Applications of stochastic analysis in finance and statistical inference

First: A continuous-time version of Kyle's model (Kyle 1985), known as the Back's model (Back 1992), of asset pricing with asymmetric information, is studied. A larger class of price processes and of noise traders' processes are studied. The price process, as in Kyle's model, is allowed to depend on the path of the market order. The process of the noise traders' is an inhomogeneous Lévy process. Solutions are found by the Hamilton-Jacobi-Bellman equations. With the insider being risk-neutral, the price pressure is constant, and there is no equilibirium in the presence of jumps. If the insider is risk-averse, there is no equilibirium in the presence of either jumps or drifts. Also, it is analised when the release time is unknown. A general relation is established between the problem of finding an equilibrium and of enlargement of filtrations. Random announcement time is random is also considered. In such a case the market is not fully efficient and there exists equilibrium if the sensitivity of prices with respect to the global demand is time decreasing according with the distribution of the random time. Second: Power variations. it is considered, the asymptotic behavior of the power variation of processes of the form _integral_0^t u(s-)dS(s), where S_ is an alpha-stable process with index of stability 0&alpha&2 and the integral is an Itô integral. Stable convergence of corresponding fluctuations is established. These results provide statistical tools to infer the process u from discrete observations. Third: A bond market is studied where short rates r(t) evolve as an integral of g(t-s)sigma(s) with respect to W(ds), where g and sigma are deterministic and W is the stochastic Wiener measure. Processes of this type are particular cases of ambit processes. These processes are in general not of the semimartingale kind.

Applications of a transportable Raman spectrometer for the in situ detection of controlled substances at border controls

A transportable Raman spectrometer was tested for the detection of illicit drugs seized during border controls. In a first step, the analysis methodology was optimized using reference substances such as diacetylmorphine (heroin), cocaine and amphetamine (as powder or liquid forms). Adequate focalisation distance and times of analysis, influence of daylight and artificial light sources, repeatability and limits of detection were studied. In a second step the applications and limitations of the technique to detect the illicit substances in different mixtures and containers was evaluated. Transportable Raman spectroscopy was found to be adequate for a rapid screen of liquids and powders for the detection and identification of controlled substances. Additionally, it had the advantage over other portable techniques, such as ion mobility spectrometry, of being non-destructive and capable of rapid analysis of large quantities of substances through containers such as plastic bags and glass bottles.

The Endocannabinoid System as Pharmacological Target Derived from Its CNS Role in Energy Homeostasis and Reward. Applications in Eating Disorders and Addiction

The endocannabinoid system (ECS) has been implicated in many physiological functions, including the regulation of appetite, food intake and energy balance, a crucial involvement in brain reward systems and a role in psychophysiological homeostasis (anxiety and stress responses). We first introduce this important regulatory system and chronicle what is known concerning the signal transduction pathways activated upon the binding of endogenous cannabinoid ligands to the Gi/0-coupled CB1 cannabinoid receptor, as well as its interactions with other hormones and neuromodulators which can modify endocannabinoid signaling in the brain. Anorexia nervosa (AN) and bulimia nervosa (BN) are severe and disabling psychiatric disorders, characterized by profound eating and weight alterations and body image disturbances. Since endocannabinoids modulate eating behavior, it is plausible that endocannabinoid genes may contribute to the biological vulnerability to these diseases. We present and discuss data suggesting an impaired endocannabinoid signaling in these eating disorders, including association of endocannabinoid components gene polymorphisms and altered CB1-receptor expression in AN and BN. Then we discuss recent findings that may provide new avenues for the identification of therapeutic strategies based on the endocannabinod system. In relation with its implications as a reward-related system, the endocannabinoid system is not only a target for cannabis but it also shows interactions with other drugs of abuse. On the other hand, there may be also a possibility to point to the ECS as a potential target for treatment of drug-abuse and addiction. Within this framework we will focus on enzymatic machinery involved in endocannabinoid inactivation (notably fatty acid amide hydrolase or FAAH) as a particularly interesting potential target. Since a deregulated endocannabinoid system may be also related to depression, anxiety and pain symptomatology accompanying drug-withdrawal states, this is an area of relevance to also explore adjuvant treatments for improving these adverse emotional reactions.

