Joint dispersion model with a flexible link

Poster presented at the Workshop on Flexible Models for Longitudinal and Survival Data with Applications in Biostatistics. University of Warwick, Coventry, UK, 27-29 July 2015

Losses from Horizontal Merger: an Extension to a Successive Oligopoly Model with Product Differentiation

This paper generalizes the model of Salant et al. (1983; Quarterly Journal of Economics, Vol. 98, pp. 185–199) to a successive oligopoly model with product differentiation. Upstream firms produce differentiated goods, retailers compete in quantities, and supply contracts are linear. We show that if retailers buy from all producers, downstream mergers do not affect wholesale prices. Our result replicates that of Salant's, where mergers are not profitable unless the size of the merged firm exceeds 80 per cent of the industry. This result is robust to the type of competition.

Comparisons of an aerosol transport model with a 4-year analysis of summer aerosol optical depth retrievals over the Canadian Arctic

Abstract : This is a study concerning comparisons between the Dubovik Aerosol optical depth (AOD) retrievals from AEROCAN (ARONET) stations and AOD estimates from simulations provided by a chemical transport model (GEOS-Chem : Goddard Earth Observing System Chemistry). The AOD products associated with the Dubovik product are divided into total, fine and coarse mode components. The retrieval period is from January 2009 to January 2013 for 5 Arctic stations (Barrow, Alaska; Resolute Bay, Nunavut; 0PAL and PEARL (Eureka), Nunavut; and Thule, Greenland). We also employed AOD retrievals from 10 other mid-latitude Canadian stations for comparisons with the Arctic stations. The results of our investigation were submitted to Atmosphere-Ocean. To briefly summarize those results, the model generally but not always tended to underestimate the (monthly) averaged AOD and its components. We found that the subdivision into fine and coarse mode components could provide unique signatures of particular events (Asian dust) and that the means of characterizing the statistics (log-normal frequency distributions versus normal distributions) was an attribute that was common to both the retrievals and the model.

Quark model with chiral-symmetry breaking and confinement in the Covariant Spectator Theory

We propose a model for the quark-antiquark interaction in Minkowski space using the Covariant Spectator Theory. We show that with an equal-weighted scalar-pseudoscalar structure for the confining part of our interaction kernel the axial-vector Ward-Takahashi identity is preserved and our model complies with the Adler-zero constraint for π-π-scattering imposed by chiral symmetry.

Data collapse, scaling functions, and analytical solutions of generalized growth models

We consider a nontrivial one-species population dynamics model with finite and infinite carrying capacities. Time-dependent intrinsic and extrinsic growth rates are considered in these models. Through the model per capita growth rate we obtain a heuristic general procedure to generate scaling functions to collapse data into a simple linear behavior even if an extrinsic growth rate is included. With this data collapse, all the models studied become independent from the parameters and initial condition. Analytical solutions are found when time-dependent coefficients are considered. These solutions allow us to perceive nontrivial transitions between species extinction and survival and to calculate the transition's critical exponents. Considering an extrinsic growth rate as a cancer treatment, we show that the relevant quantity depends not only on the intensity of the treatment, but also on when the cancerous cell growth is maximum.

