A Semi-Parametric Factor Model for Interest Rates.

Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor models of interest rates but proposes a semi-parametric procedure to model interest rates.

The use of the bi-factor model to test the uni-dimensionality of a battery of reasoning tests

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A three-regime model of speculative behaviour: modelling the evolution of the S&P 500 composite index

We examine whether a three-regime model that allows for dormant, explosive and collapsing speculative behaviour can explain the dynamics of the S&P 500. We extend existing models of speculative behaviour by including a third regime that allows a bubble to grow at a steady rate, and propose abnormal volume as an indicator of the probable time of bubble collapse. We also examine the financial usefulness of the three-regime model by studying a trading rule formed using inferences from it, whose use leads to higher Sharpe ratios and end of period wealth than from employing existing models or a buy-and-hold strategy.

A three-compartment model of the hemodynamic response and oxygen delivery to brain

We describe a mathematical model linking changes in cerebral blood flow, blood volume and the blood oxygenation state in response to stimulation. The model has three compartments to take into account the fact that the cerebral blood flow and volume as measured concurrently using laser Doppler flowmetry and optical imaging spectroscopy have contributions from the arterial, capillary as well as the venous compartments of the vasculature. It is an extension to previous one-compartment hemodynamic models which assume that the measured blood volume changes are from the venous compartment only. An important assumption of the model is that the tissue oxygen concentration is a time varying state variable of the system and is driven by the changes in metabolic demand resulting from changes in neural activity. The model takes into account the pre-capillary oxygen diffusion by flexibly allowing the saturation of the arterial compartment to be less than unity. Simulations are used to explore the sensitivity of the model and to optimise the parameters for experimental data. We conclude that the three-compartment model was better than the one-compartment model at capturing the hemodynamics of the response to changes in neural activation following stimulation.

Enhanced three-factor security protocol for consumer USB mass storage devices

The Universal Serial Bus (USB) is an extremely popular interface standard for computer peripheral connections and is widely used in consumer Mass Storage Devices (MSDs). While current consumer USB MSDs provide relatively high transmission speed and are convenient to carry, the use of USB MSDs has been prohibited in many commercial and everyday environments primarily due to security concerns. Security protocols have been previously proposed and a recent approach for the USB MSDs is to utilize multi-factor authentication. This paper proposes significant enhancements to the three-factor control protocol that now makes it secure under many types of attacks including the password guessing attack, the denial-of-service attack, and the replay attack. The proposed solution is presented with a rigorous security analysis and practical computational cost analysis to demonstrate the usefulness of this new security protocol for consumer USB MSDs.

Real-time factor model forecasting and the effects of instability

Factor forecasting models are shown to deliver real-time gains over autoregressive models for US real activity variables during the recent period, but are less successful for nominal variables. The gains are largely due to the Financial Crisis period, and are primarily at the shortest (one quarter ahead) horizon. Excluding the pre-Great Moderation years from the factor forecasting model estimation period (but not from the data used to extract factors) results in a marked fillip in factor model forecast accuracy, but does the same for the AR model forecasts. The relative performance of the factor models compared to the AR models is largely unaffected by whether the exercise is in real time or is pseudo out-of-sample.

A new three-locus model for rootstock-induced dwarfing in apple revealed by genetic mapping of root bark percentage

Rootstock-induced dwarfing of apple scions revolutionized global apple production during the twentieth century, leading to the development of modern intensive orchards. A high root bark percentage (the percentage of the whole root area constituted by root cortex) has previously been associated with rootstock induced dwarfing in apple. In this study, the root bark percentage was measured in a full-sib family of ungrafted apple rootstocks and found to be under the control of three loci. Two QTL for root bark percentage were found to co-localise to the same genomic regions on chromosome 5 and chromosome 11 previously identified as controlling dwarfing, Dw1 and Dw2, respectively. A third QTL was identified on chromosome 13 in a region that has not been previously associated with dwarfing. The development of closely linked 3 Sequence-tagged site STS markers improved the resolution of allelic classes thereby allowing the detection of dominance and epistatic interactions between loci, with high root bark percentage only occurring in specific allelic combinations. In addition, we report a significant negative correlation between root bark percentage and stem diameter (an indicator of tree vigour), measured on a clonally propagated grafted subset of the mapping population. The demonstrated link between root bark percentage and rootstock-induced dwarfing of the scion leads us to propose a three-locus model that is able to explain levels of dwarfing from the dwarf ‘M.27’ to the semi-invigorating rootstock ‘M.116’. Moreover, we suggest that the QTL on chromosome 13 (Rb3) might be analogous to a third dwarfing QTL, Dw3 that has not previously been identified.

