Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we construct “high-minus-low" equity portfolios sorted on beta, coskewness, and cokurtosis. We find substantial evidence of dynamic and asymmetric dependence between characteristic-sorted portfolios. Second, we consider a dynamic asymmetric copula model by combining the generalized hyperbolic skewed t copula with the generalized autoregressive score (GAS) model to capture both the multivariate non-normality and the dynamic and asymmetric dependence between equity portfolios. We demonstrate its usefulness by evaluating the forecasting performance of Value-at-Risk and Expected Shortfall for the high-minus-low portfolios. From back-testing, e find consistent and robust evidence that our dynamic asymmetric copula model provides the most accurate forecasts, indicating the importance of incorporating the dynamic and asymmetric dependence structure in risk management.

Analyzing the effects of transient faults into applications

As computer chips implementation technologies evolve to obtain more performance, those computer chips are using smaller components, with bigger density of transistors and working with lower power voltages. All these factors turn the computer chips less robust and increase the probability of a transient fault. Transient faults may occur once and never more happen the same way in a computer system lifetime. There are distinct consequences when a transient fault occurs: the operating system might abort the execution if the change produced by the fault is detected by bad behavior of the application, but the biggest risk is that the fault produces an undetected data corruption that modifies the application final result without warnings (for example a bit flip in some crucial data). With the objective of researching transient faults in computer system’s processor registers and memory we have developed an extension of HP’s and AMD joint full system simulation environment, named COTSon. This extension allows the injection of faults that change a single bit in processor registers and memory of the simulated computer. The developed fault injection system makes it possible to: evaluate the effects of single bit flip transient faults in an application, analyze an application robustness against single bit flip transient faults and validate fault detection mechanism and strategies.

Quantifying rates of landscape evolution and tectonic processes by thermochronology and numerical modeling of crustal heat transport using PECUBE

PECUBE is a three-dimensional thermal-kinematic code capable of solving the heat production-diffusion-advection equation under a temporally varying surface boundary condition. It was initially developed to assess the effects of time-varying surface topography (relief) on low-temperature thermochronological datasets. Thermochronometric ages are predicted by tracking the time-temperature histories of rock-particles ending up at the surface and by combining these with various age-prediction models. In the decade since its inception, the PECUBE code has been under continuous development as its use became wider and addressed different tectonic-geomorphic problems. This paper describes several major recent improvements in the code, including its integration with an inverse-modeling package based on the Neighborhood Algorithm, the incorporation of fault-controlled kinematics, several different ways to address topographic and drainage change through time, the ability to predict subsurface (tunnel or borehole) data, prediction of detrital thermochronology data and a method to compare these with observations, and the coupling with landscape-evolution (or surface-process) models. Each new development is described together with one or several applications, so that the reader and potential user can clearly assess and make use of the capabilities of PECUBE. We end with describing some developments that are currently underway or should take place in the foreseeable future. (C) 2012 Elsevier B.V. All rights reserved.

Modeling AIDS vaccines: the cellular level

This paper discuses current strategies for the development of AIDS vaccines wich allow immunzation to disturb the natural course of HIV at different detailed stages of its life cycle. Mathematical models describing the main biological phenomena (i.e. virus and vaccine induced T4 cell growth; virus and vaccine induced activation latently infected T4 cells; incremental changes immune response as infection progress; antibody dependent enhancement and neutralization of infection) and allowing for different vaccination strategies serve as a backgroud for computer simulations. The mathematical models reproduce updated information on the behavior of immune cells, antibody concentrations and free viruses. The results point to some controversial outcomes of an AIDS vaccine such as an early increase in virus concentration among vaccinated when compared to nonvaccinated individuals.

Cell-based computational modeling of vascular morphogenesis using Tissue Simulation Toolkit.

Computational modeling has become a widely used tool for unraveling the mechanisms of higher level cooperative cell behavior during vascular morphogenesis. However, experimenting with published simulation models or adding new assumptions to those models can be daunting for novice and even for experienced computational scientists. Here, we present a step-by-step, practical tutorial for building cell-based simulations of vascular morphogenesis using the Tissue Simulation Toolkit (TST). The TST is a freely available, open-source C++ library for developing simulations with the two-dimensional cellular Potts model, a stochastic, agent-based framework to simulate collective cell behavior. We will show the basic use of the TST to simulate and experiment with published simulations of vascular network formation. Then, we will present step-by-step instructions and explanations for building a recent simulation model of tumor angiogenesis. Demonstrated mechanisms include cell-cell adhesion, chemotaxis, cell elongation, haptotaxis, and haptokinesis.