Design and implementation of a multipurpose reactor for scale-up studies

In the theoretical part, the different polymerisation catalysts are introduced and the phenomena related to mixing in the stirred tank reactor are presented. Also the advantages and challenges related to scale-up are discussed. The aim of the applied part was to design and implement an intermediate-sized reactor useful for scale-up studies. The reactor setting was tested making one batch of Ziegler–Natta polypropylene catalyst. The catalyst preparation with a designed equipment setting succeeded and the catalyst was analysed. The analyses of the catalyst were done, because the properties of the catalyst were compared to the normal properties of Ziegler–Natta polypropylene catalyst. The total titanium content of the catalyst was slightly higher than in normal Ziegler–Natta polypropylene catalyst, but the magnesium and aluminium content of the catalyst were in the normal level. By adjusting the siphonation tube and adding one washing step the titanium content of the catalyst could be decreased. The particle size of the catalyst was small, but the activity was in a normal range. The size of the catalyst particles could be increased by decreasing the stirring speed. During the test run, it was noticed that some improvements for the designed equipment setting could be done. For example more valves for the chemical feed line need to be added to ensure inert conditions during the catalyst preparation. Also nitrogen for the reactor needs to separate from other nitrogen line. With this change the pressure in the reactor can be kept as desired during the catalyst preparation. The proposals for improvements are presented in the applied part. After these improvements are done, the equipment setting is ready for start-up. The computational fluid dynamics model for the designed reactor was provided by cooperation with Lappeenranta University of Technology. The experiments showed that for adequate mixing with one impeller, stirring speed of 600 rpm is needed. The computational fluid dynamics model with two impellers showed that there was no difference in the mixing efficiency if the upper impeller were pumping downwards or upwards.

Predation of Bradysia sp (Diptera: Sciaridae), Liriomyza trifolii (Diptera: Agromyzidae) and Bemisia tabaci (Hemiptera: Aleyrodidae) by Coenosia attenuata (Diptera: Muscidae) in greenhouse crops

We studied the predation behaviour of the "hunter fly" (Coenosia attenuata Stein) in the laboratory and greenhouse. In the laboratory, which was conducted at 25 degrees C at 60-80% RH, with a 16L : 8D photoperiod, we examined the functional response of this species to three different pests, namely the sciarid fly (Bradysia sp.), the tobacco whitefly (Bemisia tabaci) and the leaf miner Liriomyza trifolii. In the greenhouse, we studied the population dynamics of the predator and its prey on pepper and water melon crops grown in southern Spain. Adult hunter flies were found to exhibit a type I functional response to adult sciarid flies and whiteflies, but a type II response to adult leaf miners. The type II response was a result of the greater difficulty in capturing and handling leaf miners compared to the other two species. The dynamics of the predator-prey interaction in the greenhouse revealed that the predator specializes mainly on adult sciarids and that the presence of the other prey can be supplemental, but is never essential for survival of the predator; this, however, is crop-dependent. The results oil the dynamics of the predator-prey systems were obtained through a known population dynamics model with modifications.

Validity of the ice shelf water plume concept beneath Filchner-Ronne Ice Shelf

In winter, brine rejection from sea ice formation and export in the Weddell Sea, offshore of Filchner-Ronne Ice Shelf (FRIS), leads to the formation of High Salinity Shelf Water (HSSW). This dense water mass enters the cavity beneath FRIS by sinking southward down the sloping continental shelf towards the grounding line. Melting occurs when the HSSW encounters the ice shelf, and the meltwater released cools and freshens the HSSW to form a water mass known as Ice Shelf Water (ISW). If this ISW rises, the ‘ice pump’ is initiated (Lewis and Perkin, 1986), whereby the ascending ISW becomes supercooled and deposits marine ice at shallower locations due to the pressure increase in the in-situ freezing temperature. Sandh¨ager et al. (2004) were able to infer the thickness patterns of marine ice deposits at the base of FRIS (figure 1), so the primary aim of this work is to try to understand the ocean flows that determine these patterns. The plume model we use to investigate ISW flow is described fully by Holland and Feltham (accepted) so only a relatively brief outline is presented here. The plume is simulated by combining a parameterisation of ice shelf basal interaction and a multiplesize- class frazil dynamics model with an unsteady, depth-averaged reduced-gravity plume model. In the model an active region of ISW evolves above and within an expanse of stagnant ambient fluid, which is considered to be ice-free and has fixed profiles of temperature and salinity. The two main assumptions of the model are that there is a well-mixed layer underneath the ice shelf and that the ambient fluid outside the plume is stagnant with fixed properties. The topography of the ice shelf that the plume flows beneath is set to the FRIS ice shelf draft calculated by Sandh¨ager et al. (2004) masked with the grounding line from the Antarctic Digital Database (ADD Consortium, 2002). To initiate the plumes, we assume that the intrusion of dense HSSW initially causes melting at the points on the grounding line where the glaciological tributaries feeding FRIS go afloat.

