript is an application paper that describes a heuristics to generate the atomic model for the protein envelope of the Rift Valley fever virus. The second manuscript introduces the evolutionary tabu search strategies to enable the integration of multiple component atomic structures with the cryo-EM map of their assembly. Finally, the third manuscript develops further the latter technique and apply it to annotate consistent 3D patterns in intermediate-resolution cryo-EM reconstructions. The first manuscript, titled An assembly model for Rift Valley fever virus, was submitted for publication in the Journal of Molecular Biology. The cryo-EM structure of the Rift Valley fever virus was previously solved at 27Å-resolution by Dr. Freiberg and collaborators. Such reconstruction shows the overall shape of the virus envelope, yet the reduced level of detail prevents the direct atomic interpretation. High-resolution structures are not yet available for the entire virus nor for the two different component glycoproteins that form its envelope. However, homology models may be generated for these glycoproteins based on similar structures that are available at atomic resolutions. The manuscript presents the steps required to identify an atomic model of the entire virus envelope, based on the low-resolution cryo-EM map of the envelope and the homology models of the two glycoproteins. Starting with the results of the exhaustive search to place the two glycoproteins, the model is built iterative by running multiple multi-body refinements to hierarchically generate models for the different regions of the envelope. The generated atomic model is supported by prior knowledge regarding virus biology and contains valuable information about the molecular architecture of the system. It provides the basis for further investigations seeking to reveal different processes in which the virus is involved such as assembly or fusion. The second manuscript was recently published in the of Journal of Structural Biology (doi:10.1016/j.jsb.2009.12.028) under the title Evolutionary tabu search strategies for the simultaneous registration of multiple atomic structures in cryo-EM reconstructions. This manuscript introduces the evolutionary tabu search strategies applied to enable a multi-body registration. This technique is a hybrid approach that combines a genetic algorithm with a tabu search strategy to promote the proper exploration of the high-dimensional search space. Similar to the Rift Valley fever virus, it is common that the structure of a large multi-component assembly is available at low-resolution from cryo-EM, while high-resolution structures are solved for the different components but lack for the entire system. Evolutionary tabu search strategies enable the building of an atomic model for the entire system by considering simultaneously the different components. Such registration indirectly introduces spatial constrains as all components need to be placed within the assembly, enabling the proper docked in the low-resolution map of the entire assembly. Along with the method description, the manuscript covers the validation, presenting the benefit of the technique in both synthetic and experimental test cases. Such approach successfully docked multiple components up to resolutions of 40Å. The third manuscript is entitled Evolutionary Bidirectional Expansion for the Annotation of Alpha Helices in Electron Cryo-Microscopy Reconstructions and was submitted for publication in the Journal of Structural Biology. The modeling approach described in this manuscript applies the evolutionary tabu search strategies in combination with the bidirectional expansion to annotate secondary structure elements in intermediate resolution cryo-EM reconstructions. In particular, secondary structure elements such as alpha helices show consistent patterns in cryo-EM data, and are visible as rod-like patterns of high density. The evolutionary tabu search strategy is applied to identify the placement of the different alpha helices, while the bidirectional expansion characterizes their length and curvature. The manuscript presents the validation of the approach at resolutions ranging between 6 and 14Å, a level of detail where alpha helices are visible. Up to resolution of 12 Å, the method measures sensitivities between 70-100% as estimated in experimental test cases, i.e. 70-100% of the alpha-helices were correctly predicted in an automatic manner in the experimental data. The three manuscripts presented in this PhD dissertation cover different computation methods for the integration and interpretation of cryo-EM reconstructions. The methods were developed in the molecular modeling software Sculptor (http://sculptor.biomachina.org) and are available for the scientific community interested in the multi-resolution modeling of cryo-EM data. The work spans a wide range of resolution covering multi-body refinement and registration at low-resolution along with annotation of consistent patterns at high-resolution. Such methods are essential for the modeling of cryo-EM data, and may be applied in other fields where similar spatial problems are encountered, such as medical imaging.