Aseptic meningoencephalitis mimicking transient ischaemic attacks.

PURPOSE: To highlight meningoencephalitis as a transient ischaemic attack (TIA) mimic and suggest clinical clues for differential diagnosis. METHODS: This was an observational study of consecutively admitted patients over a 9.75-year period presenting as TIAs at a stroke unit. RESULTS: A total of 790 patients with TIAs and seven with TIA-like symptoms but a final diagnosis of viral meningoencephalitis were recognised. The most frequent presentations of meningoencephalitis patients were acute sensory hemisyndrome (6) and cognitive deficits (5). Signs of meningeal irritation were minor or absent on presentation. Predominantly lymphocytic pleocytosis, hyperproteinorachia and a normal cerebrospinal fluid (CSF)/serum glucose index (in 5 out of 6 documented patients) were present. Meningeal thickening on a brain magnetic resonance imaging (MRI) scan was the only abnormal imaging finding. Six patients received initial vascular treatment; one thrombolysed. Finally, six patients were treated with antivirals and/or antibiotics. Although neither bacterial nor viral agents were identified on extensive testing, viral meningoencephalitis was the best explanation for all clinical and laboratory findings. CONCLUSIONS: Aseptic meningoencephalitis should be part of the differential diagnosis in patients presenting as TIA. The threshold for a lumbar puncture in such patients should be set individually and take into account the presence of mild meningeal symptoms, age and other risk factors for vascular disease, the results of brain imaging and the basic diagnostic work-up for a stroke source.

Evaluating the influence of spatial uncertainty in locality points for species distributional modeling

1. Species distribution modelling is used increasingly in both applied and theoretical research to predict how species are distributed and to understand attributes of species' environmental requirements. In species distribution modelling, various statistical methods are used that combine species occurrence data with environmental spatial data layers to predict the suitability of any site for that species. While the number of data sharing initiatives involving species' occurrences in the scientific community has increased dramatically over the past few years, various data quality and methodological concerns related to using these data for species distribution modelling have not been addressed adequately. 2. We evaluated how uncertainty in georeferences and associated locational error in occurrences influence species distribution modelling using two treatments: (1) a control treatment where models were calibrated with original, accurate data and (2) an error treatment where data were first degraded spatially to simulate locational error. To incorporate error into the coordinates, we moved each coordinate with a random number drawn from the normal distribution with a mean of zero and a standard deviation of 5 km. We evaluated the influence of error on the performance of 10 commonly used distributional modelling techniques applied to 40 species in four distinct geographical regions. 3. Locational error in occurrences reduced model performance in three of these regions; relatively accurate predictions of species distributions were possible for most species, even with degraded occurrences. Two species distribution modelling techniques, boosted regression trees and maximum entropy, were the best performing models in the face of locational errors. The results obtained with boosted regression trees were only slightly degraded by errors in location, and the results obtained with the maximum entropy approach were not affected by such errors. 4. Synthesis and applications. To use the vast array of occurrence data that exists currently for research and management relating to the geographical ranges of species, modellers need to know the influence of locational error on model quality and whether some modelling techniques are particularly robust to error. We show that certain modelling techniques are particularly robust to a moderate level of locational error and that useful predictions of species distributions can be made even when occurrence data include some error.

Nonvitamin-k-antagonist oral anticoagulants in patients with atrial fibrillation and previous stroke or transient ischemic attack: a systematic review and meta-analysis of randomized controlled trials.

BACKGROUND AND PURPOSE: To assess whether the combined analysis of all phase III trials of nonvitamin-K-antagonist (non-VKA) oral anticoagulants in patients with atrial fibrillation and previous stroke or transient ischemic attack shows a significant difference in efficacy or safety compared with warfarin. METHODS: We searched PubMed until May 31, 2012, for randomized clinical trials using the following search items: atrial fibrillation, anticoagulation, warfarin, and previous stroke or transient ischemic attack. Studies had to be phase III trials in atrial fibrillation patients comparing warfarin with a non-VKA currently on the market or with the intention to be brought to the market in North America or Europe. Analysis was performed on intention-to-treat basis. A fixed-effects model was used as more appropriate than a random-effects model when combining a small number of studies. RESULTS: Among 47 potentially eligible articles, 3 were included in the meta-analysis. In 14 527 patients, non-VKAs were associated with a significant reduction of stroke/systemic embolism (odds ratios, 0.85 [95% CI, 074-0.99]; relative risk reduction, 14%; absolute risk reduction, 0.7%; number needed to treat, 134 over 1.8-2.0 years) compared with warfarin. Non-VKAs were also associated with a significant reduction of major bleeding compared with warfarin (odds ratios, 0.86 [95% CI, 075-0.99]; relative risk reduction, 13%; absolute risk reduction, 0.8%; number needed to treat, 125), mainly driven by the significant reduction of hemorrhagic stroke (odds ratios, 0.44 [95% CI, 032-0.62]; relative risk reduction, 57.9%; absolute risk reduction, 0.7%; number needed to treat, 139). CONCLUSIONS: In the context of the significant limitations of combining the results of disparate trials of different agents, non-VKAs seem to be associated with a significant reduction in rates of stroke or systemic embolism, hemorrhagic stroke, and major bleeding when compared with warfarin in patients with previous stroke or transient ischemic attack.