Underlying dynamics of typical fluctuations of an emerging market price index: the Heston model from minutes to months

We investigate the Heston model with stochastic volatility and exponential tails as a model for the typical price fluctuations of the Brazilian São Paulo Stock Exchange Index (IBOVESPA). Raw prices are first corrected for inflation and a period spanning 15 years characterized by memoryless returns is chosen for the analysis. Model parameters are estimated by observing volatility scaling and correlation properties. We show that the Heston model with at least two time scales for the volatility mean reverting dynamics satisfactorily describes price fluctuations ranging from time scales larger than 20min to 160 days. At time scales shorter than 20 min we observe autocorrelated returns and power law tails incompatible with the Heston model. Despite major regulatory changes, hyperinflation and currency crises experienced by the Brazilian market in the period studied, the general success of the description provided may be regarded as an evidence for a general underlying dynamics of price fluctuations at intermediate mesoeconomic time scales well approximated by the Heston model. We also notice that the connection between the Heston model and Ehrenfest urn models could be exploited for bringing new insights into the microeconomic market mechanics. (c) 2005 Elsevier B.V. All rights reserved.

Memória de longo prazo nos retornos acionistas dos índices de referência da euronext, implicações para a hipótese de mercados eficientes e contributo fractal para aperfeiçoamento do capital asset pricing model