Optimal Multiresolution 3D Level-Set Method for Liver Segmentation incorporating Local Curvature Constraints

Advanced liver surgery requires a precise pre-operative planning, where liver segmentation and remnant liver volume are key elements to avoid post-operative liver failure. In that context, level-set algorithms have achieved better results than others, especially with altered liver parenchyma or in cases with previous surgery. In order to improve functional liver parenchyma volume measurements, in this work we propose two strategies to enhance previous level-set algorithms: an optimal multi-resolution strategy with fine details correction and adaptive curvature, as well as an additional semiautomatic step imposing local curvature constraints. Results show more accurate segmentations, especially in elongated structures, detecting internal lesions and avoiding leakages to close structures

Local optimal scale in a hierarchical segmentation method for satellite image: an OBIA approach for the agricultural landscape

Overrecentdecades,remotesensinghasemergedasaneffectivetoolforimprov- ing agriculture productivity. In particular, many works have dealt with the problem of identifying characteristics or phenomena of crops and orchards on different scales using remote sensed images. Since the natural processes are scale dependent and most of them are hierarchically structured, the determination of optimal study scales is mandatory in understanding these processes and their interactions. The concept of multi-scale/multi- resolution inherent to OBIA methodologies allows the scale problem to be dealt with. But for that multi-scale and hierarchical segmentation algorithms are required. The question that remains unsolved is to determine the suitable scale segmentation that allows different objects and phenomena to be characterized in a single image. In this work, an adaptation of the Simple Linear Iterative Clustering (SLIC) algorithm to perform a multi-scale hierarchi- cal segmentation of satellite images is proposed. The selection of the optimal multi-scale segmentation for different regions of the image is carried out by evaluating the intra- variability and inter-heterogeneity of the regions obtained on each scale with respect to the parent-regions defined by the coarsest scale. To achieve this goal, an objective function, that combines weighted variance and the global Moran index, has been used. Two different kinds of experiment have been carried out, generating the number of regions on each scale through linear and dyadic approaches. This methodology has allowed, on the one hand, the detection of objects on different scales and, on the other hand, to represent them all in a sin- gle image. Altogether, the procedure provides the user with a better comprehension of the land cover, the objects on it and the phenomena occurring.

Umbrella pine above ground biomass estimation with very high spatial resolution satellite images

Above ground biomass is frequently estimated with forest inventory data and an extrapolation method for the per unit area evaluations. This procedure is labour demanding and costly. In this study above ground biomass functions, whose independent variable is crown horizontal projection, were developed. Multi-resolution segmentation method and object-oriented classification, based on very high spatial resolution satellite images, were used to obtain the area of tree crown horizontal projection for umbrella pine (Pinus pinea L.). A set of inventory plots were measured and with existing allometric functions for this species above ground biomass per tree and per plot were calculated. The two data sets were used to fit linear functions both for individual plot and their cumulative values. The results show a good performance of the models. Errors smaller than 10% are obtained for stand areas greater than 1.4 ha. These functions have the advantages of estimating above ground biomass for all the area under study or surveillance, not requiring forest inventory; allow monitoring in short time periods; and are easily implemented in a geographical information system environment.

Above ground biomass estimation in Mediterranean multiple use systems with high spatial resolution satellite images

Forest biomass has been having an increasing importance in the world economy and in the evaluation of the forests development and monitoring. It was identified as a global strategic reserve, due to its applications in bioenergy, bioproduct development and issues related to reducing greenhouse gas emissions. The estimation of above ground biomass is frequently done with allometric functions per species with plot inventory data. An adequate sampling design and intensity for an error threshold is required. The estimation per unit area is done using an extrapolation method. This procedure is labour demanding and costly. The mail goal of this study is the development of allometric functions for the estimation of above ground biomass with ground cover as independent variable, for forest areas of holm aok (Quercus rotundifolia), cork oak (Quercus suber) and umbrella pine (Pinus pinea) in multiple use systems. Ground cover per species was derived from crown horizontal projection obtained by processing high resolution satellite images, orthorectified, geometrically and atmospheric corrected, with multi-resolution segmentation method and object oriented classification. Forest inventory data were used to estimate plot above ground biomass with published allometric functions at tree level. The developed functions were fitted for monospecies stands and for multispecies stands of Quercus rotundifolia and Quercus suber, and Quercus suber and Pinus pinea. The stand composition was considered adding dummy variables to distinguish monospecies from multispecies stands. The models showed a good performance. Noteworthy is that the dummy variables, reflecting the differences between species, originated improvements in the models. Significant differences were found for above ground biomass estimation with the functions with and without the dummy variables. An error threshold of 10% corresponds to stand areas of about 40 ha. This method enables the overall area evaluation, not requiring extrapolation procedures, for the three species, which occur frequently in multispecies stands.

