Macroeconomic Dynamics of Market Risk Capital Requirements and Credit Supply Interdependence

Thesis (Ph.D.)--University of Washington, 2016-06

Effector dynamics of rhythmic wrist activity and its implications for (modeling) bimanual coordination

To examine the role of the effector dynamics of the wrist in the production of rhythmic motor activity, we estimated the phase shifts between the EMG and the task-related output for a rhythmic isometric torque production task and an oscillatory movement, and found a substantial difference (45-52degrees) between the two. For both tasks, the relation between EMG and task-related output (torque or displacement) was adequately reproduced with a physiologically motivated musculoskeletal model. The model simulations demonstrated the importance of the contribution of passive structures to the overall dynamics and provided an account for the observed phase shifts in the dynamic task. Additional simulations of the musculoskeletal model with added load suggested that particular changes in the phase relation between EMG and movement may follow largely from the intrinsic muscle dynamics, rather than being the result of adaptations in the neural control of joint stiffness. The implications of these results are discussed in relation to (models of) interlimb coordination in rhythmic tasks. (C) 2004 Elsevier B.V. All rights reserved.

A multiresolution terrain model for efficient visualization query processing

Multiresolution Triangular Mesh (MTM) models are widely used to improve the performance of large terrain visualization by replacing the original model with a simplified one. MTM models, which consist of both original and simplified data, are commonly stored in spatial database systems due to their size. The relatively slow access speed of disks makes data retrieval the bottleneck of such terrain visualization systems. Existing spatial access methods proposed to address this problem rely on main-memory MTM models, which leads to significant overhead during query processing. In this paper, we approach the problem from a new perspective and propose a novel MTM called direct mesh that is designed specifically for secondary storage. It supports available indexing methods natively and requires no modification to MTM structure. Experiment results, which are based on two real-world data sets, show an average performance improvement of 5-10 times over the existing methods.

Scaling and non-scaling of muscle activity, kinematics, and dynamics in sit-ups with different degrees of difficulty

The purpose of this study was to investigate how the CNS adjusts motor patterns for variants of a complex axial movement-the situp. Adjustments were induced by changing the support surface contact and mass distribution of the body. Healthy adults performed straight-legged sit-ups, 3 s in duration, with support added to or removed from the lumbar trunk, or with mass added to the head or to the legs. Each of these interventions either increased or decreased the difficulty of the task. The study addressed the extent to which changes in sit-up difficulty are compensated by scaling of muscle activity, kinematics, and dynamics versus the extent to which they are compensated by changing discretely the motor pattern. The analysis of muscle activity, kinematics, and dynamics focused on the first 30-40% of the sit-up-the trunk flexion phase-since this is the most critical part of the movement. Our results demonstrate that, in some respects, sit-up kinematics and dynamics scaled with difficulty, but in other respects, they did not. Muscle activity also scaled, in many respects, but in more difficult sit-ups, abdominal flexor activity decreased instead of increased. Non-scaling changes in these parameters suggest that complex movements, such as the sit-up, may require discrete changes in motor pattern in order to deal with large loads, which challenge the available leverage. (C) 2005 Elsevier Ltd. All rights reserved.

Second-best public debt with human capital externalities

This paper studies optinnal public debt in a dynastic model with human capital externalities that cause human capital investment (fertility) to be below (above) its socially optimal level. By reducing fertility and raising human capital investment, the optimal debt can exceed 10% of output for plausible parameterizations.

Sensitivity of peptide conformational dynamics on clustering of a classical molecular dynamics trajectory

We investigate the sensitivity of a Markov model with states and transition probabilities obtained from clustering a molecular dynamics trajectory. We have examined a 500 ns molecular dynamics trajectory of the peptide valine-proline-alanine-leucine in explicit water. The sensitivity is quantified by varying the boundaries of the clusters and investigating the resulting variation in transition probabilities and the average transition time between states. In this way, we represent the effect of clustering using different clustering algorithms. It is found that in terms of the investigated quantities, the peptide dynamics described by the Markov model is sensitive to the clustering; in particular, the average transition times are found to vary up to 46%. Moreover, inclusion of nonphysical sparsely populated clusters can lead to serious errors of up to 814%. In the investigation, the time step used in the transition matrix is determined by the minimum time scale on which the system behaves approximately Markovian. This time step is found to be about 100 ps. It is concluded that the description of peptide dynamics with transition matrices should be performed with care, and that using standard clustering algorithms to obtain states and transition probabilities may not always produce reliable results.

