Volatility smile extrapolation with an artificial neural network

I use a multi-layer feedforward perceptron, with backpropagation learning implemented via stochastic gradient descent, to extrapolate the volatility smile of Euribor derivatives over low-strikes by training the network on parametric prices.

Ab initio absorption spectrum of NiO combining molecular dynamics with the embedded cluster approach in a discrete reaction field

We developed a procedure that combines three complementary computational methodologies to improve the theoretical description of the electronic structure of nickel oxide. The starting point is a Car-Parrinello molecular dynamics simulation to incorporate vibrorotational degrees of freedom into the material model. By means ofcomplete active space self-consistent field second-order perturbation theory (CASPT2) calculations on embedded clusters extracted from the resulting trajectory, we describe localized spectroscopic phenomena on NiO with an efficient treatment of electron correlation. The inclusion of thermal motion into the theoretical description allowsus to study electronic transitions that, otherwise, would be dipole forbidden in the ideal structure and results in a natural reproduction of the band broadening. Moreover, we improved the embedded cluster model by incorporating self-consistently at the complete active space self-consistent field (CASSCF) level a discrete (or direct) reaction field (DRF) in the cluster surroundings. The DRF approach offers an efficient treatment ofelectric response effects of the crystalline embedding to the electronic transitions localized in the cluster. We offer accurate theoretical estimates of the absorption spectrum and the density of states around the Fermi level of NiO, and a comprehensive explanation of the source of the broadening and the relaxation of the charge transferstates due to the adaptation of the environment

An integrated approach for the assessment of HAB dynamics in two NW Mediterranean bays from a GEOHAB perspective

Alfacs and Fangar Bay in the Ebro Delta, NW Mediterranean are the major sites in Catalonia for shellfish cultivation. These bays are subject to occasional closures in shellfish harvesting due to the presence of phycotoxins. Fish kills have also been associated with harmful algal blooms. The comparison of phytoplankton dynamics in both bays offers the opportunity to reveal differences in bloom patterns of species known to be harmful for the ecosystem and aquaculture activities. Field research is underway under the GEOHAB framework within the Core Research Project on HABs in Fjords and Coastal Embayments. The overall objective of this study is to improve our understanding of HAB biogeographical patterns, and key elements driving bloom dynamics in time and space within these semi-constrained embayments. Via the comparative approach we aim to improve the prediction for monitoring purposes, with a focus on Karlodinium spp. associated with massive kills of aquaculture species. This objective is addressed by incorporating long-term time series of phytoplankton identification and enumeration with the first results of recent field work in both bays. The latter includes the application of optical sensors, to yield a complementary view with enhanced spatial and temporal resolution of bloom phenomena.

Avalanche dynamics of fiber bundle models

We present a detailed analytical and numerical study of the avalanche distributions of the continuous damage fiber bundle model CDFBM . Linearly elastic fibers undergo a series of partial failure events which give rise to a gradual degradation of their stiffness. We show that the model reproduces a wide range of mechanical behaviors. We find that macroscopic hardening and plastic responses are characterized by avalanche distributions, which exhibit an algebraic decay with exponents between 5/2 and 2 different from those observed in mean-field fiber bundle models. We also derive analytically the phase diagram of a family of CDFBM which covers a large variety of potential avalanche size distributions. Our results provide a unified view of the statistics of breaking avalanches in fiber bundle models

Implementació d'una interfície per al control de traçabilitat en el ERP Microsoft Dynamics AX

Implementació d'una interfície per a dur un control de traçabilitat de diversos productes, mitjançant el codi d'article i el número de lot. Obtenint així la història d'aquests, és a dir, obtenint informació sobre l'origen, el destí i els processos de transformació que han sofert.

