938 resultados para implied volatility function models


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We show that the common singularities present in generic modified gravity models governed by actions of the type S = integral d(4)x root-gf(R, phi, X). with X = -1/2 g(ab)partial derivative(a)phi partial derivative(b)phi, are essentially the same anisotropic instabilities associated to the hypersurface F(phi) = 0 in the case of a nonminimal coupling of the type F(phi)R, enlightening the physical origin of such singularities that typically arise in rather complex and cumbersome inhomogeneous perturbation analyses. We show, moreover, that such anisotropic instabilities typically give rise to dynamically unavoidable singularities, precluding completely the possibility of having physically viable models for which the hypersurface partial derivative f/partial derivative R = 0 is attained. Some examples are explicitly discussed.

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We present four estimators of the shared information (or interdepency) in ground states given that the coefficients appearing in the wave function are all real non-negative numbers and therefore can be interpreted as probabilities of configurations. Such ground states of Hermitian and non-Hermitian Hamiltonians can be given, for example, by superpositions of valence bond states which can describe equilibrium but also stationary states of stochastic models. We consider in detail the last case, the system being a classical not a quantum one. Using analytical and numerical methods we compare the values of the estimators in the directed polymer and the raise and peel models which have massive, conformal invariant and nonconformal invariant massless phases. We show that like in the case of the quantum problem, the estimators verify the area law with logarithmic corrections when phase transitions take place.

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In one-component Abelian sandpile models, the toppling probabilities are independent quantities. This is not the case in multicomponent models. The condition of associativity of the underlying Abelian algebras imposes nonlinear relations among the toppling probabilities. These relations are derived for the case of two-component quadratic Abelian algebras. We show that Abelian sandpile models with two conservation laws have only trivial avalanches.

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Recently, we have found an additional spin-orbit (SO) interaction in quantum wells with two subbands [Bernardes , Phys. Rev. Lett. 99, 076603 (2007)]. This new SO term is nonzero even in symmetric geometries, as it arises from the intersubband coupling between confined states of distinct parities, and its strength is comparable to that of the ordinary Rashba. Starting from the 8x8 Kane model, here we present a detailed derivation of this new SO Hamiltonian and the corresponding SO coupling. In addition, within the self-consistent Hartree approximation, we calculate the strength of this new SO coupling for realistic symmetric modulation-doped wells with two subbands. We consider gated structures with either a constant areal electron density or a constant chemical potential. In the parameter range studied, both models give similar results. By considering the effects of an external applied bias, which breaks the structural inversion symmetry of the wells, we also calculate the strength of the resulting induced Rashba couplings within each subband. Interestingly, we find that for double wells the Rashba couplings for the first and second subbands interchange signs abruptly across the zero bias, while the intersubband SO coupling exhibits a resonant behavior near this symmetric configuration. For completeness we also determine the strength of the Dresselhaus couplings and find them essentially constant as function of the applied bias.

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With each directed acyclic graph (this includes some D-dimensional lattices) one can associate some Abelian algebras that we call directed Abelian algebras (DAAs). On each site of the graph one attaches a generator of the algebra. These algebras depend on several parameters and are semisimple. Using any DAA, one can define a family of Hamiltonians which give the continuous time evolution of a stochastic process. The calculation of the spectra and ground-state wave functions (stationary state probability distributions) is an easy algebraic exercise. If one considers D-dimensional lattices and chooses Hamiltonians linear in the generators, in finite-size scaling the Hamiltonian spectrum is gapless with a critical dynamic exponent z=D. One possible application of the DAA is to sandpile models. In the paper we present this application, considering one- and two-dimensional lattices. In the one-dimensional case, when the DAA conserves the number of particles, the avalanches belong to the random walker universality class (critical exponent sigma(tau)=3/2). We study the local density of particles inside large avalanches, showing a depletion of particles at the source of the avalanche and an enrichment at its end. In two dimensions we did extensive Monte-Carlo simulations and found sigma(tau)=1.780 +/- 0.005.

