Speculation, risk premia and expectations in the yield curve

An affine asset pricing model in which traders have rational but heterogeneous expectations aboutfuture asset prices is developed. We use the framework to analyze the term structure of interestrates and to perform a novel three-way decomposition of bond yields into (i) average expectationsabout short rates (ii) common risk premia and (iii) a speculative component due to heterogeneousexpectations about the resale value of a bond. The speculative term is orthogonal to public informationin real time and therefore statistically distinct from common risk premia. Empirically wefind that the speculative component is quantitatively important accounting for up to a percentagepoint of yields, even in the low yield environment of the last decade. Furthermore, allowing for aspeculative component in bond yields results in estimates of historical risk premia that are morevolatile than suggested by standard Affine Gaussian term structure models which our frameworknests.

Comparison of Energy Minimization Methods for 3-D Brain Tissue Classification

This paper presents 3-D brain tissue classificationschemes using three recent promising energy minimizationmethods for Markov random fields: graph cuts, loopybelief propagation and tree-reweighted message passing.The classification is performed using the well knownfinite Gaussian mixture Markov Random Field model.Results from the above methods are compared with widelyused iterative conditional modes algorithm. Theevaluation is performed on a dataset containing simulatedT1-weighted MR brain volumes with varying noise andintensity non-uniformities. The comparisons are performedin terms of energies as well as based on ground truthsegmentations, using various quantitative metrics.

The disturbing 'rise' of global income inequality

We use aggregate GDP data and within-country income shares for theperiod 1970-1998 to assign a level of income to each person in theworld. We then estimate the gaussian kernel density function for theworldwide distribution of income. We compute world poverty rates byintegrating the density function below the poverty lines. The $1/daypoverty rate has fallen from 20% to 5% over the last twenty five years.The $2/day rate has fallen from 44% to 18%. There are between 300 and500 million less poor people in 1998 than there were in the 70s.We estimate global income inequality using seven different popularindexes: the Gini coefficient, the variance of log-income, two ofAtkinson s indexes, the Mean Logarithmic Deviation, the Theil indexand the coefficient of variation. All indexes show a reduction in globalincome inequality between 1980 and 1998. We also find that most globaldisparities can be accounted for by across-country, not within-country,inequalities. Within-country disparities have increased slightly duringthe sample period, but not nearly enough to offset the substantialreduction in across-country disparities. The across-country reductionsin inequality are driven mainly, but not fully, by the large growth rateof the incomes of the 1.2 billion Chinese citizens. Unless Africa startsgrowing in the near future, we project that income inequalities willstart rising again. If Africa does not start growing, then China, India,the OECD and the rest of middle-income and rich countries diverge awayfrom it, and global inequality will rise. Thus, the aggregate GDP growthof the African continent should be the priority of anyone concerned withincreasing global income inequality.

Dispersal probability distributions and the wave-front speed problem

The speed and width of front solutions to reaction-dispersal models are analyzed both analytically and numerically. We perform our analysis for Laplace and Gaussian distribution kernels, both for delayed and nondelayed models. The results are discussed in terms of the characteristic parameters of the models

Decoding stimulus-related information from single-trial EEG responses based on voltage topographies

Neuroimaging studies typically compare experimental conditions using average brain responses, thereby overlooking the stimulus-related information conveyed by distributed spatio-temporal patterns of single-trial responses. Here, we take advantage of this rich information at a single-trial level to decode stimulus-related signals in two event-related potential (ERP) studies. Our method models the statistical distribution of the voltage topographies with a Gaussian Mixture Model (GMM), which reduces the dataset to a number of representative voltage topographies. The degree of presence of these topographies across trials at specific latencies is then used to classify experimental conditions. We tested the algorithm using a cross-validation procedure in two independent EEG datasets. In the first ERP study, we classified left- versus right-hemifield checkerboard stimuli for upper and lower visual hemifields. In a second ERP study, when functional differences cannot be assumed, we classified initial versus repeated presentations of visual objects. With minimal a priori information, the GMM model provides neurophysiologically interpretable features - vis à vis voltage topographies - as well as dynamic information about brain function. This method can in principle be applied to any ERP dataset testing the functional relevance of specific time periods for stimulus processing, the predictability of subject's behavior and cognitive states, and the discrimination between healthy and clinical populations.