A three-state model for the photophysics of guanine

The nonadiabatic photochemistry of the guanine molecule (2-amino-6-oxopurine) and some of its tautomers has been studied by means of the high-level theoretical ab initio quantum chemistry methods CASSCF and CASPT2. Accurate computations, based by the first time on minimum energy reaction paths, states minima, transition states, reaction barriers, and conical intersections on the potential energy hypersurfaces of the molecules lead to interpret the photochemistry of guanine and derivatives within a three-state model. As in the other purine DNA nucleobase, adenine, the ultrafast subpicosecond fluorescence decay measured in guanine is attributed to the barrierless character of the path leading from the initially populated (1)(pi pi* L-a) spectroscopic state of the molecule toward the low-lying methanamine-like conical intersection (gs/pi pi* L-a)(CI). On the contrary, other tautomers are shown to have a reaction energy barrier along the main relaxation profile. A second, slower decay is attributed to a path involving switches toward two other states, (1)(pi pi* L-b) and, in particular, (1)(n(o)pi*), ultimately leading to conical intersections with the ground state. A common framework for the ultrafast relaxation of the natural nucleobases is obtained in which the predominant role of a pi pi*-type state is confirmed.

Three-body model of the final state interaction in heavy meson decay

We develop a relativistic three-body model for the final state interaction in D(+) -> K(-) pi(+) pi(+) decay based on the ladder approximation of the Bethe-Salpeter equation. The decay amplitude has the standard two-meson resonant transition matrix modulated by a spectator amplitude that carries a fully interacting three-body contribution and a smooth background term from the partonic amplitude. Our calculations are compared with D decay data.

An improved three-dimensional model for growth of oxide films induced by laser heating

In this paper we consider a three-dimensional heat diffusion model to explain the growth of oxide films which takes place when a laser beam is shined on and heats a metallic layer deposited on a glass substrate in a normal atmospheric environment. In particular, we apply this model to the experimental results obtained for the dependence of the oxide layer thickness on the laser density power for growth of TiO2 films grown on Ti-covered glass slides. We show that there is a very good agreement between the experimental results and the theoretical predictions from our proposed three-dimensional model, improving the results obtained with the one-dimensional heat diffusion model previously reported. Our theoretical results also show the occurrence of surface cooling between consecutive laser pulses, and that the oxide track surface profile closely follows the spatial laser profile indicating that heat diffusive effects can be neglected in the growth of oxide films by laser heating. © 2001 Elsevier Science B.V.

Exotic neutron-rich nuclei in a three-body model

We present results for spatial distributions of weakly-bound three-body systems, derived from a universal scaling function that depends on the mass ratio of the particles, as well as on the nature of the subsystems. © 2007 American Institute of Physics.

Relativistic three-body model for final state interaction in D+ → K-π+π+ decay

A challenge in mesonic three-body decays of heavy mesons is to quantify the contribution of re-scattering between the final mesons. D decays have the unique feature that make them a key to light meson spectroscopy, in particular to access the Kn S-wave phase-shifts. We built a relativis-tic three-body model for the final state interaction in D+ → K -π+π+ decay based on the ladder approximation of the Bethe-Salpeter equation projected on the light-front. The decay amplitude is separated in a smooth term, given by the direct partonic decay amplitude, and a three-body fully interacting contribution, that is factorized in the standard two-meson resonant amplitude times a reduced complex amplitude that carries the effect of the three-body rescattering mechanism. The off-shell reduced amplitude is a solution of an inhomogeneous Faddeev type three-dimensional integral equation, that includes only isospin 1/2 K -π+ interaction in the S-wave channel. The elastic K-π+ scattering amplitude is parameterized according to the LASS data[1]. The integral equation is solved numerically and preliminary results are presented and compared to the experimental data from the E791 Collaboration[2, 3] and FOCUS Collaboration[4, 5].

Halo nuclei in a three-body model and universal characteristics of low-energy few-body systems

Within general characteristics of low-energy few-body systems, we revise some well-known correlations found in nuclear physics, and the properties of low-mass halo nuclei in a three-body neutron-neutron-core model. In this context, near the critical conditions for the occurrence of an Efimov state, we report some results obtained for the neutron- 19C elastic scattering. © 2010 American Institute of Physics.