Point-occurrence self-similarity in crackling-noise systems and in other complex systems

It has been recently found that a number of systems displaying crackling noise also show a remarkable behavior regarding the temporal occurrence of successive events versus their size: a scaling law for the probability distributions of waiting times as a function of a minimum size is fulfilled, signaling the existence on those systems of self-similarity in time-size. This property is also present in some non-crackling systems. Here, the uncommon character of the scaling law is illustrated with simple marked renewal processes, built by definition with no correlations. Whereas processes with a finite mean waiting time do not fulfill a scaling law in general and tend towards a Poisson process in the limit of very high sizes, processes without a finite mean tend to another class of distributions, characterized by double power-law waiting-time densities. This is somehow reminiscent of the generalized central limit theorem. A model with short-range correlations is not able to escape from the attraction of those limit distributions. A discussion on open problems in the modeling of these properties is provided.

Co-movements in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model

We analyze and quantify co-movements in real effective exchange rates while considering the regional location of countries. More specifically, using the dynamic hierarchical factor model (Moench et al. (2011)), we decompose exchange rate movements into several latent components; worldwide and two regional factors as well as country-specific elements. Then, we provide evidence that the worldwide common factor is closely related to monetary policies in large advanced countries while regional common factors tend to be captured by those in the rest of the countries in a region. However, a substantial proportion of the variation in the real exchange rates is reported to be country-specific; even in Europe country-specific movements exceed worldwide and regional common factors.

A Simple Characterization of Dynamic Completeness in Continuous Time

This paper investigates dynamic completeness of financial markets in which the underlying risk process is a multi-dimensional Brownian motion and the risky securities dividends geometric Brownian motions. A sufficient condition, that the instantaneous dispersion matrix of the relative dividends is non-degenerate, was established recently in the literature for single-commodity, pure-exchange economies with many heterogenous agents, under the assumption that the intermediate flows of all dividends, utilities, and endowments are analytic functions. For the current setting, a different mathematical argument in which analyticity is not needed shows that a slightly weaker condition suffices for general pricing kernels. That is, dynamic completeness obtains irrespectively of preferences, endowments, and other structural elements (such as whether or not the budget constraints include only pure exchange, whether or not the time horizon is finite with lump-sum dividends available on the terminal date, etc.)

Visual binding abilities in the initial and advanced stages of schizophrenia

OBJECTIVE: The study tests the hypothesis that intramodal visual binding is disturbed in schizophrenia and should be detectable in all illness stages as a stable trait marker. METHOD: Three groups of patients (rehospitalized chronic schizophrenic, first admitted schizophrenic and schizotypal patients believed to be suffering from a pre-schizophrenic prodrome) and a group of normal control subjects were tested on three tasks targeting visual 'binding' abilities (Muller-Lyer's illusion and two figure detection tasks) in addition to control parameters such as reaction time, visual selective attention, Raven's test and two conventional cortical tasks of spatial working memory (SWM) and a global local test. RESULTS: Chronic patients had a decreased performance on the binding tests. Unexpectedly, the prodromal group exhibited an enhanced Gestalt extraction on these tests compared both to schizophrenic patients and to healthy subjects. Furthermore, chronic schizophrenia was associated with a poor performance on cortical tests of SWM, global local and on Raven. This association appears to be mediated by or linked to the chronicity of the illness. CONCLUSION: The study confirms a variety of neurocognitive deficits in schizophrenia which, however, in this sample seem to be linked to chronicity of illness. However, certain aspects of visual processing concerned with Gestalt extraction deserve attention as potential vulnerability- or prodrome- indicators. The initial hypothesis of the study is rejected.

Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas

We study the asymmetric and dynamic dependence between financial assets and demonstrate, from the perspective of risk management, the economic significance of dynamic copula models. First, we construct stock and currency portfolios sorted on different characteristics (ex ante beta, coskewness, cokurtosis and order flows), and find substantial evidence of dynamic evolution between the high beta (respectively, coskewness, cokurtosis and order flow) portfolios and the low beta (coskewness, cokurtosis and order flow) portfolios. Second, using three different dependence measures, we show the presence of asymmetric dependence between these characteristic-sorted portfolios. Third, we use a dynamic copula framework based on Creal et al. (2013) and Patton (2012) to forecast the portfolio Value-at-Risk of long-short (high minus low) equity and FX portfolios. We use several widely used univariate and multivariate VaR models for the purpose of comparison. Backtesting our methodology, we find that the asymmetric dynamic copula models provide more accurate forecasts, in general, and, in particular, perform much better during the recent financial crises, indicating the economic significance of incorporating dynamic and asymmetric dependence in risk management.

Dynamic Relational Contracts under Complete Information

This paper considers a long-term relationship between two agents who both undertake a costly action or investment that together produces a joint benefit. Agents have an opportunity to expropriate some of the joint benefit for their own use. Two cases are considered: (i) where agents are risk neutral and are subject to limited liability constraints and (ii) where agents are risk averse, have quasi-linear preferences in consumption and actions but where limited liability constraints do not bind. The question asked is how to structure the investments and division of the surplus over time so as to avoid expropriation. In the risk-neutral case, there may be an initial phase in which one agent overinvests and the other underinvests. However, both actions and surplus converge monotonically to a stationary state in which there is no overinvestment and surplus is at its maximum subject to the constraints. In the risk-averse case, there is no overinvestment. For this case, we establish that dynamics may or may not be monotonic depending on whether or not it is possible to sustain a first-best allocation. If the first-best allocation is not sustainable, then there is a trade-off between risk sharing and surplus maximization. In general, surplus will not be at its constrained maximum even in the long run.

Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula

We investigate the dynamic and asymmetric dependence structure between equity portfolios from the US and UK. We demonstrate the statistical significance of dynamic asymmetric copula models in modelling and forecasting market risk. First, we construct “high-minus-low" equity portfolios sorted on beta, coskewness, and cokurtosis. We find substantial evidence of dynamic and asymmetric dependence between characteristic-sorted portfolios. Second, we consider a dynamic asymmetric copula model by combining the generalized hyperbolic skewed t copula with the generalized autoregressive score (GAS) model to capture both the multivariate non-normality and the dynamic and asymmetric dependence between equity portfolios. We demonstrate its usefulness by evaluating the forecasting performance of Value-at-Risk and Expected Shortfall for the high-minus-low portfolios. From back-testing, e find consistent and robust evidence that our dynamic asymmetric copula model provides the most accurate forecasts, indicating the importance of incorporating the dynamic and asymmetric dependence structure in risk management.

Impacte visual aeri a Argentona

Treball de recerca realitzat per un alumne d'ensenyament secundari i guardonat amb un Premi CIRIT per fomentar l'esperit cientí­fic del Jovent l'any 2009. Aquest treball té com a finalitat millorar l'entorn aeri d'Argentona, un poble situat a la comarca del Maresme. Els elements que creen més impacte visual aeri són les antenes en desús i el cablejat no soterrat. S'han buscat propostes per canviar aquesta situació: la retirada de les antenes, aprofitant l'arribada de la TDT, i el soterrament del cablejat aeri. Donat que ambdues accions afectarien al municipi i a la seva població, s'ha considerat necessari incloure una enquesta, per a conèixer l'opinió dels argentonins, i dues entrevistes, a l'alcalde i a l'enginyer municipal, per conèixer la postura oficial.

The Visual Dysphagia Questionnaire: Piloting a New Tool for Assessing Food Consistency-Dependent Dysphagia in Eosinophilic Esophagitis