Three-dimensional ordered-subset expectation maximization iterative protocol for evaluation of left ventricular volumes and function by quantitative gated SPECT: a dynamic phantom study.

The purposes of this study were to characterize the performance of a 3-dimensional (3D) ordered-subset expectation maximization (OSEM) algorithm in the quantification of left ventricular (LV) function with (99m)Tc-labeled agent gated SPECT (G-SPECT), the QGS program, and a beating-heart phantom and to optimize the reconstruction parameters for clinical applications. METHODS: A G-SPECT image of a dynamic heart phantom simulating the beating left ventricle was acquired. The exact volumes of the phantom were known and were as follows: end-diastolic volume (EDV) of 112 mL, end-systolic volume (ESV) of 37 mL, and stroke volume (SV) of 75 mL; these volumes produced an LV ejection fraction (LVEF) of 67%. Tomographic reconstructions were obtained after 10-20 iterations (I) with 4, 8, and 16 subsets (S) at full width at half maximum (FWHM) gaussian postprocessing filter cutoff values of 8-15 mm. The QGS program was used for quantitative measurements. RESULTS: Measured values ranged from 72 to 92 mL for EDV, from 18 to 32 mL for ESV, and from 54 to 63 mL for SV, and the calculated LVEF ranged from 65% to 76%. Overall, the combination of 10 I, 8 S, and a cutoff filter value of 10 mm produced the most accurate results. The plot of the measures with respect to the expectation maximization-equivalent iterations (I x S product) revealed a bell-shaped curve for the LV volumes and a reverse distribution for the LVEF, with the best results in the intermediate range. In particular, FWHM cutoff values exceeding 10 mm affected the estimation of the LV volumes. CONCLUSION: The QGS program is able to correctly calculate the LVEF when used in association with an optimized 3D OSEM algorithm (8 S, 10 I, and FWHM of 10 mm) but underestimates the LV volumes. However, various combinations of technical parameters, including a limited range of I and S (80-160 expectation maximization-equivalent iterations) and low cutoff values (< or =10 mm) for the gaussian postprocessing filter, produced results with similar accuracies and without clinically relevant differences in the LV volumes and the estimated LVEF.

Improved multiexponential transient spectroscopy by iterative deconvolution

The analysis of multiexponential decays is challenging because of their complex nature. When analyzing these signals, not only the parameters, but also the orders of the models, have to be estimated. We present an improved spectroscopic technique specially suited for this purpose. The proposed algorithm combines an iterative linear filter with an iterative deconvolution method. A thorough analysis of the noise effect is presented. The performance is tested with synthetic and experimental data.

Diagnostic techniques applied in geostatistics for agricultural data analysis

The structural modeling of spatial dependence, using a geostatistical approach, is an indispensable tool to determine parameters that define this structure, applied on interpolation of values at unsampled points by kriging techniques. However, the estimation of parameters can be greatly affected by the presence of atypical observations in sampled data. The purpose of this study was to use diagnostic techniques in Gaussian spatial linear models in geostatistics to evaluate the sensitivity of maximum likelihood and restrict maximum likelihood estimators to small perturbations in these data. For this purpose, studies with simulated and experimental data were conducted. Results with simulated data showed that the diagnostic techniques were efficient to identify the perturbation in data. The results with real data indicated that atypical values among the sampled data may have a strong influence on thematic maps, thus changing the spatial dependence structure. The application of diagnostic techniques should be part of any geostatistical analysis, to ensure a better quality of the information from thematic maps.

Tc-99m-MAA SPECT-derived tumor-to-normal liver ratios for partition model dosimetry in selective internal radiation therapy (SIRT)