An adaptive neural-wavelet model for short term load forecasting

This paper proposed a novel model for short term load forecast in the competitive electricity market. The prior electricity demand data are treated as time series. The forecast model is based on wavelet multi-resolution decomposition by autocorrelation shell representation and neural networks (multilayer perceptrons, or MLPs) modeling of wavelet coefficients. To minimize the influence of noisy low level coefficients, we applied the practical Bayesian method Automatic Relevance Determination (ARD) model to choose the size of MLPs, which are then trained to provide forecasts. The individual wavelet domain forecasts are recombined to form the accurate overall forecast. The proposed method is tested using Queensland electricity demand data from the Australian National Electricity Market. (C) 2001 Elsevier Science B.V. All rights reserved.

Multi-scale modeling of the mechanical behavior of polymer-based materials

Polymers have become the reference material for high reliability and performance applications. In this work, a multi-scale approach is proposed to investigate the mechanical properties of polymeric based material under strain. To achieve a better understanding of phenomena occurring at the smaller scales, a coupling of a Finite Element Method (FEM) and Molecular Dynamics (MD) modeling in an iterative procedure was employed, enabling the prediction of the macroscopic constitutive response. As the mechanical response can be related to the local microstructure, which in turn depends on the nano-scale structure, the previous described multi-scale method computes the stress-strain relationship at every analysis point of the macro-structure by detailed modeling of the underlying micro- and meso-scale deformation phenomena. The proposed multi-scale approach can enable prediction of properties at the macroscale while taking into consideration phenomena that occur at the mesoscale, thus offering an increased potential accuracy compared to traditional methods.

Connectome alterations in schizophrenia

Introduction : DTI has proven to be an exquisite biomarker of tissue microstructure integrity. This technique has been successfully applied to schizophrenia in showing that fractional anisotropy (FA, a marker of white matter integrity) is diminished in several areas of the brain (Kyriakopoulos M et al (2008)). New ways of representing diffusion data emerged recently and achieved to create structural connectivity maps in healthy brains (Hagmann P et al. (2008)). These maps have the capacity to study alterations over the entire brain at the connection and network level. This is of high interest in complex disconnection diseases like schizophrenia. We report on the specific network alterations of schizophrenic patients. Methods : 13 patients with chronic schizophrenia were recruited from in-patient, day treatment, out-patient clinics. Comparison subjects were recruited and group-matched to patients on age, sex, handedness, and parental social economic-status. This study was approved by the local IRB and subjects had to give informed written consent. They were scanned with a 3T clinical MRI scanner. DTI and high-resolution anatomical T1w imaging were performed during the same session. The path from diffusion MRI to a multi-resolution structural connection matrices of the entire brain is a five steps process that was performed in a similar way as described in Hagmann P et al. (2008). (1) DTI and T1w MRI of the brain, (2) segmentation of white and gray matter, (3) white matter tractography, (4) segmentation of the cortex into 242 ROIs of equal surface area covering the entire cortex (Fig 1), (5) the connection network was constructed by measuring for each ROI to ROI connection the related average FA along the corresponding tract. Results : For every connection between 2 ROIs of the network we tested the hypothesis H0: "average FA along fiber pathway is larger or equal in patients than in controls". H0 was rejected for connections where average FA in a connection was significantly lower in patients than in controls. Threshold p-value was 0.01 corrected for multiple comparisons with false discovery rate. We identified consistently that temporal, occipito-temporal, precuneo-temporal as well as frontal inferior and precuneo-cingulate connections were altered (Fig 2: significant connections in yellow). This is in agreement with the known literature, which showed across several studies that FA is diminished in several areas of the brain. More precisely, abnormalities were reported in the prefrontal and temporal white matter and to some extent also in the parietal and occipital regions. The alterations reported in the literature specifically included the corpus callosum, the arcuate fasciculus and the cingulum bundle, which was the case here as well. In addition small world indexes are significantly reduced in patients (p<0.01) (Fig. 3). Conclusions : Using connectome mapping to characterize differences in structural connectivity between healthy and diseased subjects we were able to show widespread connectional alterations in schizophrenia patients and systematic small worldness decrease, which is a marker of network desorganization. More generally, we described a method that has the capacity to sensitively identify structure alterations in complex disconnection syndromes where lesions are widespread throughout the connectional network.