Persistence in a random bond ising model of socio-econo dynamics

We study the persistence phenomenon in a socio-econo dynamics model using computer simulations at a nite temperature on hypercubic lattices in dimensions up to ve. The model includes a \social" local eld which contains the magnetization at time t. The nearest neighbour quenched interactions are drawn from a binary distribution which is a function of the bond concentration, p. The decay of the persistence probability in the model depends on both the spatial dimension and p. We nd no evidence of \blocking" in this model. We also discuss the implications of our results for possible applications in the social and economic elds. It is suggested that the absence, or otherwise, of blocking could be used as a criterion to decide on the validity of a given model in dierent scenarios.

An overall profit Malmquist productivity index with fuzzy and interval data

Although crisp data are fundamentally indispensable for determining the profit Malmquist productivity index (MPI), the observed values in real-world problems are often imprecise or vague. These imprecise or vague data can be suitably characterized with fuzzy and interval methods. In this paper, we reformulate the conventional profit MPI problem as an imprecise data envelopment analysis (DEA) problem, and propose two novel methods for measuring the overall profit MPI when the inputs, outputs, and price vectors are fuzzy or vary in intervals. We develop a fuzzy version of the conventional MPI model by using a ranking method, and solve the model with a commercial off-the-shelf DEA software package. In addition, we define an interval for the overall profit MPI of each decision-making unit (DMU) and divide the DMUs into six groups according to the intervals obtained for their overall profit efficiency and MPIs. We also present two numerical examples to demonstrate the applicability of the two proposed models and exhibit the efficacy of the procedures and algorithms. © 2011 Elsevier Ltd.

Dynamic joint sentiment-topic model

Social media data are produced continuously by a large and uncontrolled number of users. The dynamic nature of such data requires the sentiment and topic analysis model to be also dynamically updated, capturing the most recent language use of sentiments and topics in text. We propose a dynamic Joint Sentiment-Topic model (dJST) which allows the detection and tracking of views of current and recurrent interests and shifts in topic and sentiment. Both topic and sentiment dynamics are captured by assuming that the current sentiment-topic-specific word distributions are generated according to the word distributions at previous epochs. We study three different ways of accounting for such dependency information: (1) Sliding window where the current sentiment-topic word distributions are dependent on the previous sentiment-topic-specific word distributions in the last S epochs; (2) skip model where history sentiment topic word distributions are considered by skipping some epochs in between; and (3) multiscale model where previous long- and shorttimescale distributions are taken into consideration. We derive efficient online inference procedures to sequentially update the model with newly arrived data and show the effectiveness of our proposed model on the Mozilla add-on reviews crawled between 2007 and 2011. © 2013 ACM 2157-6904/2013/12-ART5 $ 15.00.

A hybrid molecular dynamics/fluctuating hydrodynamics method for modelling liquids at multiple scales in space and time

A new 3D implementation of a hybrid model based on the analogy with two-phase hydrodynamics has been developed for the simulation of liquids at microscale. The idea of the method is to smoothly combine the atomistic description in the molecular dynamics zone with the Landau-Lifshitz fluctuating hydrodynamics representation in the rest of the system in the framework of macroscopic conservation laws through the use of a single "zoom-in" user-defined function s that has the meaning of a partial concentration in the two-phase analogy model. In comparison with our previous works, the implementation has been extended to full 3D simulations for a range of atomistic models in GROMACS from argon to water in equilibrium conditions with a constant or a spatially variable function s. Preliminary results of simulating the diffusion of a small peptide in water are also reported.