Neuroplasticity of inhibitory control

Executive control refers to a set of abilities enabling us to plan, control and implement our behavior to rapidly and flexibly adapt to environmental requirements. These adaptations notably involve the suppression of intended or ongoing cognitive or motor processes, a skill referred to as "inhibitory control". To implement efficient executive control of behavior, one must monitor our performance following errors to adjust our behavior accordingly. Deficits in inhibitory control have been associated with the emergènce of a wide range of psychiatric disorders, ranging from drug addiction to attention deficit/hyperactivity disorders. Inhibitory control deficits could, however, be remediated- The brain has indeed the amazing possibility to reorganize following training to allow for behavioral improvements. This mechanism is referred to as neural and behavioral plasticity. Here, our aim is to investigate training-induced plasticity in inhibitory control and propose a model of inhibitory control explaining the spatio- temporal brain mechanisms supporting inhibitory control processes and their plasticity. In the two studies entitled "Brain dynamics underlying training-induced improvement in suppressing inappropriate action" (Manuel et al., 2010) and "Training-induced neuroplastic reinforcement óf top-down inhibitory control" (Manuel et al., 2012c), we investigated the neurophysiological and behavioral changes induced by inhibitory control training with two different tasks and populations of healthy participants. We report that different inhibitory control training developed either automatic/bottom-up inhibition in parietal areas or reinforced controlled/top-down inhibitory control in frontal brain regions. We discuss the results of both studies in the light of a model of fronto-basal inhibition processes. In "Spatio-temporal brain dynamics mediating post-error behavioral adjustments" (Manuel et al., 2012a), we investigated how error detection modulates the processing of following stimuli and in turn impact behavior. We showed that during early integration of stimuli, the activity of prefrontal and parietal areas is modulated according to previous performance and impacts the post-error behavioral adjustments. We discuss these results in terms of a shift from an automatic to a controlled form of inhibition induced by the detection of errors, which in turn influenced response speed. In "Inter- and intra-hemispheric dissociations in ideomotor apraxia: a large-scale lesion- symptom mapping study in subacute brain-damaged patients" (Manuel et al., 2012b), we investigated ideomotor apraxia, a deficit in performing pantomime gestures of object use, and identified the anatomical correlates of distinct ideomotor apraxia error types in 150 subacute brain-damaged patients. Our results reveal a left intra-hemispheric dissociation for different pantomime error types, but with an unspecific role for inferior frontal areas. Les fonctions exécutives désignent un ensemble de processus nous permettant de planifier et contrôler notre comportement afin de nous adapter de manière rapide et flexible à l'environnement. L'une des manières de s'adapter consiste à arrêter un processus cognitif ou moteur en cours ; le contrôle de l'inhibition. Afin que le contrôle exécutif soit optimal il est nécessaire d'ajuster notre comportement après avoir fait des erreurs. Les déficits du contrôle de l'inhibition sont à l'origine de divers troubles psychiatriques tels que l'addiction à la drogue ou les déficits d'attention et d'hyperactivité. De tels déficits pourraient être réhabilités. En effet, le cerveau a l'incroyable capacité de se réorganiser après un entraînement et ainsi engendrer des améliorations comportementales. Ce mécanisme s'appelle la plasticité neuronale et comportementale. Ici, notre but èst d'étudier la plasticité du contrôle de l'inhibition après un bref entraînement et de proposer un modèle du contrôle de l'inhibition qui permette d'expliquer les mécanismes cérébraux spatiaux-temporels sous-tendant l'amélioration du contrôle de l'inhibition et de leur plasticité. Dans les deux études intitulées "Brain dynamics underlying training-induced improvement in suppressing inappropriate action" (Manuel et al., 2010) et "Training-induced neuroplastic reinforcement of top-down inhibitory control" (Manuel et al., 2012c), nous nous sommes intéressés aux changements neurophysiologiques et comportementaux liés à un entraînement du contrôle de l'inhibition. Pour ce faire, nous avons étudié l'inhibition à l'aide de deux différentes tâches et deux populations de sujets sains. Nous avons démontré que différents entraînements pouvaient soit développer une inhibition automatique/bottom-up dans les aires pariétales soit renforcer une inhibition contrôlée/top-down dans les aires frontales. Nous discutons ces résultats dans le contexte du modèle fronto-basal du contrôle de l'inhibition. Dans "Spatio-temporal brain dynamics mediating post-error behavioral adjustments" (Manuel et al., 2012a), nous avons investigué comment la détection d'erreurs influençait le traitement du prochain stimulus et comment elle agissait sur le comportement post-erreur. Nous avons montré que pendant l'intégration précoce des stimuli, l'activité des aires préfrontales et pariétales était modulée en fonction de la performance précédente et avait un impact sur les ajustements post-erreur. Nous proposons que la détection d'erreur ait induit un « shift » d'un mode d'inhibition automatique à un mode contrôlé qui a à son tour influencé le temps de réponse. Dans "Inter- and intra-hemispheric dissociations in ideomotor apraxia: a large-scale lesion-symptom mapping study in subacute brain-damaged patients" (Manuel et al., 2012b), nous avons examiné l'apraxie idémotrice, une incapacité à exécuter des gestes d'utilisation d'objets, chez 150 patients cérébro-lésés. Nous avons mis en avant une dissociation intra-hémisphérique pour différents types d'erreurs avec un rôle non spécifique pour les aires frontales inférieures.

