Certified Rapid Solution of Parametrized Linear Elliptic Equations: Application to Parameter Estimation

We present a technique for the rapid and reliable evaluation of linear-functional output of elliptic partial differential equations with affine parameter dependence. The essential components are (i) rapidly uniformly convergent reduced-basis approximations — Galerkin projection onto a space WN spanned by solutions of the governing partial differential equation at N (optimally) selected points in parameter space; (ii) a posteriori error estimation — relaxations of the residual equation that provide inexpensive yet sharp and rigorous bounds for the error in the outputs; and (iii) offline/online computational procedures — stratagems that exploit affine parameter dependence to de-couple the generation and projection stages of the approximation process. The operation count for the online stage — in which, given a new parameter value, we calculate the output and associated error bound — depends only on N (typically small) and the parametric complexity of the problem. The method is thus ideally suited to the many-query and real-time contexts. In this paper, based on the technique we develop a robust inverse computational method for very fast solution of inverse problems characterized by parametrized partial differential equations. The essential ideas are in three-fold: first, we apply the technique to the forward problem for the rapid certified evaluation of PDE input-output relations and associated rigorous error bounds; second, we incorporate the reduced-basis approximation and error bounds into the inverse problem formulation; and third, rather than regularize the goodness-of-fit objective, we may instead identify all (or almost all, in the probabilistic sense) system configurations consistent with the available experimental data — well-posedness is reflected in a bounded "possibility region" that furthermore shrinks as the experimental error is decreased.

Quantifying rock fabrics: a test of autocorrelation of the spatial distribution of cristals

A novel test of spatial independence of the distribution of crystals or phases in rocks based on compositional statistics is introduced. It improves and generalizes the common joins-count statistics known from map analysis in geographic information systems. Assigning phases independently to objects in RD is modelled by a single-trial multinomial random function Z(x), where the probabilities of phases add to one and are explicitly modelled as compositions in the K-part simplex SK. Thus, apparent inconsistencies of the tests based on the conventional joins{count statistics and their possibly contradictory interpretations are avoided. In practical applications we assume that the probabilities of phases do not depend on the location but are identical everywhere in the domain of de nition. Thus, the model involves the sum of r independent identical multinomial distributed 1-trial random variables which is an r-trial multinomial distributed random variable. The probabilities of the distribution of the r counts can be considered as a composition in the Q-part simplex SQ. They span the so called Hardy-Weinberg manifold H that is proved to be a K-1-affine subspace of SQ. This is a generalisation of the well-known Hardy-Weinberg law of genetics. If the assignment of phases accounts for some kind of spatial dependence, then the r-trial probabilities do not remain on H. This suggests the use of the Aitchison distance between observed probabilities to H to test dependence. Moreover, when there is a spatial uctuation of the multinomial probabilities, the observed r-trial probabilities move on H. This shift can be used as to check for these uctuations. A practical procedure and an algorithm to perform the test have been developed. Some cases applied to simulated and real data are presented. Key words: Spatial distribution of crystals in rocks, spatial distribution of phases, joins-count statistics, multinomial distribution, Hardy-Weinberg law, Hardy-Weinberg manifold, Aitchison geometry

Modelación estocástica y trading algorítmico del spread entre acciones mediante procesos de reversión a la media

Las estrategias de inversión pairs trading se basan en desviaciones del precio entre pares de acciones correlacionadas y han sido ampliamente implementadas por fondos de inversión tomando posiciones largas y cortas en las acciones seleccionadas cuando surgen divergencias y obteniendo utilidad cerrando la posición al converger. Se describe un modelo de reversión a la media para analizar la dinámica que sigue el diferencial del precio entre acciones ordinarias y preferenciales de una misma empresa en el mismo mercado. La media de convergencia en el largo plazo es obtenida con un filtro de media móvil, posteriormente, los parámetros del modelo de reversión a la media se estiman mediante un filtro de Kalman bajo una formulación de estado espacio sobre las series históricas. Se realiza un backtesting a la estrategia de pairs trading algorítmico sobre el modelo propuesto indicando potenciales utilidades en mercados financieros que se observan por fuera del equilibrio. Aplicaciones de los resultados podrían mostrar oportunidades para mejorar el rendimiento de portafolios, corregir errores de valoración y sobrellevar mejor periodos de bajos retornos.

Descomposición de la estructura a términos de las tasas de interés de los bonos soberanos de Estados Unidos y Colombia

En el presente documento se descompone la estructura a términos de las tasas de interés de los bonos soberanos de EE.UU. y Colombia. Se utiliza un modelo afín de cuatro factores, donde el primero de ellos corresponde a un factor de pronóstico de los retornos y, los demás, a los tres primeros componentes principales de la matriz de varianza-covarianza de las tasas de interés. Para la descomposición de las tasas de interés de Colombia se utiliza el factor de pronóstico de EE.UU. para capturar efectos de spillovers. Se logra concluir que las tasas en EE.UU. no tienen un efecto sobre el nivel de tasas en Colombia pero sí influyen en los excesos de retorno esperado de los bonos y también existen efectos sobre los factores locales, aunque el factor determinante de la dinámica de las tasas locales es el “nivel”. De la descomposición se obtienen las expectativas de la tasa corta y la prima por vencimiento. En ese sentido, se observa que el valor de la prima por vencimiento y su volatilidad incrementa con el vencimiento y que este valor ha venido disminuyendo en el tiempo.