Applications of the hexanic fraction of Agave sisalana Perrine ex Engelm (Asparagaceae): control of inflammation and pain screening

The present study evaluated the anti-inflammatory and analgesic properties of Agave sisalana Perrine in classic models of inflammation and pain. The hexanic fraction of A. sisalana (HFAS) was obtained by acid hydrolysis followed by hexanic reflux. Anti-inflammatory properties were examined in three acute mouse models (xylene ear oedema, hind paw oedema and pleurisy) and a chronic mouse model (granuloma cotton pellet). The antinociceptive potential was evaluated in chemical (acetic-acid) and thermal (tail-flick and hot-plate test) models of pain. When given orally, HFAS (5, 10, 25 and 50 mg/kg) reduced ear oedema (p < 0.0001; 52%, 71%, 62% and 42%, respectively). HFAS also reduced hind paw oedema at doses of 10 mg/kg and 25 mg/kg (p < 0.05; 42% and 58%, respectively) and pleurisy at doses of 10 mg/kg and 25 mg/kg (41% and 50%, respectively). In a chronic model, HFAS reduced inflammation by 46% and 58% at doses of 10 mg/kg and 25 mg/kg, respectively. Moreover, this fraction showed analgesic properties against the abdominal writhing in an acetic acid model (at doses of 5-25 mg/kg) with inhibitory rates of 24%, 54% and 48%. The HFAS also showed an increased latency time in the hot-plate (23% and 28%) and tail-flick tests (61% and 66%) for the 25 mg/kg and 50 mg/kg doses, respectively. These results suggest that HFAS has anti-inflammatory and analgesic properties.

Exploring Cross-layer power management for PGAS applications on the SCC platform

Technological limitations and power constraints are resulting in high-performance parallel computing architectures that are based on large numbers of high-core-count processors. Commercially available processors are now at 8 and 16 cores and experimental platforms, such as the many-core Intel Single-chip Cloud Computer (SCC) platform, provide much higher core counts. These trends are presenting new sets of challenges to HPC applications including programming complexity and the need for extreme energy efficiency.In this work, we first investigate the power behavior of scientific PGAS application kernels on the SCC platform, and explore opportunities and challenges for power management within the PGAS framework. Results obtained via empirical evaluation of Unified Parallel C (UPC) applications on the SCC platform under different constraints, show that, for specific operations, the potential for energy savings in PGAS is large; and power/performance trade-offs can be effectively managed using a cross-layerapproach. We investigate cross-layer power management using PGAS language extensions and runtime mechanisms that manipulate power/performance tradeoffs. Specifically, we present the design, implementation and evaluation of such a middleware for application-aware cross-layer power management of UPC applications on the SCC platform. Finally, based on our observations, we provide a set of recommendations and insights that can be used to support similar power management for PGAS applications on other many-core platforms.

Where microbiology meets microengineering: design and applications of reporter bacteria.

Bacteria have long been the targets for genetic manipulation, but more recently they have been synthetically designed to carry out specific tasks. Among the simplest of these tasks is chemical compound and toxicity detection coupled to the production of a quantifiable reporter signal. In this Review, we describe the current design of bacterial bioreporters and their use in a range of assays to measure the presence of harmful chemicals in water, air, soil, food or biological specimens. New trends for integrating synthetic biology and microengineering into the design of bacterial bioreporter platforms are also highlighted.

Evaluation of MPI collectives for HPC applications on distributed virtualized environments

Through this study, we will measure how the collective MPI operations behaves in virtual and physical clusters, and its impact on the application performance. As we stated before, we will use as a test case the Weather Research and Forecasting simulations.

Le concept de test relationnel en psychothérapie: origine, développements et applications aux troubles de la personnalité = The test concept in psychotherapy: origins, developments and application to personality disorders