Super-resolution of remotely sensed images with variable-pixel linear reconstruction

This paper describes the development and applications of a super-resolution method, known as Super-Resolution Variable-Pixel Linear Reconstruction. The algorithm works combining different lower resolution images in order to obtain, as a result, a higher resolution image. We show that it can make significant spatial resolution improvements to satellite images of the Earth¿s surface allowing recognition of objects with size approaching the limiting spatial resolution of the lower resolution images. The algorithm is based on the Variable-Pixel Linear Reconstruction algorithm developed by Fruchter and Hook, a well-known method in astronomy but never used for Earth remote sensing purposes. The algorithm preserves photometry, can weight input images according to the statistical significance of each pixel, and removes the effect of geometric distortion on both image shape and photometry. In this paper, we describe its development for remote sensing purposes, show the usefulness of the algorithm working with images as different to the astronomical images as the remote sensing ones, and show applications to: 1) a set of simulated multispectral images obtained from a real Quickbird image; and 2) a set of multispectral real Landsat Enhanced Thematic Mapper Plus (ETM+) images. These examples show that the algorithm provides a substantial improvement in limiting spatial resolution for both simulated and real data sets without significantly altering the multispectral content of the input low-resolution images, without amplifying the noise, and with very few artifacts.

Logarithme d'harmoniques sphériques pour le rendu d'ombres douces de champs de hauteurs et de maillages

Les ombres sont un élément important pour la compréhension d'une scène. Grâce à elles, il est possible de résoudre des situations autrement ambigües, notamment concernant les mouvements, ou encore les positions relatives des objets de la scène. Il y a principalement deux types d'ombres: des ombres dures, aux limites très nettes, qui résultent souvent de lumières ponctuelles ou directionnelles; et des ombres douces, plus floues, qui contribuent à l'atmosphère et à la qualité visuelle de la scène. Les ombres douces résultent de grandes sources de lumière, comme des cartes environnementales, et sont difficiles à échantillonner efficacement en temps réel. Lorsque l'interactivité est prioritaire sur la qualité, des méthodes d'approximation peuvent être utilisées pour améliorer le rendu d'une scène à moindre coût en temps de calcul. Nous calculons interactivement les ombres douces résultant de sources de lumière environnementales, pour des scènes composées d'objets en mouvement et d'un champ de hauteurs dynamique. Notre méthode enrichit la méthode d'exponentiation des harmoniques sphériques, jusque là limitée aux bloqueurs sphériques, pour pouvoir traiter des champs de hauteurs. Nous ajoutons également une représentation pour les BRDFs diffuses et glossy. Nous pouvons ainsi combiner les visibilités et BRDFs dans un même espace, afin de calculer efficacement les ombres douces et les réflexions de scènes complexes. Un algorithme hybride, qui associe les visibilités en espace écran et en espace objet, permet de découpler la complexité des ombres de la complexité de la scène.

Feature Extraction Methods Based on Linear Predictive Coding and Wavelet Packet Decomposition for Recognizing Spoken Words in Malayalam

Speech signals are one of the most important means of communication among the human beings. In this paper, a comparative study of two feature extraction techniques are carried out for recognizing speaker independent spoken isolated words. First one is a hybrid approach with Linear Predictive Coding (LPC) and Artificial Neural Networks (ANN) and the second method uses a combination of Wavelet Packet Decomposition (WPD) and Artificial Neural Networks. Voice signals are sampled directly from the microphone and then they are processed using these two techniques for extracting the features. Words from Malayalam, one of the four major Dravidian languages of southern India are chosen for recognition. Training, testing and pattern recognition are performed using Artificial Neural Networks. Back propagation method is used to train the ANN. The proposed method is implemented for 50 speakers uttering 20 isolated words each. Both the methods produce good recognition accuracy. But Wavelet Packet Decomposition is found to be more suitable for recognizing speech because of its multi-resolution characteristics and efficient time frequency localizations

Single Frame Image Super Resolution Using Learned Directionlets

In this paper, a new directionally adaptive, learning based, single image super resolution method using multiple direction wavelet transform, called Directionlets is presented. This method uses directionlets to effectively capture directional features and to extract edge information along different directions of a set of available high resolution images .This information is used as the training set for super resolving a low resolution input image and the Directionlet coefficients at finer scales of its high-resolution image are learned locally from this training set and the inverse Directionlet transform recovers the super-resolved high resolution image. The simulation results showed that the proposed approach outperforms standard interpolation techniques like Cubic spline interpolation as well as standard Wavelet-based learning, both visually and in terms of the mean squared error (mse) values. This method gives good result with aliased images also.