Measurement of the dynamics in ski jumping using a wearable inertial sensor-based system.

Abstract Dynamics is a central aspect of ski jumping, particularly during take-off and stable flight. Currently, measurement systems able to measure ski jumping dynamics (e.g. 3D cameras, force plates) are complex and only available in few research centres worldwide. This study proposes a method to determine dynamics using a wearable inertial sensor-based system which can be used routinely on any ski jumping hill. The system automatically calculates characteristic dynamic parameters during take-off (position and velocity of the centre of mass perpendicular to the table, force acting on the centre of mass perpendicular to the table and somersault angular velocity) and stable flight (total aerodynamic force). Furthermore, the acceleration of the ski perpendicular to the table was quantified to characterise the skis lift at take-off. The system was tested with two groups of 11 athletes with different jump distances. The force acting on the centre of mass, acceleration of the ski perpendicular to the table, somersault angular velocity and total aerodynamic force were different between groups and correlated with the jump distances. Furthermore, all dynamic parameters were within the range of prior studies based on stationary measurement systems, except for the centre of mass mean force which was slightly lower.

Automatic generation of active coordinates for quantum dynamics calculations: application to the dynamics of benzene photochemistry

A new practical method to generate a subspace of active coordinates for quantum dynamics calculations is presented. These reduced coordinates are obtained as the normal modes of an analytical quadratic representation of the energy difference between excited and ground states within the complete active space self-consistent field method. At the Franck-Condon point, the largest negative eigenvalues of this Hessian correspond to the photoactive modes: those that reduce the energy difference and lead to the conical intersection; eigenvalues close to 0 correspond to bath modes, while modes with large positive eigenvalues are photoinactive vibrations, which increase the energy difference. The efficacy of quantum dynamics run in the subspace of the photoactive modes is illustrated with the photochemistry of benzene, where theoretical simulations are designed to assist optimal control experiments

Contrasting spatio-temporal climatic niche dynamics during the eastern and western invasions of spotted knapweed in North America

Aim The spotted knapweed (Centaurea stoebe), a plant native to south-east and central Europe, is highly invasive in North America. We investigated the spatio-temporal climatic niche dynamics of the spotted knapweed in North America along two putative eastern and western invasion routes. We then considered the patterns observed in the light of historical, ecological and evolutionary factors. Location Europe and North America. Methods The niche characteristics of the east and west invasive populations of spotted knapweed in North America were determined from documented occurrences over 120 consecutive years (1890-2010). The 2.5 and 97.5 percentiles of values along temperature and precipitation gradients, as given by the two first axes of a principal component axis (PCA), were then calculated. We additionally measured the climatic dissimilarity between invaded and native niches using a multivariate environmental similarity surface (MESS) analysis. Results Along both invasion routes, the species established in regions with climatic conditions that were similar to those in the native range in Europe. An initial spread in ruderal habitats always preceded spread in (semi-)natural habitats. In the east, the niche gradually increased over time until it reached limits similar to the native niche. Conversely, in the west the niche abruptly expanded after an extended time lag into climates not occupied in the native range; only the native cold niche limit was conserved. Main conclusions Our study reveals that different niche dynamics have taken place during the eastern and western invasions. This pattern indicates different combinations of historical, ecological and evolutionary factors in the two ranges. We hypothesize that the lack of a well-developed transportation network in the west at the time of the introduction of spotted knapweed confined the species to a geographically and climatically isolated region. The invasion of dry rangelands may have been favoured during the agricultural transition in the 1930s by release from natural enemies, local adaptation and less competitive vegetation, but further experimental and molecular studies are needed to explain these contrasting niche patterns fully. Our study illustrates the need and benefit of applying large-scale, temporally explicit approaches to understanding biological invasions.

