Scaling and data collapse for the mean exit time of asset prices

We study theoretical and empirical aspects of the mean exit time (MET) of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a prefactor which is specific to the analyzed stock. We perform a series of statistical tests to determine which kind of correlation are responsible for this specificity. The main contribution is associated with the autocorrelation property of stock returns. We introduce and solve analytically both two-state and three-state Markov chain models. The analytical results obtained with the two-state Markov chain model allows us to obtain a data collapse of the 20 measured MET profiles in a single master curve.

Mean first-passage times for systems driven by gamma and McFadden dichotomous noise

We consider mean first-passage times (MFPTs) for systems driven by non-Markov gamma and McFadden dichotomous noises. A simplified derivation is given of the underlying integral equations and the theory for ordinary renewal processes is extended to modified and equilibrium renewal processes. The exact results are compared with the MFPT for Markov dichotomous noise and with the results of Monte Carlo simulations.

Mean first-passage times for systems driven by equilibrium persistent-periodic dichotomous noise

In a recent paper, [J. M. Porrà, J. Masoliver, and K. Lindenberg, Phys. Rev. E 48, 951 (1993)], we derived the equations for the mean first-passage time for systems driven by the coin-toss square wave, a particular type of dichotomous noisy signal, to reach either one of two boundaries. The coin-toss square wave, which we here call periodic-persistent dichotomous noise, is a random signal that can only change its value at specified time points, where it changes its value with probability q or retains its previous value with probability p=1-q. These time points occur periodically at time intervals t. Here we consider the stationary version of this signal, that is, equilibrium periodic-persistent noise. We show that the mean first-passage time for systems driven by this stationary noise does not show either the discontinuities or the oscillations found in the case of nonstationary noise. We also discuss the existence of discontinuities in the mean first-passage time for random one-dimensional stochastic maps.

Mean first-passage time for system driven by the coin-toss square wave

We study the mean-first-passage-time problem for systems driven by the coin-toss square-wave signal. Exact analytic solutions are obtained for the driftless case. We also obtain approximate solutions for the potential case. The mean-first-passage time exhibits discontinuities and a remarkable nonsmooth oscillatory behavior which, to our knowledge, has not been observed for other kinds of driving noise.

Foam pore size is a critical interface parameter of suction-based wound healing devices.

BACKGROUND: Suction-based wound healing devices with open-pore foam interfaces are widely used to treat complex tissue defects. The impact of changes in physicochemical parameters of the wound interfaces has not been investigated. METHODS: Full-thickness wounds in diabetic mice were treated with occlusive dressing or a suction device with a polyurethane foam interface varying in mean pore size diameter. Wound surface deformation on day 2 was measured on fixed tissues. Histologic cross-sections were analyzed for granulation tissue thickness (hematoxylin and eosin), myofibroblast density (α-smooth muscle actin), blood vessel density (platelet endothelial cell adhesion molecule-1), and cell proliferation (Ki67) on day 7. RESULTS: Polyurethane foam-induced wound surface deformation increased with polyurethane foam pore diameter: 15 percent (small pore size), 60 percent (medium pore size), and 150 percent (large pore size). The extent of wound strain correlated with granulation tissue thickness that increased 1.7-fold in small pore size foam-treated wounds, 2.5-fold in medium pore size foam-treated wounds, and 4.9-fold in large pore size foam-treated wounds (p < 0.05) compared with wounds treated with an occlusive dressing. All polyurethane foams increased the number of myofibroblasts over occlusive dressing, with maximal presence in large pore size foam-treated wounds compared with all other groups (p < 0.05). CONCLUSIONS: The pore size of the interface material of suction devices has a significant impact on the wound healing response. Larger pores increased wound surface strain, tissue growth, and transformation of contractile cells. Modification of the pore size is a powerful approach for meeting biological needs of specific wounds.

Quantum critical effects in mean-field glassy systems

We consider the effects of quantum fluctuations in mean-field quantum spin-glass models with pairwise interactions. We examine the nature of the quantum glass transition at zero temperature in a transverse field. In models (such as the random orthogonal model) where the classical phase transition is discontinuous an analysis using the static approximation reveals that the transition becomes continuous at zero temperature.