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The structure of laser glasses in the system (Y(2)O(3))(0.2){(Al(2)O(3))(x))(B(2)O(3))(0.8-x)} (0.15 <= x <= 0.40) has been investigated by means of (11)B, (27)Al, and (89)Y solid state NMR as well as electron spin echo envelope modulation (ESEEM) of Yb-doped samples. The latter technique has been applied for the first time to an aluminoborate glass system. (11)B magic-angle spinning (MAS)-NMR spectra reveal that, while the majority of the boron atoms are three-coordinated over the entire composition region, the fraction of three-coordinated boron atoms increases significantly with increasing x. Charge balance considerations as well as (11)B NMR lineshape analyses suggest that the dominant borate species are predominantly singly charged metaborate (BO(2/2)O(-)), doubly charged pyroborate (BO(1/2)(O(-))(2)), and (at x = 0.40) triply charged orthoborate groups. As x increases along this series, the average anionic charge per trigonal borate group increases from 1.38 to 2.91. (27)Al MAS-NMR spectra show that the alumina species are present in the coordination states four, five and six, and the fraction of four-coordinated Al increases markedly with increasing x. All of the Al coordination states are in intimate contact with both the three-and the four-coordinate boron species and vice versa, as indicated by (11)B/(27)Al rotational echo double resonance (REDOR) data. These results are consistent with the formation of a homogeneous, non-segregated glass structure. (89)Y solid state NMR spectra show a significant chemical shift trend, reflecting that the second coordination sphere becomes increasingly ""aluminate-like'' with increasing x. This conclusion is supported by electron spin echo envelope modulation (ESEEM) data of Yb-doped glasses, which indicate that both borate and aluminate species participate in the medium range structure of the rare-earth ions, consistent with a random spatial distribution of the glass components.

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A combined analytical and numerical study is performed of the mapping between strongly interacting fermions and weakly interacting spins, in the framework of the Hubbard, t-J, and Heisenberg models. While for spatially homogeneous models in the thermodynamic limit the mapping is thoroughly understood, we here focus on aspects that become relevant in spatially inhomogeneous situations, such as the effect of boundaries, impurities, superlattices, and interfaces. We consider parameter regimes that are relevant for traditional applications of these models, such as electrons in cuprates and manganites, and for more recent applications to atoms in optical lattices. The rate of the mapping as a function of the interaction strength is determined from the Bethe-Ansatz for infinite systems and from numerical diagonalization for finite systems. We show analytically that if translational symmetry is broken through the presence of impurities, the mapping persists and is, in a certain sense, as local as possible, provided the spin-spin interaction between two sites of the Heisenberg model is calculated from the harmonic mean of the onsite Coulomb interaction on adjacent sites of the Hubbard model. Numerical calculations corroborate these findings also in interfaces and superlattices, where analytical calculations are more complicated.

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Ultra-high-energy cosmic rays (UHECRs), with energies above similar to 6 x 10(19) eV, seem to show a weak correlation with the distribution of matter relatively near to us in the universe. It has earlier been proposed that UHECRs could be accelerated in either the nucleus or the outer lobes of the nearby radio galaxy Cen A. We show that UHECR production at a spatially intermediate location about 15 kpc northeast from the nucleus, where the jet emerging from the nucleus is observed to strike a large star-forming shell of gas, is a plausible alternative. A relativistic jet is capable of accelerating lower energy heavy seed cosmic rays (CRs) to UHECRs on timescales comparable to the time it takes the jet to pierce the large gaseous cloud. In this model, many CRs arising from a starburst, with a composition enhanced in heavy elements near the knee region around PeV, are boosted to ultra-high energies by the relativistic shock of a newly oriented jet. This model matches the overall spectrum shown by the Auger data and also makes a prediction for the chemical composition as a function of particle energy. We thus predict an observable anisotropy in the composition at high energy in the sense that lighter nuclei should preferentially be seen toward the general direction of Cen A. Taking into consideration the magnetic field models for the Galactic disk and a Galactic magnetic wind, this scenario may resolve the discrepancy between HiRes and Auger results concerning the chemical composition of UHECRs.