Channel model and lower capacity bound for the transmission based on nonlinear Fourier transform

The integrability of the nonlinear Schräodinger equation (NLSE) by the inverse scattering transform shown in a seminal work [1] gave an interesting opportunity to treat the corresponding nonlinear channel similar to a linear one by using the nonlinear Fourier transform. Integrability of the NLSE is in the background of the old idea of eigenvalue communications [2] that was resurrected in recent works [3{7]. In [6, 7] the new method for the coherent optical transmission employing the continuous nonlinear spectral data | nonlinear inverse synthesis was introduced. It assumes the modulation and detection of data using directly the continuous part of nonlinear spectrum associated with an integrable transmission channel (the NLSE in the case considered). Although such a transmission method is inherently free from nonlinear impairments, the noisy signal corruptions, arising due to the ampli¯er spontaneous emission, inevitably degrade the optical system performance. We study properties of the noise-corrupted channel model in the nonlinear spectral domain attributed to NLSE. We derive the general stochastic equations governing the signal evolution inside the nonlinear spectral domain and elucidate the properties of the emerging nonlinear spectral noise using well-established methods of perturbation theory based on inverse scattering transform [8]. It is shown that in the presence of small noise the communication channel in the nonlinear domain is the additive Gaussian channel with memory and signal-dependent correlation matrix. We demonstrate that the effective spectral noise acquires colouring", its autocorrelation function becomes slow decaying and non-diagonal as a function of \frequencies", and the noise loses its circular symmetry, becoming elliptically polarized. Then we derive a low bound for the spectral effiency for such a channel. Our main result is that by using the nonlinear spectral techniques one can significantly increase the achievable spectral effiency compared to the currently available methods [9]. REFERENCES 1. Zakharov, V. E. and A. B. Shabat, Sov. Phys. JETP, Vol. 34, 62{69, 1972. 2. Hasegawa, A. and T. Nyu, J. Lightwave Technol., Vol. 11, 395{399, 1993. 3. Yousefi, M. I. and F. R. Kschischang, IEEE Trans. Inf. Theory, Vol. 60, 4312{4328, 2014. 4. Yousefi, M. I. and F. R. Kschischang, IEEE Trans. Inf. Theory, Vol. 60, 4329{4345 2014. 5. Yousefi, M. I. and F. R. Kschischang, IEEE Trans. Inf. Theory, Vol. 60, 4346{4369, 2014. 6. Prilepsky, J. E., S. A. Derevyanko, K. J. Blow, I. Gabitov, and S. K. Turitsyn, Phys. Rev. Lett., Vol. 113, 013901, 2014. 7. Le, S. T., J. E. Prilepsky, and S. K. Turitsyn, Opt. Express, Vol. 22, 26720{26741, 2014. 8. Kaup, D. J. and A. C. Newell, Proc. R. Soc. Lond. A, Vol. 361, 413{446, 1978. 9. Essiambre, R.-J., G. Kramer, P. J. Winzer, G. J. Foschini, and B. Goebel, J. Lightwave Technol., Vol. 28, 662{701, 2010.

Noise-induced standing waves in oscillatory systems with time-delayed feedback

In oscillatory reaction-diffusion systems, time-delay feedback can lead to the instability of uniform oscillations with respect to formation of standing waves. Here, we investigate how the presence of additive, Gaussian white noise can induce the appearance of standing waves. Combining analytical solutions of the model with spatio-temporal simulations, we find that noise can promote standing waves in regimes where the deterministic uniform oscillatory modes are stabilized. As the deterministic phase boundary is approached, the spatio-temporal correlations become stronger, such that even small noise can induce standing waves in this parameter regime. With larger noise strengths, standing waves could be induced at finite distances from the (deterministic) phase boundary. The overall dynamics is defined through the interplay of noisy forcing with the inherent reaction-diffusion dynamics.