Aim: When planning SIRT using 90Y microspheres, the partition model is used to refine the activity calculated by the body surface area (BSA) method to potentially improve the safety and efficacy of treatment. For this partition model dosimetry, accurate determination of mean tumor-to-normal liver ratio (TNR) is critical since it directly impacts absorbed dose estimates. This work aimed at developing and assessing a reliable methodology for the calculation of 99mTc-MAA SPECT/CT-derived TNR ratios based on phantom studies. Materials and methods: IQ NEMA (6 hot spheres) and Kyoto liver phantoms with different hot/background activity concentration ratios were imaged on a SPECT/CT (GE Infinia Hawkeye 4). For each reconstruction with the IQ phantom, TNR quantification was assessed in terms of relative recovery coefficients (RC) and image noise was evaluated in terms of coefficient of variation (COV) in the filled background. RCs were compared using OSEM with Hann, Butterworth and Gaussian filters, as well as FBP reconstruction algorithms. Regarding OSEM, RCs were assessed by varying different parameters independently, such as the number of iterations (i) and subsets (s) and the cut-off frequency of the filter (fc). The influence of the attenuation and diffusion corrections was also investigated. Furthermore, both 2D-ROIs and 3D-VOIs contouring were compared. For this purpose, dedicated Matlab© routines were developed in-house for automatic 2D-ROI/3D-VOI determination to reduce intra-user and intra-slice variability. Best reconstruction parameters and RCs obtained with the IQ phantom were used to recover corrected TNR in case of the Kyoto phantom for arbitrary hot-lesion size. In addition, we computed TNR volume histograms to better assess uptake heterogeneityResults: The highest RCs were obtained with OSEM (i=2, s=10) coupled with the Butterworth filter (fc=0.8). Indeed, we observed a global 20% RC improvement over other OSEM settings and a 50% increase as compared to the best FBP reconstruction. In any case, both attenuation and diffusion corrections must be applied, thus improving RC while preserving good image noise (COV<10%). Both 2D-ROI and 3D-VOI analysis lead to similar results. Nevertheless, we recommend using 3D-VOI since tumor uptake regions are intrinsically 3D. RC-corrected TNR values lie within 17% around the true value, substantially improving the evaluation of small volume (<15 mL) regions. Conclusions: This study reports the multi-parameter optimization of 99mTc MAA SPECT/CT images reconstruction in planning 90Y dosimetry for SIRT. In phantoms, accurate quantification of TNR was obtained using OSEM coupled with Butterworth and RC correction.

Hysteresis and avalanches in the T=0 random field ising model with 2-spin flip dynamics

We study the nonequilibrium behavior of the three-dimensional Gaussian random-field Ising model at T=0 in the presence of a uniform external field using a two-spin-flip dynamics. The deterministic, history-dependent evolution of the system is compared with the one obtained with the standard one-spin-flip dynamics used in previous studies of the model. The change in the dynamics yields a significant suppression of coercivity, but the distribution of avalanches (in number and size) stays remarkably similar, except for the largest ones that are responsible for the jump in the saturation magnetization curve at low disorder in the thermodynamic limit. By performing a finite-size scaling study, we find strong evidence that the change in the dynamics does not modify the universality class of the disorder-induced phase transition.

External dichotomous noise: The problem of the mean-first-passage time

A retarded backward equation for a non-Markovian process induced by dichotomous noise (the random telegraphic signal) is deduced. The mean-first-passage time of this process is exactly obtained. The Gaussian white noise and the white shot noise limits are studied. Explicit physical results in first approximation are evaluated.

Transient and preparation colored-noise effects: The nonlinear relaxation-time approach

We develop a singular perturbation approach to the problem of the calculation of a characteristic time (the nonlinear relaxation time) for non-Markovian processes driven by Gaussian colored noise with small correlation time. Transient and initial preparation effects are discussed and explicit results for prototype situations are obtained. New effects on the relaxation of unstable states are predicted. The approach is compared with previous techniques.

Decay of unstable states in the presence of colored noise and random initial conditions. I. Theory of nonlinear relaxation times

The general theory of nonlinear relaxation times is developed for the case of Gaussian colored noise. General expressions are obtained and applied to the study of the characteristic decay time of unstable states in different situations, including white and colored noise, with emphasis on the distributed initial conditions. Universal effects of the coupling between colored noise and random initial conditions are predicted.

Variational analysis of the Gross-Neveu model in an S^1 space

The Gross-Neveu model in an S^1 space is analyzed by means of a variational technique: the Gaussian effective potential. By making the proper connection with previous exact results at finite temperature, we show that this technique is able to describe the phase transition occurring in this model. We also make some remarks about the appropriate treatment of Grassmann variables in variational approaches.

Dispersionless transport in a washboard potential

We study and characterize a new dynamical regime of underdamped particles in a tilted washboard potential. We find that for small friction in a finite range of forces the particles move essentially nondispersively, that is, coherently, over long intervals of time. The associated distribution of the particle positions moves at an essentially constant velocity and is far from Gaussian-like. This new regime is complementary to, and entirely different from, well-known nonlinear response and large dispersion regimes observed for other values of the external force.