On Option Price Information Content and Extraction of Implied Probability Distributions

In this study we used market settlement prices of European call options on stock index futures to extract implied probability distribution function (PDF). The method used produces a PDF of returns of an underlying asset at expiration date from implied volatility smile. With this method, the assumption of lognormal distribution (Black-Scholes model) is tested. The market view of the asset price dynamics can then be used for various purposes (hedging, speculation). We used the so called smoothing approach for implied PDF extraction presented by Shimko (1993). In our analysis we obtained implied volatility smiles from index futures markets (S&P 500 and DAX indices) and standardized them. The method introduced by Breeden and Litzenberger (1978) was then used on PDF extraction. The results show significant deviations from the assumption of lognormal returns for S&P500 options while DAX options mostly fit the lognormal distribution. A deviant subjective view of PDF can be used to form a strategy as discussed in the last section.

Abnormal Error Monitoring in Math-Anxious Individuals: Evidence from Error-Related Brain Potentials.

This study used event-related brain potentials to investigate whether math anxiety is related to abnormal error monitoring processing. Seventeen high math-anxious (HMA) and seventeen low math-anxious (LMA) individuals were presented with a numerical and a classical Stroop task. Groups did not differ in terms of trait or state anxiety. We found enhanced error-related negativity (ERN) in the HMA group when subjects committed an error on the numerical Stroop task, but not on the classical Stroop task. Groups did not differ in terms of the correct-related negativity component (CRN), the error positivity component (Pe), classical behavioral measures or post-error measures. The amplitude of the ERN was negatively related to participants" math anxiety scores, showing a more negative amplitude as the score increased. Moreover, using standardized low resolution electromagnetic tomography (sLORETA) we found greater activation of the insula in errors on a numerical task as compared to errors in a nonnumerical task only for the HMA group. The results were interpreted according to the motivational significance theory of the ERN.

Seismic characterization of heterogeneous sedimentary and fractured rocks based on Biot's theory of poroelasticity