Estructura a Plazo Colombia: Modelo Afín de tres factores

La estimación e interpretación de la estructura a plazo de la tasas de interés es de gran relevancia porque permite realizar pronósticos, es fundamental para la toma de decisiones de política monetaria y fiscal, es esencial en la administración de riesgos y es insumo para la valoración de diferentes activos financieros. Por estas razones, es necesario entender que puede provocar un movimiento en la estructura a plazo. En este trabajo se estiman un modelo afín exponencial de tres factores aplicado a los rendimientos de los títulos en pesos de deuda pública colombianos. Los factores estimados son la tasa corta, la media de largo plazo de la tasa corta y la volatilidad de la tasa corta. La estimación se realiza para el periodo enero 2010 a mayo de 2015 y se realiza un análisis de correlaciones entre los tres factores. Posterior a esto, con los factores estimados se realiza una regresión para identificar la importancia que tiene cada uno de estos en el comportamiento de las tasas de los títulos de deuda pública colombiana para diferentes plazos al vencimiento. Finalmente, se estima la estructura a plazo de las tasas de interés para Colombia y se identifica la relación de los factores estimados con los encontrados por Litterman y Scheinkman [1991] correspondientes al nivel, pendiente y curvatura.

Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis

In this paper we use the most representative models that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. We find that affine models do not provide adequate performance either in-sample or out-of-sample. On the contrary, parsimonious models such as Nelson and Siegel have adequate results in-sample, however out-of-sample they are not able to systematically improve upon random walk base forecast.

A critical assessment of unbalanced surface stresses: Some complementary considerations

The wide-ranging survey of twisted growth in polymers by Lotz and Cheng cites extensive evidence consistent with the relief of surface stress being the underlying cause. This complementary note contributes to the discussion by making three main points. First, it is necessary to go further and explain the key issue of how a consistent twist is maintained when, as commonly, this habit has a lower symmetry than the crystallographic lattice. Detailed study has shown that, in polyethylene, this occurs by reorganization of the initial fold surfaces. Second, the suggested explanation by Keith and Padden that. in polyethylene, the asymmetric habit derives from molecules adding to lamellae with inclined fold surfaces is invalid being doubly inconsistent with observation. Third, twisting has now been linked to faster growth by study of row structures in polyethylene. This produces inherently rough fold surfaces in Regime II whose internal stresses drive reorganization and twisting. For slower (Regime I) growth, fold surfaces form with and maintain ordered packing so providing no basis for twisting. These new insights radically alter the context of twisted growth and provide a firm factual basis for further work. (c) 2005 Elsevier Ltd. All rights reserved.

Contactless power transfer system for rotating applications

In applications such as radar and wind turbines, it is often necessary to transfer power across a constantly rotating interface. As the rotation is continuous, it would be impossible to use wires to transfer the power as they would soon become twisted and stretched and the system would fail. The widespread solution to this problem is to use a slip-ring.

Intermittent release of transients in the slow solar wind: 1. Remote sensing observations

The Heliospheric Imager (HI) instruments on board the STEREO spacecraft are used to analyze the solar wind during August and September 2007. We show how HI can be used to image the streamer belt and, in particular, the variability of the slow solar wind which originates inside and in the vicinity of the streamer belt. Intermittent mass flows are observed in HI difference images, streaming out along the extension of helmet streamers. These flows can appear very differently in images: plasma distributed on twisted flux ropes, V‐shaped structures, or “blobs.” The variety of these transient features may highlight the richness of phenomena that could occur near helmet streamers: emergence of flux ropes, reconnection of magnetic field lines at the tip of helmet streamers, or disconnection of open magnetic field lines. The plasma released with these transient events forms part of the solar wind in the higher corona; HI observations show that these transients are frequently entrained by corotating interaction regions (CIRs), leading to the formation of larger, brighter plasma structures in HI images. This entrainment is used to estimate the trajectory of these plasma ejecta. In doing so, we demonstrate that successive transients can be entrained by the same CIR in the high corona if they emanate from the same corotating source. Some parts of the streamers are more effective sources of transients than others. Surprisingly, evidence is given for the outflow of a recurring twisted magnetic structure, suggesting that the emergence of flux ropes can be recurrent.