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By numerically calculating the relevant electromagnetic fields and charge current densities, we show how local charges and currents near subwavelength structures govern light transmission through subwavelength apertures in a real metal film. The illumination of a single aperture generates surface waves; and in the case of slits, generates them with high efficiency and with a phase close to - pi with respect to a reference standing wave established at the metal film front facet. This phase shift is due to the direction of induced charge currents running within the slit walls. The surface waves on the entrance facet interfere with the standing wave. This interference controls the profile of the transmission through slit pairs as a function of their separation. We compare the calculated transmission profile for a two-slit array to simple interference models and measurements [Phys. Rev. B 77(11), 115411 (2008)]. (C) 2011 Optical Society of America

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Background: The inference of gene regulatory networks (GRNs) from large-scale expression profiles is one of the most challenging problems of Systems Biology nowadays. Many techniques and models have been proposed for this task. However, it is not generally possible to recover the original topology with great accuracy, mainly due to the short time series data in face of the high complexity of the networks and the intrinsic noise of the expression measurements. In order to improve the accuracy of GRNs inference methods based on entropy (mutual information), a new criterion function is here proposed. Results: In this paper we introduce the use of generalized entropy proposed by Tsallis, for the inference of GRNs from time series expression profiles. The inference process is based on a feature selection approach and the conditional entropy is applied as criterion function. In order to assess the proposed methodology, the algorithm is applied to recover the network topology from temporal expressions generated by an artificial gene network (AGN) model as well as from the DREAM challenge. The adopted AGN is based on theoretical models of complex networks and its gene transference function is obtained from random drawing on the set of possible Boolean functions, thus creating its dynamics. On the other hand, DREAM time series data presents variation of network size and its topologies are based on real networks. The dynamics are generated by continuous differential equations with noise and perturbation. By adopting both data sources, it is possible to estimate the average quality of the inference with respect to different network topologies, transfer functions and network sizes. Conclusions: A remarkable improvement of accuracy was observed in the experimental results by reducing the number of false connections in the inferred topology by the non-Shannon entropy. The obtained best free parameter of the Tsallis entropy was on average in the range 2.5 <= q <= 3.5 (hence, subextensive entropy), which opens new perspectives for GRNs inference methods based on information theory and for investigation of the nonextensivity of such networks. The inference algorithm and criterion function proposed here were implemented and included in the DimReduction software, which is freely available at http://sourceforge.net/projects/dimreduction and http://code.google.com/p/dimreduction/.

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Background: The archaeal exosome is formed by a hexameric RNase PH ring and three RNA binding subunits and has been shown to bind and degrade RNA in vitro. Despite extensive studies on the eukaryotic exosome and on the proteins interacting with this complex, little information is yet available on the identification and function of archaeal exosome regulatory factors. Results: Here, we show that the proteins PaSBDS and PaNip7, which bind preferentially to poly-A and AU-rich RNAs, respectively, affect the Pyrococcus abyssi exosome activity in vitro. PaSBDS inhibits slightly degradation of a poly-rA substrate, while PaNip7 strongly inhibits the degradation of poly-A and poly-AU by the exosome. The exosome inhibition by PaNip7 appears to depend at least partially on its interaction with RNA, since mutants of PaNip7 that no longer bind RNA, inhibit the exosome less strongly. We also show that FITC-labeled PaNip7 associates with the exosome in the absence of substrate RNA. Conclusions: Given the high structural homology between the archaeal and eukaryotic proteins, the effect of archaeal Nip7 and SBDS on the exosome provides a model for an evolutionarily conserved exosome control mechanism.

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The yeast nucleolar protein Nop8p has previously been shown to interact with Nip7p and to be required for 60S ribosomal subunit formation. Although depletion of Nop8p in yeast cells leads to premature degradation of rRNAs, the biochemical mechanism responsible for this phenotype is still not known. In this work, we show that the Nop8p amino-terminal region mediates interaction with the 5.8S rRNA, while its carboxyl-terminal portion interacts with Nip7p and can partially complement the growth defect of the conditional mutant strain Dnop8/GAL:NOP8. Interestingly, Nop8p mediates association of Nip7p to pre-ribosomal particles. Nop8p also interacts with the exosome subunit Rrp6p and inhibits the complex activity in vitro, suggesting that the decrease in 60S ribosomal subunit levels detected upon depletion of Nop8p may result from degradation of pre-rRNAs by the exosome. These results strongly indicate that Nop8p may control the exosome function during pre-rRNA processing.