Background and Aims: The international EEsAI study group is currently developing the first activity index specific for Eosinophilic Esophagitis (EoE). None of the existing dysphagia questionnaires takes into account the consistency of the ingested food that considerably impacts the symptom presentation. Goal: To develop an EoE-specific questionnaire assessing dysphagia associated with different food consistencies. Methods: Based on patient chart reviews, an expert panel (EEsAI study group) identified internationally standardized food prototypes typically associated with EoE-related dysphagia. Food consistencies were correlated with EoE-related dysphagia, also considering potential food avoidance. This Visual Dysphagia Questionnaire (VDQ) was then tested, as a pilot, in 10 EoE patients. Results: The following 9 food consistency prototypes were identified: water, soft foods (pudding, jelly), grits, toast bread, French fries, dry rice, ground meat, raw fibrous foods (eg. apple, carrot), solid meat. Dysphagia was ranked on a 5-point Likert scale (0=no difficulties, 5=very severe difficulties, food will not pass). Severity of dysphagia in the 10 EoE patients was related to the eosinophil load and presence of esophageal strictures. Conclusions: The VDQ will be the first EoE-specific tool for assessing dysphagia related to internationally defined food consistencies. It performed well in a pilot study and will now be further evaluated in a cohort study including 100 adult and 100 pediatric EoE patients.

Impaired early visual response modulations to spatial information in chronic schizophrenia.

Early visual processing stages have been demonstrated to be impaired in schizophrenia patients and their first-degree relatives. The amplitude and topography of the P1 component of the visual evoked potential (VEP) are both affected; the latter of which indicates alterations in active brain networks between populations. At least two issues remain unresolved. First, the specificity of this deficit (and suitability as an endophenotype) has yet to be established, with evidence for impaired P1 responses in other clinical populations. Second, it remains unknown whether schizophrenia patients exhibit intact functional modulation of the P1 VEP component; an aspect that may assist in distinguishing effects specific to schizophrenia. We applied electrical neuroimaging analyses to VEPs from chronic schizophrenia patients and healthy controls in response to variation in the parafoveal spatial extent of stimuli. Healthy controls demonstrated robust modulation of the VEP strength and topography as a function of the spatial extent of stimuli during the P1 component. By contrast, no such modulations were evident at early latencies in the responses from patients with schizophrenia. Source estimations localized these deficits to the left precuneus and medial inferior parietal cortex. These findings provide insights on potential underlying low-level impairments in schizophrenia.

Estimation of dynamic latent variable models using simulated nonparametric moments

Abstract. Given a model that can be simulated, conditional moments at a trial parameter value can be calculated with high accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of moments techniques can be used to estimate the parameter. Because conditional moments are calculated using kernel smoothing rather than simple averaging, it is not necessary that the model be simulable subject to the conditioning information that is used to define the moment conditions. For this reason, the proposed estimator is applicable to general dynamic latent variable models. It is shown that as the number of simulations diverges, the estimator is consistent and a higher-order expansion reveals the stochastic difference between the infeasible GMM estimator based on the same moment conditions and the simulated version. In particular, we show how to adjust standard errors to account for the simulations. Monte Carlo results show how the estimator may be applied to a range of dynamic latent variable (DLV) models, and that it performs well in comparison to several other estimators that have been proposed for DLV models.

Dynamic stackelberg game with risk-averse players: optimal risk-sharing under asymmetric information

The objective of this paper is to clarify the interactive nature of the leader-follower relationship when both players are endogenously risk-averse. The analysis is placed in the context of a dynamic closed-loop Stackelberg game with private information. The case of a risk-neutral leader, very often discussed in the literature, is only a borderline possibility in the present study. Each player in the game is characterized by a risk-averse type which is unknown to his opponent. The goal of the leader is to implement an optimal incentive compatible risk-sharing contract. The proposed approach provides a qualitative analysis of adaptive risk behavior profiles for asymmetrically informed players in the context of dynamic strategic interactions modelled as incentive Stackelberg games.

Nash equilibrium strategies in discrete-time finite-horizon dynamic games with risk-and effort-averse players

The objective of this paper is to re-examine the risk-and effort attitude in the context of strategic dynamic interactions stated as a discrete-time finite-horizon Nash game. The analysis is based on the assumption that players are endogenously risk-and effort-averse. Each player is characterized by distinct risk-and effort-aversion types that are unknown to his opponent. The goal of the game is the optimal risk-and effort-sharing between the players. It generally depends on the individual strategies adopted and, implicitly, on the the players' types or characteristics.