Understanding and quantifying seismic energy dissipation, which manifests itself in terms of velocity dispersion and attenuation, in fluid-saturated porous rocks is of considerable interest, since it offers the perspective of extracting information with regard to the elastic and hydraulic rock properties. There is increasing evidence to suggest that wave-induced fluid flow, or simply WIFF, is the dominant underlying physical mechanism governing these phenomena throughout the seismic, sonic, and ultrasonic frequency ranges. This mechanism, which can prevail at the microscopic, mesoscopic, and macroscopic scale ranges, operates through viscous energy dissipation in response to fluid pressure gradients and inertial effects induced by the passing wavefield. In the first part of this thesis, we present an analysis of broad-band multi-frequency sonic log data from a borehole penetrating water-saturated unconsolidated glacio-fluvial sediments. An inherent complication arising in the interpretation of the observed P-wave attenuation and velocity dispersion is, however, that the relative importance of WIFF at the various scales is unknown and difficult to unravel. An important generic result of our work is that the levels of attenuation and velocity dispersion due to the presence of mesoscopic heterogeneities in water-saturated unconsolidated clastic sediments are expected to be largely negligible. Conversely, WIFF at the macroscopic scale allows for explaining most of the considered data while refinements provided by including WIFF at the microscopic scale in the analysis are locally meaningful. Using a Monte-Carlo-type inversion approach, we compare the capability of the different models describing WIFF at the macroscopic and microscopic scales with regard to their ability to constrain the dry frame elastic moduli and the permeability as well as their local probability distribution. In the second part of this thesis, we explore the issue of determining the size of a representative elementary volume (REV) arising in the numerical upscaling procedures of effective seismic velocity dispersion and attenuation of heterogeneous media. To this end, we focus on a set of idealized synthetic rock samples characterized by the presence of layers, fractures or patchy saturation in the mesocopic scale range. These scenarios are highly pertinent because they tend to be associated with very high levels of velocity dispersion and attenuation caused by WIFF in the mesoscopic scale range. The problem of determining the REV size for generic heterogeneous rocks is extremely complex and entirely unexplored in the given context. In this pilot study, we have therefore focused on periodic media, which assures the inherent self- similarity of the considered samples regardless of their size and thus simplifies the problem to a systematic analysis of the dependence of the REV size on the applied boundary conditions in the numerical simulations. Our results demonstrate that boundary condition effects are absent for layered media and negligible in the presence of patchy saturation, thus resulting in minimum REV sizes. Conversely, strong boundary condition effects arise in the presence of a periodic distribution of finite-length fractures, thus leading to large REV sizes. In the third part of the thesis, we propose a novel effective poroelastic model for periodic media characterized by mesoscopic layering, which accounts for WIFF at both the macroscopic and mesoscopic scales as well as for the anisotropy associated with the layering. Correspondingly, this model correctly predicts the existence of the fast and slow P-waves as well as quasi and pure S-waves for any direction of wave propagation as long as the corresponding wavelengths are much larger than the layer thicknesses. The primary motivation for this work is that, for formations of intermediate to high permeability, such as, for example, unconsolidated sediments, clean sandstones, or fractured rocks, these two WIFF mechanisms may prevail at similar frequencies. This scenario, which can be expected rather common, cannot be accounted for by existing models for layered porous media. Comparisons of analytical solutions of the P- and S-wave phase velocities and inverse quality factors for wave propagation perpendicular to the layering with those obtained from numerical simulations based on a ID finite-element solution of the poroelastic equations of motion show very good agreement as long as the assumption of long wavelengths remains valid. A limitation of the proposed model is its inability to account for inertial effects in mesoscopic WIFF when both WIFF mechanisms prevail at similar frequencies. Our results do, however, also indicate that the associated error is likely to be relatively small, as, even at frequencies at which both inertial and scattering effects are expected to be at play, the proposed model provides a solution that is remarkably close to its numerical benchmark. -- Comprendre et pouvoir quantifier la dissipation d'énergie sismique qui se traduit par la dispersion et l'atténuation des vitesses dans les roches poreuses et saturées en fluide est un intérêt primordial pour obtenir des informations à propos des propriétés élastique et hydraulique des roches en question. De plus en plus d'études montrent que le déplacement relatif du fluide par rapport au solide induit par le passage de l'onde (wave induced fluid flow en anglais, dont on gardera ici l'abréviation largement utilisée, WIFF), représente le principal mécanisme physique qui régit ces phénomènes, pour la gamme des fréquences sismiques, sonique et jusqu'à l'ultrasonique. Ce mécanisme, qui prédomine aux échelles microscopique, mésoscopique et macroscopique, est lié à la dissipation d'énergie visqueuse résultant des gradients de pression de fluide et des effets inertiels induits par le passage du champ d'onde. Dans la première partie de cette thèse, nous présentons une analyse de données de diagraphie acoustique à large bande et multifréquences, issues d'un forage réalisé dans des sédiments glaciaux-fluviaux, non-consolidés et saturés en eau. La difficulté inhérente à l'interprétation de l'atténuation et de la dispersion des vitesses des ondes P observées, est que l'importance des WIFF aux différentes échelles est inconnue et difficile à quantifier. Notre étude montre que l'on peut négliger le taux d'atténuation et de dispersion des vitesses dû à la présence d'hétérogénéités à l'échelle mésoscopique dans des sédiments clastiques, non- consolidés et saturés en eau. A l'inverse, les WIFF à l'échelle macroscopique expliquent la plupart des données, tandis que les précisions apportées par les WIFF à l'échelle microscopique sont localement significatives. En utilisant une méthode d'inversion du type Monte-Carlo, nous avons comparé, pour les deux modèles WIFF aux échelles macroscopique et microscopique, leur capacité à contraindre les modules élastiques de la matrice sèche et la perméabilité ainsi que leur distribution de probabilité locale. Dans une seconde partie de cette thèse, nous cherchons une solution pour déterminer la dimension d'un volume élémentaire représentatif (noté VER). Cette problématique se pose dans les procédures numériques de changement d'échelle pour déterminer l'atténuation effective et la dispersion effective de la vitesse sismique dans un milieu hétérogène. Pour ce faire, nous nous concentrons sur un ensemble d'échantillons de roches synthétiques idéalisés incluant des strates, des fissures, ou une saturation partielle à l'échelle mésoscopique. Ces scénarios sont hautement pertinents, car ils sont associés à un taux très élevé d'atténuation et de dispersion des vitesses causé par les WIFF à l'échelle mésoscopique. L'enjeu de déterminer la dimension d'un VER pour une roche hétérogène est très complexe et encore inexploré dans le contexte actuel. Dans cette étude-pilote, nous nous focalisons sur des milieux périodiques, qui assurent l'autosimilarité des échantillons considérés indépendamment de leur taille. Ainsi, nous simplifions le problème à une analyse systématique de la dépendance de la dimension des VER aux conditions aux limites appliquées. Nos résultats indiquent que les effets des conditions aux limites sont absents pour un milieu stratifié, et négligeables pour un milieu à saturation partielle : cela résultant à des dimensions petites des VER. Au contraire, de forts effets des conditions aux limites apparaissent dans les milieux présentant une distribution périodique de fissures de taille finie : cela conduisant à de grandes dimensions des VER. Dans la troisième partie de cette thèse, nous proposons un nouveau modèle poro- élastique effectif, pour les milieux périodiques caractérisés par une stratification mésoscopique, qui prendra en compte les WIFF à la fois aux échelles mésoscopique et macroscopique, ainsi que l'anisotropie associée à ces strates. Ce modèle prédit alors avec exactitude l'existence des ondes P rapides et lentes ainsi que les quasis et pures ondes S, pour toutes les directions de propagation de l'onde, tant que la longueur d'onde correspondante est bien plus grande que l'épaisseur de la strate. L'intérêt principal de ce travail est que, pour les formations à perméabilité moyenne à élevée, comme, par exemple, les sédiments non- consolidés, les grès ou encore les roches fissurées, ces deux mécanismes d'WIFF peuvent avoir lieu à des fréquences similaires. Or, ce scénario, qui est assez commun, n'est pas décrit par les modèles existants pour les milieux poreux stratifiés. Les comparaisons des solutions analytiques des vitesses des ondes P et S et de l'atténuation de la propagation des ondes perpendiculaires à la stratification, avec les solutions obtenues à partir de simulations numériques en éléments finis, fondées sur une solution obtenue en 1D des équations poro- élastiques, montrent un très bon accord, tant que l'hypothèse des grandes longueurs d'onde reste valable. Il y a cependant une limitation de ce modèle qui est liée à son incapacité à prendre en compte les effets inertiels dans les WIFF mésoscopiques quand les deux mécanismes d'WIFF prédominent à des fréquences similaires. Néanmoins, nos résultats montrent aussi que l'erreur associée est relativement faible, même à des fréquences à laquelle sont attendus les deux effets d'inertie et de diffusion, indiquant que le modèle proposé fournit une solution qui est remarquablement proche de sa référence numérique.

