Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

Spontaneous Interblink Time Distributions in Patients with Graves` Orbitopathy and Normal Subjects

PURPOSE. To determine the shape of spontaneous interblink time interval distributions obtained in a long observation period in normal subjects and patients with Graves` orbitopathy. METHODS. The magnetic search coil technique was used to register the spontaneous blinking activity during 1 hour of video observation of two groups of 10 subjects each (normal controls aged 27-61 years, mean +/- SD = 46.0 +/- 13.6; patients with Graves` orbitopathy aged 33-61 years, mean +/- SD +/- 46.7 +/- 8.9). The spontaneous blink rate of each subject was calculated for the entire period of observation and for 56 five-minute bins. Histograms of the interblink time interval were plotted for each measurement of blink rate. RESULTS. Neither the overall mean blink rate (controls, 19.8 +/- 4.9; Graves`, 17.6 +/- 5.4) nor the interblink time (controls, 5.2 +/- 3.1, Graves`, 7.9 +/- 3.5) differed between the two groups. There was a large variation of both measurements when the 5-minute bins were considered. The interblink time distribution of all subjects was highly positively skewed when the 1-hour period was measured. A significant number of the 5-minute bin distributions deviated from the overall pattern and became symmetric. CONCLUSIONS. The normal blinking process is characterized by highly positively skewed interblink time distributions. This result means that most blinks have a short time interval, and occasionally a small number of blinks have long time intervals. The different patterns of distribution described in the early literature probably represent artifacts because of the small samples analyzed. (Invest Ophthalmol Vis Sci. 2011;52:3419-3424) DOI:10.1167/iovs.10-7060

Drosophila melanogaster lipins are tissue-regulated and developmentally regulated and present specific subcellular distributions

Lipins constitute a novel family of Mg2+-dependent phosphatidate phosphatases that catalyze the dephosphorylation of phosphatidic acid to yield diacylglycerol, an important intermediate in lipid metabolism and cell signaling. Whereas a single lipin is detected in less complex organisms, in mammals there are distinct lipin isoforms and paralogs that are differentially expressed among tissues. Compatible with organism tissue complexity, we show that the single Drosophila Lpin1 ortholog (CG8709, here named DmLpin) expresses at least three isoforms (DmLpinA, DmLpinK and DmLpinJ) in a temporal and spatially regulated manner. The highest levels of lipin in the fat body, where DmLpinA and DmLpinK are expressed, correlate with the highest levels of triacylglycerol (TAG) measured in this tissue. DmLpinK is the most abundant isoform in the central nervous system, where TAG levels are significantly lower than in the fat body. In the testis, where TAG levels are even lower, DmLpinJ is the predominant isoform. Together, these data suggest that DmLpinA might be the isoform that is mainly involved in TAG production, and that DmLpinK and DmLpinJ could perform other cellular functions. In addition, we demonstrate by immunofluorescence that lipins are most strongly labeled in the perinuclear region of the fat body and ventral ganglion cells. In visceral muscles of the larval midgut and adult testis, lipins present a sarcomeric distribution. In the ovary chamber, the lipin signal is concentrated in the internal rim of the ring canal. These specific subcellular localizations of the Drosophila lipins provide the basis for future investigations on putative novel cellular functions of this protein family.

Models involving two inverse Weibull distributions

In this paper, we look at three models (mixture, competing risk and multiplicative) involving two inverse Weibull distributions. We study the shapes of the density and failure-rate functions and discuss graphical methods to determine if a given data set can be modelled by one of these models. (C) 2001 Elsevier Science Ltd. All rights reserved.

Fitting mixtures of Kent distributions to aid in joint set identification

When examining a rock mass, joint sets and their orientations can play a significant role with regard to how the rock mass will behave. To identify joint sets present in the rock mass, the orientation of individual fracture planer can be measured on exposed rock faces and the resulting data can be examined for heterogeneity. In this article, the expectation-maximization algorithm is used to lit mixtures of Kent component distributions to the fracture data to aid in the identification of joint sets. An additional uniform component is also included in the model to accommodate the noise present in the data.

Calculation of product state distributions from resonance decay via Lanczos subspace filter diagonalization: Application to HO2

Resonance phenomena associated with the unimolecular dissociation of HO2 have been investigated quantum-mechanically by the Lanczos homogeneous filter diagonalization (LHFD) method. The calculated resonance energies, rates (widths), and product state distributions are compared to results from an autocorrelation function-based filter diagonalization (ACFFD) method. For calculating resonance wave functions via ACFFD, an analytical expression for the expansion coefficients of the modified Chebyshev polynomials is introduced. Both dissociation rates and product state distributions of O-2 show strong fluctuations, indicating the dissociation of HO2 is essentially irregular. (C) 2001 American Institute of Physics.

Calculation of resonances and product state distributions for the unimolecular dissociation of H2S

Resonance phenomena associated with the unimolecular dissociation of H2S --> SH + H have been investigated quantum mechanically by the Lanczos homogeneous filter diagonalization method using a newly developed potential energy surface (J. Chem. Phys. 2001, 114, 320). Resonance energies, widths (rates), and product state distributions have been obtained. Both dissociation rates and product state distributions of SH show, strong fluctuations, indicating that the dissociation of H2S is essentially irregular. Statistical analysis of neighboring level spacing and width distributions also confirms this behavior. The dissociation rates and product state distributions are compared to the predictions of quantum phase space theory.