Evidence of aging in spin glass mean-field models

We study numerically the out-of-equilibrium dynamics of the hypercubic cell spin glass in high dimensionalities. We obtain evidence of aging effects qualitatively similar both to experiments and to simulations of low-dimensional models. This suggests that the Sherrington-Kirkpatrick model as well as other mean-field finite connectivity lattices can be used to study these effects analytically.

The effect of continuous positive airway pressure on total cerebral blood flow in healthy awake volunteers.

PURPOSE: Continuous positive airway pressure (CPAP) is the gold standard treatment for obstructive sleep apnea. However, the physiologic impact of CPAP on cerebral blood flow (CBF) is not well established. Ultrasound can be used to estimate CBF, but there is no widespread accepted protocol. We studied the physiologic influence of CPAP on CBF using a method integrating arterial diameter and flow velocity (FV) measurements obtained for each vessel supplying blood to the brain. METHODS: FV and lumen diameter of the left and right internal carotid, vertebral, and middle cerebral arteries were measured using duplex Doppler ultrasound with and without CPAP at 15 cm H(2)O, applied in a random order. Transcutaneous carbon dioxide (PtcCO(2)), heart rate (HR), blood pressure (BP), and oxygen saturation were monitored. Results were compared with a theoretical prediction of CBF change based on the effect of partial pressure of carbon dioxide on CBF. RESULTS: Data were obtained from 23 healthy volunteers (mean ± SD; 12 male, age 25.1 ± 2.6 years, body mass index 21.8 ± 2.0 kg/m(2)). The mean experimental and theoretical CBF decrease under CPAP was 12.5 % (p < 0.001) and 11.9 % (p < 0.001), respectively. The difference between experimental and theoretical CBF reduction was not statistically significant (3.84 ± 79 ml/min, p = 0.40). There was a significant reduction in PtcCO(2) with CPAP (p = <0.001) and a significant increase in mean BP (p = 0.0017). No significant change was observed in SaO(2) (p = 0.21) and HR (p = 0.62). CONCLUSION: Duplex Doppler ultrasound measurements of arterial diameter and FV allow for a noninvasive bedside estimation of CBF. CPAP at 15 cm H(2)O significantly decreased CBF in healthy awake volunteers. This effect appeared to be mediated predominately through the hypocapnic vasoconstriction coinciding with PCO(2) level reduction. The results suggest that CPAP should be used cautiously in patients with unstable cerebral hemodynamics.

Three-dimensional black-blood cardiac magnetic resonance coronary vessel wall imaging detects positive arterial remodeling in patients with nonsignificant coronary artery disease.

BACKGROUND: Direct noninvasive visualization of the coronary vessel wall may enhance risk stratification by quantifying subclinical coronary atherosclerotic plaque burden. We sought to evaluate high-resolution black-blood 3D cardiovascular magnetic resonance (CMR) imaging for in vivo visualization of the proximal coronary artery vessel wall. METHODS AND RESULTS: Twelve adult subjects, including 6 clinically healthy subjects and 6 patients with nonsignificant coronary artery disease (10% to 50% x-ray angiographic diameter reduction) were studied with the use of a commercial 1.5 Tesla CMR scanner. Free-breathing 3D coronary vessel wall imaging was performed along the major axis of the right coronary artery with isotropic spatial resolution (1.0x1.0x1.0 mm(3)) with the use of a black-blood spiral image acquisition. The proximal vessel wall thickness and luminal diameter were objectively determined with an automated edge detection tool. The 3D CMR vessel wall scans allowed for visualization of the contiguous proximal right coronary artery in all subjects. Both mean vessel wall thickness (1.7+/-0.3 versus 1.0+/-0.2 mm) and wall area (25.4+/-6.9 versus 11.5+/-5.2 mm(2)) were significantly increased in the patients compared with the healthy subjects (both P<0.01). The lumen diameter (3.6+/-0.7 versus 3.4+/-0.5 mm, P=0.47) and lumen area (8.9+/-3.4 versus 7.9+/-3.5 mm(2), P=0.47) were similar in both groups. CONCLUSIONS: Free-breathing 3D black-blood coronary CMR with isotropic resolution identified an increased coronary vessel wall thickness with preservation of lumen size in patients with nonsignificant coronary artery disease, consistent with a "Glagov-type" outward arterial remodeling. This novel approach has the potential to quantify subclinical disease.