Spectral functions of half-filled one-dimensional Hubbard rings with varying boundary conditions

We study the effect of varying the boundary condition on: the spectral function of a finite one-dimensional Hubbard chain, which we compute using direct (Lanczos) diagonalization of the Hamiltonian. By direct comparison with the two-body response functions and with the exact solution of the Bethe ansatz equations, we can identify both spinon and holon features in the spectra. At half-filling the spectra have the well-known structure of a low-energy holon band and its shadow-which spans the whole Brillouin zone-and a spinon band present for momenta less than the Fermi momentum. Features related to the twisted boundary condition are cusps in the spinon band. We show that the spectral building principle, adapted to account for both the finite system size and the twisted boundary condition, describes the spectra well in terms of single spinon and holon excitations. We argue that these finite-size effects are a signature of spin-charge separation and that their study should help establish the existence and nature of spin-charge separation in finite-size systems.

Scavenging or infection? Possible host choosing by entomopathogenic nematodes

Entomopathogenic nematodes are able to survive by scavenging. We tested Steinernema feltiae, S. affine and Heterorhabditis megidis alone or in different combinations to evaluate the responses of these nematodes when dead or live Galleria mellonella larvae were offered. Steinernema feltiae and S. affine scavenged upon dead G. mellonella larvae and about 30% more dead larvae were penetrated than live ones. By contrast, H. megidis penetrated more live larvae than dead ones. When the nematode species were combined, the results varied among the combinations, but the dead larvae were always used as a host. The behaviour of natural field populations of S. feltiae and S. affine was also compared. Steinernema feltiae showed no difference between scavenging and performing 'normal infections', whereas S. affine scavenged to a reduced amount (around 60% less); this difference could be related to the particular foraging strategy of these nematodes.

Self-assembly in aqueous solution of a modified amyloid beta peptide fragment

The self-assembly in films dried from aqueous solutions of a modified amyloid beta peptide fragment is studied. We focus on sequence A beta(16-20), KLVFF, extended by two alanines at the N-terminus to give AAKLVFF. Self-assembly into twisted ribbon fibrils is observed, as confirmed by transmission electron microscopy (TEM). Dynamic light scattering reveals the semi-flexible nature of the AAKLVFF fibrils, while polarized optical microscopy shows that the peptide fibrils crystallize after an aqueous solution of AAKLVFF is matured over 5 days. The secondary structure of the fibrils is studied by FT-IR, circular dichroism and X-ray diffraction (XRD), which provide evidence for beta-sheet structure in the fibril. From high resolution TEM it is concluded that the average width of an AAKLVFF fibril is (63 +/- 18) nm, indicating that these fibrils comprise beta-sheets with multiple repeats of the unit cell, determined by XRD to have b and c dimensions 1.9 and 4.4 nm with an a axis 0.96 nm, corresponding to twice the peptide backbone spacing in the antiparallel beta-sheet. (C) 2008 Elsevier B.V. All rights reserved.

Influence of the solvent on the self-assembly of a modified amyloid beta peptide fragment. I. Morphological investigation

The solvent-induced transition between self-assembled structures formed by the peptide AAKLVFF is studied via electron microscopy, light scattering, and spectroscopic techniques. The peptide is based on a core fragment of the amyloid beta-peptide, KLVFF, extended by two alanine residues. AAKLVFF exhibits distinct structures of twisted fibrils in water or nanotubes in methanol. For intermediate water/methanol compositions, these structures are disrupted and replaced by wide filamentous tapes that appear to be lateral aggregates of thin protofilaments. The orientation of the beta-strands in the twisted tapes or nanotubes can be deduced from X-ray diffraction on aligned stalks, as well as FT-IR experiments in transmission compared to attenuated total reflection. Strands are aligned perpendicular to the axis of the twisted fibrils or the nanotubes. The results are interpreted in light of recent results on the effect of competitive hydrogen bonding upon self-assembly in soft materials in water/methanol mixtures.

Enantiospecific assembly of a homochiral, hexanuclear palladium complex

The linking of orthopalladated ferrocenylene units by parabanato(2-) ligands results in enantiospecific assembly of a hexanuclear complex in which (i) the steric bulk of the ferrocenylene moiety, (ii) the folded configuration dictated by the imidato(2-) bridging ligand, and (iii) the strong preference for a trans arrangement of the carbonyl oxygen and ferrocenyl carbon atoms, combine to ensure that only ferrocenylene-palladium units with the same chirality can be located at adjacent positions in the assembled complex. The resulting tris-parabanato(2-)-bridged, hexapalladium complex is thus homochiral (R,R,R,R,R,R or S,S,S,S,S,S), as demonstrated by H-1 NMR spectroscopy and by X-ray analysis of a racemic crystal which shows the complex to possess a tapering, twisted, trigonal-prismatic skeleton of palladium atoms with threefold crystallographic symmetry. ((C) Wiley-VCH Verlag GmbH & Co. KGaA, 69451 Weinheim, Germany, 2009)