A fractionally integrated approach to monetary policy and inflation dynamics

This paper relaxes the standard I(0) and I(1) assumptions typically stated in the monetary VAR literature by considering a richer framework that encompasses the previous two processes as well as other fractionally integrated possibilities. First, a timevarying multivariate spectrum is estimated for post WWII US data. Then, a structural fractionally integrated VAR (VARFIMA) is fitted to each of the resulting time dependent spectra. In this way, both the coefficients of the VAR and the innovation variances are allowed to evolve freely. The model is employed to analyze inflation persistence and to evaluate the stance of US monetary policy. Our findings indicate a strong decline in the innovation variances during the great disinflation, consistent with the view that the good performance of the economy during the 80’s and 90’s is in part a tale of good luck. However, we also find evidence of a decline in inflation persistence together with a stronger monetary response to inflation during the same period. This last result suggests that the Fed may still play a role in accounting for the observed differences in the US inflation history. Finally, we conclude that previous evidence against drifting coefficients could be an artifact of parameter restriction towards the stationary region. Keywords: monetary policy, inflation persistence, fractional integration, timevarying coefficients, VARFIMA. JEL Classification: E52, C32

How did the Financial Crisis affect the Real Interest Rate Dynamics in Europe?

We investigate the effects of the financial crisis on the stationarity of real interest rates in the Euro Area. We use a new unit root test developed by Peseran et al. (2013) that allows for multiple unobserved factors in a panel set up. Our results suggest that while short-term and long-term real interest rates were stationary before the financial crisis, they became nonstationary during the crisis period likely due to persistent risk that characterized financial markets during that time. JEL codes: E43, C23. Keywords: Real interest rates, Euro Area, financial crisis, panel unit root tests, cross-sectional dependence.

Exploring unfrequent events with accelerated molecular dynamics simulations: from photochemistry to drug design

La meva incorporació al grup de recerca del Prof. McCammon (University of California San Diego) en qualitat d’investigador post doctoral amb una beca Beatriu de Pinós, va tenir lloc el passat 1 de desembre de 2010; on vaig dur a terme les meves tasques de recerca fins al darrer 1 d’abril de 2012. El Prof. McCammon és un referent mundial en l’aplicació de simulacions de dinàmica molecular (MD) en sistemes biològics d’interès humà. La contribució més important del Prof. McCammon en la simulació de sistemes biològics és el desenvolupament del mètode de dinàmiques moleculars accelerades (AMD). Les simulacions MD convencionals, les quals estan limitades a l’escala de temps del nanosegon (~10-9s), no son adients per l’estudi de sistemes biològics rellevants a escales de temps mes llargues (μs, ms...). AMD permet explorar fenòmens moleculars poc freqüents però que son clau per l’enteniment de molts sistemes biològics; fenòmens que no podrien ser observats d’un altre manera. Durant la meva estada a la “University of California San Diego”, vaig treballar en diferent aplicacions de les simulacions AMD, incloent fotoquímica i disseny de fàrmacs per ordinador. Concretament, primer vaig desenvolupar amb èxit una combinació dels mètodes AMD i simulacions Car-Parrinello per millorar l’exploració de camins de desactivació (interseccions còniques) en reaccions químiques fotoactivades. En segon lloc, vaig aplicar tècniques estadístiques (Replica Exchange) amb AMD en la descripció d’interaccions proteïna-lligand. Finalment, vaig dur a terme un estudi de disseny de fàrmacs per ordinador en la proteïna-G Rho (involucrada en el desenvolupament de càncer humà) combinant anàlisis estructurals i simulacions AMD. Els projectes en els quals he participat han estat publicats (o estan encara en procés de revisió) en diferents revistes científiques, i han estat presentats en diferents congressos internacionals. La memòria inclosa a continuació conté més detalls de cada projecte esmentat.

Biophysical characterization of tubulin tyrosine ligase-like proteins on microtubule dynamics

Report for the scientific sojourn carried out at the Cell Biology and Biophysics Unit from the National Institutes of Health, from 2010 to 2012.