Essays on exchange rate economics

Exchange rate economics has achieved substantial development in the past few decades. Despite extensive research, a large number of unresolved problems remain in the exchange rate debate. This dissertation studied three puzzling issues aiming to improve our understanding of exchange rate behavior. Chapter Two used advanced econometric techniques to model and forecast exchange rate dynamics. Chapter Three and Chapter Four studied issues related to exchange rates using the theory of New Open Economy Macroeconomics. ^ Chapter Two empirically examined the short-run forecastability of nominal exchange rates. It analyzed important empirical regularities in daily exchange rates. Through a series of hypothesis tests, a best-fitting fractionally integrated GARCH model with skewed student-t error distribution was identified. The forecasting performance of the model was compared with that of a random walk model. Results supported the contention that nominal exchange rates seem to be unpredictable over the short run in the sense that the best-fitting model cannot beat the random walk model in forecasting exchange rate movements. ^ Chapter Three assessed the ability of dynamic general-equilibrium sticky-price monetary models to generate volatile foreign exchange risk premia. It developed a tractable two-country model where agents face a cash-in-advance constraint and set prices to the local market; the exogenous money supply process exhibits time-varying volatility. The model yielded approximate closed form solutions for risk premia and real exchange rates. Numerical results provided quantitative evidence that volatile risk premia can endogenously arise in a new open economy macroeconomic model. Thus, the model had potential to rationalize the Uncovered Interest Parity Puzzle. ^ Chapter Four sought to resolve the consumption-real exchange rate anomaly, which refers to the inability of most international macro models to generate negative cross-correlations between real exchange rates and relative consumption across two countries as observed in the data. While maintaining the assumption of complete asset markets, this chapter introduced endogenously segmented asset markets into a dynamic sticky-price monetary model. Simulation results showed that such a model could replicate the stylized fact that real exchange rates tend to move in an opposite direction with respect to relative consumption. ^

Essays on Exchange Rate Economics

Exchange rate economics has achieved substantial development in the past few decades. Despite extensive research, a large number of unresolved problems remain in the exchange rate debate. This dissertation studied three puzzling issues aiming to improve our understanding of exchange rate behavior. Chapter Two used advanced econometric techniques to model and forecast exchange rate dynamics. Chapter Three and Chapter Four studied issues related to exchange rates using the theory of New Open Economy Macroeconomics. Chapter Two empirically examined the short-run forecastability of nominal exchange rates. It analyzed important empirical regularities in daily exchange rates. Through a series of hypothesis tests, a best-fitting fractionally integrated GARCH model with skewed student-t error distribution was identified. The forecasting performance of the model was compared with that of a random walk model. Results supported the contention that nominal exchange rates seem to be unpredictable over the short run in the sense that the best-fitting model cannot beat the random walk model in forecasting exchange rate movements. Chapter Three assessed the ability of dynamic general-equilibrium sticky-price monetary models to generate volatile foreign exchange risk premia. It developed a tractable two-country model where agents face a cash-in-advance constraint and set prices to the local market; the exogenous money supply process exhibits time-varying volatility. The model yielded approximate closed form solutions for risk premia and real exchange rates. Numerical results provided quantitative evidence that volatile risk premia can endogenously arise in a new open economy macroeconomic model. Thus, the model had potential to rationalize the Uncovered Interest Parity Puzzle. Chapter Four sought to resolve the consumption-real exchange rate anomaly, which refers to the inability of most international macro models to generate negative cross-correlations between real exchange rates and relative consumption across two countries as observed in the data. While maintaining the assumption of complete asset markets, this chapter introduced endogenously segmented asset markets into a dynamic sticky-price monetary model. Simulation results showed that such a model could replicate the stylized fact that real exchange rates tend to move in an opposite direction with respect to relative consumption.

Effects of seasonally varying temperature and salinity on the dynamics of sea lice (Lepeophtheirus salmonis)

Sea lice (Lepeophtheirus salmonis) are an economically significant parasite in salmonid aquaculture. They exhibit temperature-dependent development rates and salinity-dependent mortality, which can greatly impact sea lice population dynamics, but no deterministic models have incorporated these seasonal variables. To understand how seasonality affects sea lice population dynamics, I derive a delay differential equation model with temperature and salinity dependence. I find that peak reproductive output in Newfoundland and British Columbia differs by four months. A sensitivity analysis shows sea lice abundance is most sensitive to variation in mean annual water temperature and salinity, whereas it is lease sensitive to infection rate. Additionally, I investigate the effects of production cycle timing on sea lice management and find that optimal production cycle start times are between the 281st and 337th days of the year in Newfoundland. I also demonstrate that adjusting follow-up treatment timing in response to temperature can improve treatment regimes. My results suggest that effective sea lice management requires consideration of local temperature and salinity patterns.