Multimodel inference and multimodel averaging in empirical modeling of occupational exposure levels.

Empirical modeling of exposure levels has been popular for identifying exposure determinants in occupational hygiene. Traditional data-driven methods used to choose a model on which to base inferences have typically not accounted for the uncertainty linked to the process of selecting the final model. Several new approaches propose making statistical inferences from a set of plausible models rather than from a single model regarded as 'best'. This paper introduces the multimodel averaging approach described in the monograph by Burnham and Anderson. In their approach, a set of plausible models are defined a priori by taking into account the sample size and previous knowledge of variables influent on exposure levels. The Akaike information criterion is then calculated to evaluate the relative support of the data for each model, expressed as Akaike weight, to be interpreted as the probability of the model being the best approximating model given the model set. The model weights can then be used to rank models, quantify the evidence favoring one over another, perform multimodel prediction, estimate the relative influence of the potential predictors and estimate multimodel-averaged effects of determinants. The whole approach is illustrated with the analysis of a data set of 1500 volatile organic compound exposure levels collected by the Institute for work and health (Lausanne, Switzerland) over 20 years, each concentration having been divided by the relevant Swiss occupational exposure limit and log-transformed before analysis. Multimodel inference represents a promising procedure for modeling exposure levels that incorporates the notion that several models can be supported by the data and permits to evaluate to a certain extent model selection uncertainty, which is seldom mentioned in current practice.

Complementarities between mathematical and computational modeling: the case of the repeated Prisoners' Dilemma

We study the properties of the well known Replicator Dynamics when applied to a finitely repeated version of the Prisoners' Dilemma game. We characterize the behavior of such dynamics under strongly simplifying assumptions (i.e. only 3 strategies are available) and show that the basin of attraction of defection shrinks as the number of repetitions increases. After discussing the difficulties involved in trying to relax the 'strongly simplifying assumptions' above, we approach the same model by means of simulations based on genetic algorithms. The resulting simulations describe a behavior of the system very close to the one predicted by the replicator dynamics without imposing any of the assumptions of the mathematical model. Our main conclusion is that mathematical and computational models are good complements for research in social sciences. Indeed, while computational models are extremely useful to extend the scope of the analysis to complex scenarios hard to analyze mathematically, formal models can be useful to verify and to explain the outcomes of computational models.

Combination of transient lymphodepletion with busulfan and fludarabine and peptide vaccination in a phase I clinical trial for patients with advanced melanoma.

Taking advantage of homeostatic mechanisms to boost tumor-specific cellular immunity is raising increasing interest in the development of therapeutic strategies in the treatment of melanoma. Here, we have explored the potential of combining homeostatic proliferation, after transient immunosuppression, and antigenic stimulation of Melan-A/Mart-1 specific CD8 T-cells. In an effort to develop protocols that could be readily applicable to the clinic, we have designed a phase I clinical trial, involving lymphodepleting chemotherapy with Busulfan and Fludarabine, reinfusion of Melan-A specific CD8 T-cell containing peripheral blood mononuclear cells (exempt of growth factors), and Melan-A peptide vaccination. Six patients with advanced melanoma were enrolled in this outpatient regimen that demonstrated good feasibility combined with low toxicity. Consistent depletion of lymphocytes with persistent increased CD4/CD8 ratios was induced, although the proportion of circulating CD4 regulatory T-cells remained mostly unchanged. The study of the immune reconstitution period showed a steady recovery of whole T-cell numbers overtime. However, expansion of Melan-A specific CD8 T-cells, as measured in peripheral blood, was mostly inconsistent, accompanied with marginal phenotypic changes, despite vaccination with Melan-A/Mart-1 peptide. On the clinical level, 1 patient presented a partial but objective antitumor response following the beginning of the protocol, even though a direct effect of Busulfan/Fludarabine cannot be completely ruled out. Overall, these data provide further ground for the development of immunotherapeutic approaches to be both effective against melanoma and applicable in clinic.