The right dorsolateral prefrontal cortex prevents post-error slowing

Adjusting behavior following the detection of inappropriate actions allows flexible adaptation to task demands and environmental contingencies during goal-directed behaviors. Post-error behavioral adjustments typically consist in adopting more cautious response mode, which manifests as a slowing down of response speed. Although converging evidence involves the dorsolateral prefrontal cortex (DLPFC) in post-error behavioral adjustment, whether and when the left or right DLPFC is critical for post-error slowing (PES), as well as the underlying brain mechanisms, remain highly debated. To resolve these issues, we used single-pulse transcranial magnetic stimulation in healthy human adults to disrupt the left or right DLPFC selectively at various delays within the 30-180ms interval following false alarms commission, while participants preformed a standard visual Go/NoGo task. PES significantly increased after TMS disruption of the right, but not the left DLPFC at 150ms post-FA response. We discuss these results in terms of an involvement of the right DLPFC in reducing the detrimental effects of error detection on subsequent behavioral performance, as opposed to implementing adaptative error-induced slowing down of response speed.

Análisis del error de medición y variabilidad interespecífica morfométrica de Fourier en M2 de primates Hominoidea

Los análisis de Fourier permiten caracterizar el contorno del diente y obtener una serie de parámetros para un posterior análisis multivariante. Sin embargo, la gran complejidad que presentan algunas formas obliga a determinar el error de medición intrínseco que se produce. El objetivo de este trabajo es aplicar y validar los análisis de Fourier en el estudio de la forma dental del segundo molar inferior (M2) de cuatro especies de primates Hominoidea para explorar la variabilidad morfométrica interespecífica, así como determinar el error de medición a un nivel intra e interobservador. El contorno de la superficie oclusal del diente fue definido digitalmente y con las funciones derivadas del análisis de Fourier se realizaron Análisis Discriminantes y Test de Mantel (correlaciones de Pearson) para determinar las diferencias de forma a partir de las mediciones tomadas. Los resultados indican que el análisis de Fourier muestra la variabilidad de forma en dientes molares en especies de primates Hominoidea. Adicionalmente, los altos niveles de correlación a nivel intra (r>0,9) como interobservador (r>0,7) sugieren que la descripción morfométrica del diente a partir de métodos de Fourier realizados por diferentes observadores puede ser agrupada para posteriores análisis.