Le concept de test relationnel (test, en anglais ; Weiss et Sampson, 1986 [16]) est présenté. Ses origines dans les écrits de Freud sont brièvement retracées et son inscription dans la théorie des croyances pathogènes de Weiss présentée. Par ailleurs, les autres éléments de la théorie psychanalytique de Weiss sont présentés (buts thérapeutiques, obstacles, traumas, insight, test relationnel). Toutes ces étapes sont illustrées par des exemples tirés de la littérature. Un développement récent du concept de test relationnel est présenté et appliqué à la psychothérapie des troubles de la personnalité (Sachse, 2003 [14]). Finalement, les auteurs donnent deux brefs exemples de tests relationnels tirés de leur propre pratique de psychothérapeute et discutent des modèles en les comparant entre eux. Des conclusions concernant l'utilité du concept de test relationnel pour la pratique psychothérapeutique et la recherche en psychothérapie sont proposées. The test concept (Weiss and Sampson, 1986 [16]) is presented. Its origins in Freud's works are briefly evoked and its place within the theory of pathogenic beliefs by Weiss presented. We present also the remaining elements of Weiss' psychoanalytic theory which are objectives, obstacles, traumas and insight. Every step of the reflection is illustrated with case examples, drawn from the literature. A recent development of the test concept is presented and applied to the psychotherapy of personality disorders (Sachse, 2003 [14]). Finally, the authors give brief examples of tests having occurred in their own practice as psychotherapists and discuss the models by comparing them among each other. Conclusions are drawn concerning the usefulness of the test concept for psychotherapy practice and research.

Practical applications of quantum molecular similarity measures (QMSM): programs and examples

Es descriu l'aproximació de Capes Atòmiques dins de la teoria de la Semblança Molecular Quàntica. Partint només de dades teòriques, s'ha trobat una relació entre estructura molecular i activitat biològica per a diversos conjunts de molècules. Es descriuen els aspectes teòrics de la Semblança Molecular Quàntica i alguns exemples d'aplicació

Perturbation expansions of multilocus fixation probabilities for frequency-dependent selection with applications to the Hill-Robertson effect and to the joint evolution of helping and punishment.

Natural populations are of finite size and organisms carry multilocus genotypes. There are, nevertheless, few results on multilocus models when both random genetic drift and natural selection affect the evolutionary dynamics. In this paper we describe a formalism to calculate systematic perturbation expansions of moments of allelic states around neutrality in populations of constant size. This allows us to evaluate multilocus fixation probabilities (long-term limits of the moments) under arbitrary strength of selection and gene action. We show that such fixation probabilities can be expressed in terms of selection coefficients weighted by mean first passages times of ancestral gene lineages within a single ancestor. These passage times extend the coalescence times that weight selection coefficients in one-locus perturbation formulas for fixation probabilities. We then apply these results to investigate the Hill-Robertson effect and the coevolution of helping and punishment. Finally, we discuss limitations and strengths of the perturbation approach. In particular, it provides accurate approximations for fixation probabilities for weak selection regimes only (Ns < or = 1), but it provides generally good prediction for the direction of selection under frequency-dependent selection.

Advances in Sequence Analysis: Theory, Methods, Applications

This book gives a general view of sequence analysis, the statistical study of successions of states or events. It includes innovative contributions on life course studies, transitions into and out of employment, contemporaneous and historical careers, and political trajectories. The approach presented in this book is now central to the life-course perspective and the study of social processes more generally. This volume promotes the dialogue between approaches to sequence analysis that developed separately, within traditions contrasted in space and disciplines. It includes the latest developments in sequential concepts, coding, atypical datasets and time patterns, optimal matching and alternative algorithms, survey optimization, and visualization. Field studies include original sequential material related to parenting in 19th-century Belgium, higher education and work in Finland and Italy, family formation before and after German reunification, French Jews persecuted in occupied France, long-term trends in electoral participation, and regime democratization. Overall the book reassesses the classical uses of sequences and it promotes new ways of collecting, formatting, representing and processing them. The introduction provides basic sequential concepts and tools, as well as a history of the method. Chapters are presented in a way that is both accessible to the beginner and informative to the expert.

M.A.M. (Mobile Applications Management)

L'objectiu fonamental d'aquest treball és implementar un sistema de base de dades per donar resposta a la necessitat dels desenvolupadors d'aplicacions mòbils a nivell mundial per unificar i millorar l'experiència dels seus usuaris a l'hora de descarregar les seves aplicacions.

A simulation-based algorithm for solving the resource-assignment problem in satellite telecommunication networks

This paper proposes an heuristic for the scheduling of capacity requests and the periodic assignment of radio resources in geostationary (GEO) satellite networks with star topology, using the Demand Assigned Multiple Access (DAMA) protocol in the link layer, and Multi-Frequency Time Division Multiple Access (MF-TDMA) and Adaptive Coding and Modulation (ACM) in the physical layer.