Não existe uma definição única de processo de memória de longo prazo. Esse processo é geralmente definido como uma série que possui um correlograma decaindo lentamente ou um espectro infinito de frequência zero. Também se refere que uma série com tal propriedade é caracterizada pela dependência a longo prazo e por não periódicos ciclos longos, ou que essa característica descreve a estrutura de correlação de uma série de longos desfasamentos ou que é convencionalmente expressa em termos do declínio da lei-potência da função auto-covariância. O interesse crescente da investigação internacional no aprofundamento do tema é justificado pela procura de um melhor entendimento da natureza dinâmica das séries temporais dos preços dos ativos financeiros. Em primeiro lugar, a falta de consistência entre os resultados reclama novos estudos e a utilização de várias metodologias complementares. Em segundo lugar, a confirmação de processos de memória longa tem implicações relevantes ao nível da (1) modelação teórica e econométrica (i.e., dos modelos martingale de preços e das regras técnicas de negociação), (2) dos testes estatísticos aos modelos de equilíbrio e avaliação, (3) das decisões ótimas de consumo / poupança e de portefólio e (4) da medição de eficiência e racionalidade. Em terceiro lugar, ainda permanecem questões científicas empíricas sobre a identificação do modelo geral teórico de mercado mais adequado para modelar a difusão das séries. Em quarto lugar, aos reguladores e gestores de risco importa saber se existem mercados persistentes e, por isso, ineficientes, que, portanto, possam produzir retornos anormais. O objetivo do trabalho de investigação da dissertação é duplo. Por um lado, pretende proporcionar conhecimento adicional para o debate da memória de longo prazo, debruçando-se sobre o comportamento das séries diárias de retornos dos principais índices acionistas da EURONEXT. Por outro lado, pretende contribuir para o aperfeiçoamento do capital asset pricing model CAPM, considerando uma medida de risco alternativa capaz de ultrapassar os constrangimentos da hipótese de mercado eficiente EMH na presença de séries financeiras com processos sem incrementos independentes e identicamente distribuídos (i.i.d.). O estudo empírico indica a possibilidade de utilização alternativa das obrigações do tesouro (OT’s) com maturidade de longo prazo no cálculo dos retornos do mercado, dado que o seu comportamento nos mercados de dívida soberana reflete a confiança dos investidores nas condições financeiras dos Estados e mede a forma como avaliam as respetiva economias com base no desempenho da generalidade dos seus ativos. Embora o modelo de difusão de preços definido pelo movimento Browniano geométrico gBm alegue proporcionar um bom ajustamento das séries temporais financeiras, os seus pressupostos de normalidade, estacionariedade e independência das inovações residuais são adulterados pelos dados empíricos analisados. Por isso, na procura de evidências sobre a propriedade de memória longa nos mercados recorre-se à rescaled-range analysis R/S e à detrended fluctuation analysis DFA, sob abordagem do movimento Browniano fracionário fBm, para estimar o expoente Hurst H em relação às séries de dados completas e para calcular o expoente Hurst “local” H t em janelas móveis. Complementarmente, são realizados testes estatísticos de hipóteses através do rescaled-range tests R/S , do modified rescaled-range test M - R/S e do fractional differencing test GPH. Em termos de uma conclusão única a partir de todos os métodos sobre a natureza da dependência para o mercado acionista em geral, os resultados empíricos são inconclusivos. Isso quer dizer que o grau de memória de longo prazo e, assim, qualquer classificação, depende de cada mercado particular. No entanto, os resultados gerais maioritariamente positivos suportam a presença de memória longa, sob a forma de persistência, nos retornos acionistas da Bélgica, Holanda e Portugal. Isto sugere que estes mercados estão mais sujeitos a maior previsibilidade (“efeito José”), mas também a tendências que podem ser inesperadamente interrompidas por descontinuidades (“efeito Noé”), e, por isso, tendem a ser mais arriscados para negociar. Apesar da evidência de dinâmica fractal ter suporte estatístico fraco, em sintonia com a maior parte dos estudos internacionais, refuta a hipótese de passeio aleatório com incrementos i.i.d., que é a base da EMH na sua forma fraca. Atendendo a isso, propõem-se contributos para aperfeiçoamento do CAPM, através da proposta de uma nova fractal capital market line FCML e de uma nova fractal security market line FSML. A nova proposta sugere que o elemento de risco (para o mercado e para um ativo) seja dado pelo expoente H de Hurst para desfasamentos de longo prazo dos retornos acionistas. O expoente H mede o grau de memória de longo prazo nos índices acionistas, quer quando as séries de retornos seguem um processo i.i.d. não correlacionado, descrito pelo gBm(em que H = 0,5 , confirmando- se a EMH e adequando-se o CAPM), quer quando seguem um processo com dependência estatística, descrito pelo fBm(em que H é diferente de 0,5, rejeitando-se a EMH e desadequando-se o CAPM). A vantagem da FCML e da FSML é que a medida de memória de longo prazo, definida por H, é a referência adequada para traduzir o risco em modelos que possam ser aplicados a séries de dados que sigam processos i.i.d. e processos com dependência não linear. Então, estas formulações contemplam a EMH como um caso particular possível.

Diluted three-dimensional random field Ising model at zero temperature with metastable dynamics.

The influence of vacancy concentration on the behavior of the three-dimensional random field Ising model with metastable dynamics is studied. We have focused our analysis on the number of spanning avalanches which allows us a clear determination of the critical line where the hysteresis loops change from continuous to discontinuous. By a detailed finite-size scaling analysis we determine the phase diagram and numerically estimate the critical exponents along the whole critical line. Finally, we discuss the origin of the curvature of the critical line at high vacancy concentration.

Diluted three-dimensional random field Ising model at zero temperature with metastable dynamics.

The influence of vacancy concentration on the behavior of the three-dimensional random field Ising model with metastable dynamics is studied. We have focused our analysis on the number of spanning avalanches which allows us a clear determination of the critical line where the hysteresis loops change from continuous to discontinuous. By a detailed finite-size scaling analysis we determine the phase diagram and numerically estimate the critical exponents along the whole critical line. Finally, we discuss the origin of the curvature of the critical line at high vacancy concentration.