Solitary pulmonary nodule and 18F-FDG PET/CT. Part 1: epidemiology, morphological evaluation and cancer probability

Abstract Solitary pulmonary nodule corresponds to a common radiographic finding, which is frequently detected incidentally. The investigation of this entity remains complex, since characteristics of benign and malignant processes overlap in the differential diagnosis. Currently, many strategies are available to evaluate solitary pulmonary nodules with the main objective of characterizing benign lesions as best as possible, while avoiding to expose patients to the risks inherent to invasive methods, besides correctly detecting cases of lung cancer so as the potential curative treatment is not delayed. This first part of the study focuses on the epidemiology, the morfological evaluation and the methods to determine the likelihood of cancer in cases of indeterminate solitary pulmonary nodule.

Estimating extreme value cumulative distribution functions using bias-corrected kernel approaches

We propose a new kernel estimation of the cumulative distribution function based on transformation and on bias reducing techniques. We derive the optimal bandwidth that minimises the asymptotic integrated mean squared error. The simulation results show that our proposed kernel estimation improves alternative approaches when the variable has an extreme value distribution with heavy tail and the sample size is small.

Bayesian Estimation of Noise

In mathematical modeling the estimation of the model parameters is one of the most common problems. The goal is to seek parameters that fit to the measurements as well as possible. There is always error in the measurements which implies uncertainty to the model estimates. In Bayesian statistics all the unknown quantities are presented as probability distributions. If there is knowledge about parameters beforehand, it can be formulated as a prior distribution. The Bays’ rule combines the prior and the measurements to posterior distribution. Mathematical models are typically nonlinear, to produce statistics for them requires efficient sampling algorithms. In this thesis both Metropolis-Hastings (MH), Adaptive Metropolis (AM) algorithms and Gibbs sampling are introduced. In the thesis different ways to present prior distributions are introduced. The main issue is in the measurement error estimation and how to obtain prior knowledge for variance or covariance. Variance and covariance sampling is combined with the algorithms above. The examples of the hyperprior models are applied to estimation of model parameters and error in an outlier case.

Time course of error detection and correction in humans: neurophysiological evidence.

Using event-related brain potentials, the time course of error detection and correction was studied in healthy human subjects. A feedforward model of error correction was used to predict the timing properties of the error and corrective movements. Analysis of the multichannel recordings focused on (1) the error-related negativity (ERN) seen immediately after errors in response- and stimulus-locked averages and (2) on the lateralized readiness potential (LRP) reflecting motor preparation. Comparison of the onset and time course of the ERN and LRP components showed that the signs of corrective activity preceded the ERN. Thus, error correction was implemented before or at least in parallel with the appearance of the ERN component. Also, the amplitude of the ERN component was increased for errors, followed by fast corrective movements. The results are compatible with recent views considering the ERN component as the output of an evaluative system engaged in monitoring motor conflict.

Error Modeling and Accuracy Analysis of a Novel Mobile Hybrid Parallel Robot

Over the last decades, calibration techniques have been widely used to improve the accuracy of robots and machine tools since they only involve software modification instead of changing the design and manufacture of the hardware. Traditionally, there are four steps are required for a calibration, i.e. error modeling, measurement, parameter identification and compensation. The objective of this thesis is to propose a method for the kinematics analysis and error modeling of a newly developed hybrid redundant robot IWR (Intersector Welding Robot), which possesses ten degrees of freedom (DOF) where 6-DOF in parallel and additional 4-DOF in serial. In this article, the problem of kinematics modeling and error modeling of the proposed IWR robot are discussed. Based on the vector arithmetic method, the kinematics model and the sensitivity model of the end-effector subject to the structure parameters is derived and analyzed. The relations between the pose (position and orientation) accuracy and manufacturing tolerances, actuation errors, and connection errors are formulated. Computer simulation is performed to examine the validity and effectiveness of the proposed method.