Long-term close follow-up of chorioretinal lesions in presumed ocular tuberculosis

Purpose: To evaluate the long-term outcome (up to 7 years) of presumed ocular tuberculosis (TB) when the therapeutic decision was based on WHO guidelines. Methods: Twelve out of 654 new uveitic patients (1998-2004) presented with choroiditis and positive tuberculosis skin test (TST) (skin lesion diameter >15 mm). Therapy was administered according to WHO recommendations after ophthalmic and systemic investigation. The area size of ocular lesions at presentation and after therapy, measured on fluorescein and indocyanine green angiographies, was considered the primary outcome. Relapse of choroiditis was considered a secondary outcome. The T-SPOTTB test was performed when it became available. Results: Visual acuity (VA) significantly improved after therapy (p=0.0357). The mean total surface of fluorescein lesions at entry was 44.8±20.9 (arbitrary units) and decreased to 32.5±16.9 after therapy (p=0.0165). The mean total surface of indocyanine green lesions at entry was 24.5±13.3 and decreased to 10.8±5.4 after therapy (p=0.0631). The T-SPOT TB revealed 2 false TST-positive results. The mean follow-up was 4.5±1.5 years. Two relapses out of 10 confirmed ocular TB was observed after complete lesion healing, 2.5 years and 4.5 years after therapy, respectively. Conclusions: A decrease of ocular lesion mean size and a mean improvement of VA were observed after antituberculous therapy. Our long-term follow-up of chorioretinal lesions demonstrated relapse of ocular tuberculosis in 10% of patients with confirmed ocular TB, despite complete initial retinal scarring.

The mean-variance model from the inverse of the variance-covariance matrix

En este artículo, a partir de la inversa de la matriz de varianzas y covarianzas se obtiene el modelo Esperanza-Varianza de Markowitz siguiendo un camino más corto y matemáticamente riguroso. También se obtiene la ecuación de equilibrio del CAPM de Sharpe.

Procedure for human saphenous veins ex vivo perfusion and external reinforcement.

The mainstay of contemporary therapies for extensive occlusive arterial disease is venous bypass graft. However, its durability is threatened by intimal hyperplasia (IH) that eventually leads to vessel occlusion and graft failure. Mechanical forces, particularly low shear stress and high wall tension, are thought to initiate and to sustain these cellular and molecular changes, but their exact contribution remains to be unraveled. To selectively evaluate the role of pressure and shear stress on the biology of IH, an ex vivo perfusion system (EVPS) was created to perfuse segments of human saphenous veins under arterial regimen (high shear stress and high pressure). Further technical innovations allowed the simultaneous perfusion of two segments from the same vein, one reinforced with an external mesh. Veins were harvested using a no-touch technique and immediately transferred to the laboratory for assembly in the EVPS. One segment of the freshly isolated vein was not perfused (control, day 0). The two others segments were perfused for up to 7 days, one being completely sheltered with a 4 mm (diameter) external mesh. The pressure, flow velocity, and pulse rate were continuously monitored and adjusted to mimic the hemodynamic conditions prevailing in the femoral artery. Upon completion of the perfusion, veins were dismounted and used for histological and molecular analysis. Under ex vivo conditions, high pressure perfusion (arterial, mean = 100 mm Hg) is sufficient to generate IH and remodeling of human veins. These alterations are reduced in the presence of an external polyester mesh.

Mean first-passage time of continuous non-Markovian processes driven by colored noise

An equation for mean first-passage times of non-Markovian processes driven by colored noise is derived through an appropriate backward integro-differential equation. The equation is solved in a Bourret-like approximation. In a weak-noise bistable situation, non-Markovian effects are taken into account by an effective diffusion coefficient. In this situation, our results compare satisfactorily with other approaches and experimental data.