A note on quasi-stationary distributions of birth-death processes and the SIS logistic epidemic

For Markov processes on the positive integers with the origin as an absorbing state, Ferrari, Kesten, Martinez and Picco studied the existence of quasi-stationary and limiting conditional distributions by characterizing quasi-stationary distributions as fixed points of a transformation Phi on the space of probability distributions on {1, 2,.. }. In the case of a birth-death process, the components of Phi(nu) can be written down explicitly for any given distribution nu. Using this explicit representation, we will show that Phi preserves likelihood ratio ordering between distributions. A conjecture of Kryscio and Lefevre concerning the quasi-stationary distribution of the SIS logistic epidemic follows as a corollary.

Multimodal species abundance distributions: a deconstruction approach reveals the processes behind the pattern

Copyright © 2014 The Authors. Oikos © 2014 Nordic Society Oikos.

The gambin model provides a superior fit to species abundance distributions with a single free parameter : evidence, implementation and interpretation

The species abundance distribution (SAD) has been a central focus of community ecology for over fifty years, and is currently the subject of widespread renewed interest. The gambin model has recently been proposed as a model that provides a superior fit to commonly preferred SAD models. It has also been argued that the model's single parameter (α) presents a potentially informative ecological diversity metric, because it summarises the shape of the SAD in a single number. Despite this potential, few empirical tests of the model have been undertaken, perhaps because the necessary methods and software for fitting the model have not existed. Here, we derive a maximum likelihood method to fit the model, and use it to undertake a comprehensive comparative analysis of the fit of the gambin model. The functions and computational code to fit the model are incorporated in a newly developed free-to-download R package (gambin). We test the gambin model using a variety of datasets and compare the fit of the gambin model to fits obtained using the Poisson lognormal, logseries and zero-sum multinomial distributions. We found that gambin almost universally provided a better fit to the data and that the fit was consistent for a variety of sample grain sizes. We demonstrate how α can be used to differentiate intelligibly between community structures of Azorean arthropods sampled in different land use types. We conclude that gambin presents a flexible model capable of fitting a wide variety of observed SAD data, while providing a useful index of SAD form in its single fitted parameter. As such, gambin has wide potential applicability in the study of SADs, and ecology more generally.

Polycyclic aromatic hydrocarbons in gas and particulate phases of indoor environments influenced by tobacco smoke: levels, phase distributions, and health risks

As polycyclic aromatic hydrocarbons (PAHs) have a negative impact on human health due to their mutagenic and/or carcinogenic properties, the objective of this work was to study the influence of tobacco smoke on levels and phase distribution of PAHs and to evaluate the associated health risks. The air samples were collected at two homes; 18 PAHs (the 16 PAHs considered by U.S. EPA as priority pollutants, dibenzo[a,l]pyrene and benzo[j]fluoranthene) were determined in gas phase and associated with thoracic (PM10) and respirable (PM2.5) particles. At home influenced by tobacco smoke the total concentrations of 18 PAHs in air ranged from 28.3 to 106 ngm 3 (mean of 66.7 25.4 ngm 3),∑PAHs being 95% higher than at the non-smoking one where the values ranged from 17.9 to 62.0 ngm 3 (mean of 34.5 16.5 ngm 3). On average 74% and 78% of ∑PAHs were present in gas phase at the smoking and non-smoking homes, respectively, demonstrating that adequate assessment of PAHs in air requires evaluation of PAHs in both gas and particulate phases. When influenced by tobacco smoke the health risks values were 3.5e3.6 times higher due to the exposure of PM10. The values of lifetime lung cancer risks were 4.1 10 3 and 1.7 10 3 for the smoking and nonsmoking homes, considerably exceeding the health-based guideline level at both homes also due to the contribution of outdoor traffic emissions. The results showed that evaluation of benzo[a]pyrene alone would probably underestimate the carcinogenic potential of the studied PAH mixtures; in total ten carcinogenic PAHs represented 36% and 32% of the gaseous ∑PAHs and in particulate phase they accounted for 75% and 71% of ∑PAHs at the smoking and non-smoking homes, respectively.

Equilibrium distributions of discrete non-autonomous graphs

We introduce the notions of equilibrium distribution and time of convergence in discrete non-autonomous graphs. Under some conditions we give an estimate to the convergence time to the equilibrium distribution using the second largest eigenvalue of some matrices associated with the system.

Angular distributions in t(t)over-barH(H -> b(b)over-bar) reconstructed events at the LHC

The associated production of a Higgs boson and a top-quark pair, t (t) over barH, in proton-proton collisions is addressed in this paper for a center of mass energy of 13 TeV at the LHC. Dileptonic final states of t (t) over barH events with two oppositely charged leptons and four jets from the decays t -> bW(+) -> bl(+)v(l), (t) over bar -> (b) over barW(-) -> (b) over barl(-)(v) over bar (l) and h -> b (b) over bar are used. Signal events, generated with MadGraph5_aMC@NLO, are fully reconstructed by applying a kinematic fit. New angular distributions of the decay products as well as angular asymmetries are explored in order to improve discrimination of t (t) over barH signal events over the dominant irreducible background contribution, t (t) over barb (b) over bar. Even after the full kinematic fit reconstruction of the events, the proposed angular distributions and asymmetries are still quite different in the t (t) over barH signal and the dominant background (t (t) over barb (b) over bar).