Error en el consentimiento en los contratos de SWAP

Cada cert temps hi ha assumptes d’alt interès social dins de la jurisdicció. En els últims anys, coincidint amb la crisi financera internacional, els assumptes relatius a contractes bancaris complexos, sobretot permutes financeres o swaps, han tingut una gran rellevància. En un context de crisi financera internacional, i també nacional, s'han estès el nombre de demandes dirigides contra bancs i entitats financeres. Són reclamacions en les quals se sol·licita la declaració de nul·litat dels citats contractes, principalment es basa en un error del consentiment, nul·litat que comporta la devolució de les quantitats invertides, de les rentabilitats esperades o de les penalitzacions aplicades davant la resolució anticipada d'us contractes pels clients defraudats en les seves expectatives. Les presents pàgines pretenen un estudi dels litigis sobre SWAPS, principalment dels “Interest Rate Swap”, identificar quins són els contractes bancaris complexes, quines són les normes de consentiment contractual que els regeixen. Respecte dels primers, cal destacar que l'elevat nombre de casos plantejats davant els nostres tribunals no es tradueix en una casuística tan àmplia com seria imaginable. La gran majoria versa sobre les peticions de nul·litat del contracte (total o parcial) realitzades pels clients, al moment en què l'Euribor va descendir, i que allò que molts havien contractat com un segur de cobertura enfront dels elevats tipus d'interès que havien de pagar per les seves hipoteques, veien com conforme als pactes en el contracte, havien de satisfer al seu contrapart (una entitat de crèdit) una liquidació.

Speed of travelling fronts: Two-dimensional and ballistic dispersal probability distributions

The speed of traveling fronts for a two-dimensional model of a delayed reactiondispersal process is derived analytically and from simulations of molecular dynamics. We show that the one-dimensional (1D) and two-dimensional (2D) versions of a given kernel do not yield always the same speed. It is also shown that the speeds of time-delayed fronts may be higher than those predicted by the corresponding non-delayed models. This result is shown for systems with peaked dispersal kernels which lead to ballistic transport

Entrevista con Manuel Villegas sobre 'El error de Prometeo. Psico(pato)logía del desarrollo moral'

Entrevista con Manuel Villegas

Efecto de la suplementación con ácidos grasos de cadena media sobre la evolución de peso en lechones con poco peso al nacimiento

La evolución de peso en los períodos de lactación y transición de 583 lechones fue estudiada mediante un análisis estadístico, evaluando el efecto de la suplementación con ácidos grasos de cadena media (AGCM) en lechones con poco peso al nacimiento. 188 de los 375 lechones que nacieron con un peso al nacimiento (PN) <1250 g recibieron 3mL de AGCM cada 24 h durante los primeros 3 días de vida; su peso medio al destete (día 28) fue inferior respecto al grupo control (lechones no suplementados) (-114,17 g). No obstante, 106 de los 180 lechones nacidos con un PN <1000 g fueron suplementados, y su peso medio al destete y a finales de transición (día 63) fue superior respecto al grupo control (destete: +315,16 g; día 63: +775,47 g). Finalmente, los lechones suplementados con PN<800 g tuvieron los peores resultados: su diferencia de peso medio al destete fue de -177,58 g respecto al grupo control. Por lo tanto, en esta prueba fueron estudiados los lechones con un PN entre 800 y 999 g porque el grupo suplementado al destete tuvo una diferencia de peso medio considerable respecto al grupo control:+511,58 g. Asimismo, considerando una probabilidad de error inferior a 0,05, no hubieron diferencias significativas en las diferentes categorías de PN analizadas. De todas maneras, es importante destacar el alto grado de significación en la suplementación con AGCM en lechones con PN entre 800 y 999g (P=0,059). Por otra parte, el PN del grupo suplementado con PN<1000 g fue inferior que el del grupo no suplementado con PN<1000 g; esta diferencia de PN fue significativa (P=0,004) y como consecuencia el grado de significación en la suplementación con AGCM en lechones con PN entre 800 y 999 g fue inferior al esperado. Además, en esta prueba se incluyeron algunos resultados generales y también un análisis simple de supervivencia, aunque no era el objetivo principal