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Bacterial type III secretion systems deliver protein virulence factors to host cells. Here we characterize the interaction between HrpB2, a small protein secreted by the Xanthomonas citri subsp. citri type III secretion system, and the cytosolic domain of the inner membrane protein HrcU, a paralog of the flagellar protein FlhB. We show that a recombinant fragment corresponding to the C-terminal cytosolic domain of HrcU produced in E. coli suffers cleavage within a conserved Asn264-Pro265-Thr266-His267 (NPTH) sequence. A recombinant HrcU cytosolic domain with N264A, P265A, T266A mutations at the cleavage site (HrcU(AAAH)) was not cleaved and interacted with HrpB2. Furthermore, a polypeptide corresponding to the sequence following the NPTH cleavage site also interacted with HrpB2 indicating that the site for interaction is located after the NPTH site. Non-polar deletion mutants of the hrcU and hrpB2 genes resulted in a total loss of pathogenicity in susceptible citrus plants and disease symptoms could be recovered by expression of HrpB2 and HrcU from extrachromossomal plasmids. Complementation of the Delta hrcU mutant with HrcU(AAAH) produced canker lesions similar to those observed when complemented with wild-type HrcU. HrpB2 secretion however, was significantly reduced in the Delta hrcU mutant complemented with HrcU(AAAH), suggesting that an intact and cleavable NPTH site in HrcU is necessary for total functionally of T3SS in X. citri subsp. citri. Complementation of the Delta hrpB2 X. citri subsp. citri strain with a series of hrpB2 gene mutants revealed that the highly conserved HrpB2 C-terminus is essential for T3SS-dependent development of citrus canker symptoms in planta.

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Objective: We carry out a systematic assessment on a suite of kernel-based learning machines while coping with the task of epilepsy diagnosis through automatic electroencephalogram (EEG) signal classification. Methods and materials: The kernel machines investigated include the standard support vector machine (SVM), the least squares SVM, the Lagrangian SVM, the smooth SVM, the proximal SVM, and the relevance vector machine. An extensive series of experiments was conducted on publicly available data, whose clinical EEG recordings were obtained from five normal subjects and five epileptic patients. The performance levels delivered by the different kernel machines are contrasted in terms of the criteria of predictive accuracy, sensitivity to the kernel function/parameter value, and sensitivity to the type of features extracted from the signal. For this purpose, 26 values for the kernel parameter (radius) of two well-known kernel functions (namely. Gaussian and exponential radial basis functions) were considered as well as 21 types of features extracted from the EEG signal, including statistical values derived from the discrete wavelet transform, Lyapunov exponents, and combinations thereof. Results: We first quantitatively assess the impact of the choice of the wavelet basis on the quality of the features extracted. Four wavelet basis functions were considered in this study. Then, we provide the average accuracy (i.e., cross-validation error) values delivered by 252 kernel machine configurations; in particular, 40%/35% of the best-calibrated models of the standard and least squares SVMs reached 100% accuracy rate for the two kernel functions considered. Moreover, we show the sensitivity profiles exhibited by a large sample of the configurations whereby one can visually inspect their levels of sensitiveness to the type of feature and to the kernel function/parameter value. Conclusions: Overall, the results evidence that all kernel machines are competitive in terms of accuracy, with the standard and least squares SVMs prevailing more consistently. Moreover, the choice of the kernel function and parameter value as well as the choice of the feature extractor are critical decisions to be taken, albeit the choice of the wavelet family seems not to be so relevant. Also, the statistical values calculated over the Lyapunov exponents were good sources of signal representation, but not as informative as their wavelet counterparts. Finally, a typical sensitivity profile has emerged among all types of machines, involving some regions of stability separated by zones of sharp variation, with some kernel parameter values clearly associated with better accuracy rates (zones of optimality). (C) 2011 Elsevier B.V. All rights reserved.

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The search for more realistic modeling of financial time series reveals several stylized facts of real markets. In this work we focus on the multifractal properties found in price and index signals. Although the usual minority game (MG) models do not exhibit multifractality, we study here one of its variants that does. We show that the nonsynchronous MG models in the nonergodic phase is multifractal and in this sense, together with other stylized facts, constitute a better modeling tool. Using the structure function (SF) approach we detected the stationary and the scaling range of the time series generated by the MG model and, from the linear (non-linear) behavior of the SF we identified the fractal (multifractal) regimes. Finally, using the wavelet transform modulus maxima (WTMM) technique we obtained its multifractal spectrum width for different dynamical regimes. (C) 2009 Elsevier Ltd. All rights reserved.