Option pricing in market models driven by telegraph processes with jumps

Esta tesis está dividida en dos partes: en la primera parte se presentan y estudian los procesos telegráficos, los procesos de Poisson con compensador telegráfico y los procesos telegráficos con saltos. El estudio presentado en esta primera parte incluye el cálculo de las distribuciones de cada proceso, las medias y varianzas, así como las funciones generadoras de momentos entre otras propiedades. Utilizando estas propiedades en la segunda parte se estudian los modelos de valoración de opciones basados en procesos telegráficos con saltos. En esta parte se da una descripción de cómo calcular las medidas neutrales al riesgo, se encuentra la condición de no arbitraje en este tipo de modelos y por último se calcula el precio de las opciones Europeas de compra y venta.

Dynamics of a minimal model of interlocked positive and negative feedback loops of transcriptional regulation by cAMP-response element binding proteins.

cAMP-response element binding (CREB) proteins are involved in transcriptional regulation in a number of cellular processes (e.g., neural plasticity and circadian rhythms). The CREB family contains activators and repressors that may interact through positive and negative feedback loops. These loops can be generated by auto- and cross-regulation of expression of CREB proteins, via CRE elements in or near their genes. Experiments suggest that such feedback loops may operate in several systems (e.g., Aplysia and rat). To understand the functional implications of such feedback loops, which are interlocked via cross-regulation of transcription, a minimal model with a positive and negative loop was developed and investigated using bifurcation analysis. Bifurcation analysis revealed diverse nonlinear dynamics (e.g., bistability and oscillations). The stability of steady states or oscillations could be changed by time delays in the synthesis of the activator (CREB1) or the repressor (CREB2). Investigation of stochastic fluctuations due to small numbers of molecules of CREB1 and CREB2 revealed a bimodal distribution of CREB molecules in the bistability region. The robustness of the stable HIGH and LOW states of CREB expression to stochastic noise differs, and a critical number of molecules was required to sustain the HIGH state for days or longer. Increasing positive feedback or decreasing negative feedback also increased the lifetime of the HIGH state, and persistence of this state may correlate with long-term memory formation. A critical number of molecules was also required to sustain robust oscillations of CREB expression. If a steady state was near a deterministic Hopf bifurcation point, stochastic resonance could induce oscillations. This comparative analysis of deterministic and stochastic dynamics not only provides insights into the possible dynamics of CREB regulatory motifs, but also demonstrates a framework for understanding other regulatory processes with similar network architecture.

Dynamics of a minimal model of interlocked positive and negative feedback loops of transcriptional regulation by cAMP-response element binding proteins.

cAMP-response element binding (CREB) proteins are involved in transcriptional regulation in a number of cellular processes (e.g., neural plasticity and circadian rhythms). The CREB family contains activators and repressors that may interact through positive and negative feedback loops. These loops can be generated by auto- and cross-regulation of expression of CREB proteins, via CRE elements in or near their genes. Experiments suggest that such feedback loops may operate in several systems (e.g., Aplysia and rat). To understand the functional implications of such feedback loops, which are interlocked via cross-regulation of transcription, a minimal model with a positive and negative loop was developed and investigated using bifurcation analysis. Bifurcation analysis revealed diverse nonlinear dynamics (e.g., bistability and oscillations). The stability of steady states or oscillations could be changed by time delays in the synthesis of the activator (CREB1) or the repressor (CREB2). Investigation of stochastic fluctuations due to small numbers of molecules of CREB1 and CREB2 revealed a bimodal distribution of CREB molecules in the bistability region. The robustness of the stable HIGH and LOW states of CREB expression to stochastic noise differs, and a critical number of molecules was required to sustain the HIGH state for days or longer. Increasing positive feedback or decreasing negative feedback also increased the lifetime of the HIGH state, and persistence of this state may correlate with long-term memory formation. A critical number of molecules was also required to sustain robust oscillations of CREB expression. If a steady state was near a deterministic Hopf bifurcation point, stochastic resonance could induce oscillations. This comparative analysis of deterministic and stochastic dynamics not only provides insights into the possible dynamics of CREB regulatory motifs, but also demonstrates a framework for understanding other regulatory processes with similar network architecture.