Reproducibility of scratch assays is affected by the initial degree of confluence: Experiments, modelling and model selection

Scratch assays are difficult to reproduce. Here we identify a previously overlooked source of variability which could partially explain this difficulty. We analyse a suite of scratch assays in which we vary the initial degree of confluence (initial cell density). Our results indicate that the rate of re-colonisation is very sensitive to the initial density. To quantify the relative roles of cell migration and proliferation, we calibrate the solution of the Fisher–Kolmogorov model to cell density profiles to provide estimates of the cell diffusivity, D, and the cell proliferation rate, λ. This procedure indicates that the estimates of D and λ are very sensitive to the initial density. This dependence suggests that the Fisher–Kolmogorov model does not accurately represent the details of the collective cell spreading process, since this model assumes that D and λ are constants that ought to be independent of the initial density. Since higher initial cell density leads to enhanced spreading, we also calibrate the solution of the Porous–Fisher model to the data as this model assumes that the cell flux is an increasing function of the cell density. Estimates of D and λ associated with the Porous–Fisher model are less sensitive to the initial density, suggesting that the Porous–Fisher model provides a better description of the experiments.

Understanding urban rail travel for improved patronage forecasting

Improved forecasting of urban rail patronage is essential for effective policy development and efficient planning for new rail infrastructure. Past modelling and forecasting of urban rail patronage has been based on legacy modelling approaches and often conducted at the general level of public transport demand, rather than being specific to urban rail. This project canvassed current Australian practice and international best practice to develop and estimate time series and cross-sectional models of rail patronage for Australian mainland state capital cities. This involved the implementation of a large online survey of rail riders and non-riders for each of the state capital cities, thereby resulting in a comprehensive database of respondent socio-economic profiles, travel experience, attitudes to rail and other modes of travel, together with stated preference responses to a wide range of urban travel scenarios. Estimation of the models provided a demonstration of their ability to provide information on the major influences on the urban rail travel decision. Rail fares, congestion and rail service supply all have a strong influence on rail patronage, while a number of less significant factors such as fuel price and access to a motor vehicle are also influential. Of note, too, is the relative homogeneity of rail user profiles across the state capitals. Rail users tended to have higher incomes and education levels. They are also younger and more likely to be in full-time employment than non-rail users. The project analysis reported here represents only a small proportion of what could be accomplished utilising the survey database. More comprehensive investigation was beyond the scope of the project and has been left for future work.

The watershed simulation and forecasting system in the National Board of and the Environment

Yhteenveto: Vesistömalleihin perustuva vesistöjen seuranta- ja ennustejärjestelmä vesi- ja ympäristöhallinnossa

Modeling and Forecasting Implied Volatility: Implications for Trading, Pricing, and Risk Management

Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics, especially in trading, pricing, hedging, and risk management activities, all of which require an accurate volatility. However, it has become challenging since the 1987 stock market crash, as implied volatilities (IVs) recovered from stock index options present two patterns: volatility smirk(skew) and volatility term-structure, if the two are examined at the same time, presents a rich implied volatility surface (IVS). This implies that the assumptions behind the Black-Scholes (1973) model do not hold empirically, as asset prices are mostly influenced by many underlying risk factors. This thesis, consists of four essays, is modeling and forecasting implied volatility in the presence of options markets’ empirical regularities. The first essay is modeling the dynamics IVS, it extends the Dumas, Fleming and Whaley (DFW) (1998) framework; for instance, using moneyness in the implied forward price and OTM put-call options on the FTSE100 index, a nonlinear optimization is used to estimate different models and thereby produce rich, smooth IVSs. Here, the constant-volatility model fails to explain the variations in the rich IVS. Next, it is found that three factors can explain about 69-88% of the variance in the IVS. Of this, on average, 56% is explained by the level factor, 15% by the term-structure factor, and the additional 7% by the jump-fear factor. The second essay proposes a quantile regression model for modeling contemporaneous asymmetric return-volatility relationship, which is the generalization of Hibbert et al. (2008) model. The results show strong negative asymmetric return-volatility relationship at various quantiles of IV distributions, it is monotonically increasing when moving from the median quantile to the uppermost quantile (i.e., 95%); therefore, OLS underestimates this relationship at upper quantiles. Additionally, the asymmetric relationship is more pronounced with the smirk (skew) adjusted volatility index measure in comparison to the old volatility index measure. Nonetheless, the volatility indices are ranked in terms of asymmetric volatility as follows: VIX, VSTOXX, VDAX, and VXN. The third essay examines the information content of the new-VDAX volatility index to forecast daily Value-at-Risk (VaR) estimates and compares its VaR forecasts with the forecasts of the Filtered Historical Simulation and RiskMetrics. All daily VaR models are then backtested from 1992-2009 using unconditional, independence, conditional coverage, and quadratic-score tests. It is found that the VDAX subsumes almost all information required for the volatility of daily VaR forecasts for a portfolio of the DAX30 index; implied-VaR models outperform all other VaR models. The fourth essay models the risk factors driving the swaption IVs. It is found that three factors can explain 94-97% of the variation in each of the EUR, USD, and GBP swaption IVs. There are significant linkages across factors, and bi-directional causality is at work between the factors implied by EUR and USD swaption IVs. Furthermore, the factors implied by EUR and USD IVs respond to each others’ shocks; however, surprisingly, GBP does not affect them. Second, the string market model calibration results show it can efficiently reproduce (or forecast) the volatility surface for each of the swaptions markets.

Simulating and Forecasting the Demand for New Consumer Durables

A diffusion/replacement model for new consumer durables designed to be used as a long-term forecasting tool is developed. The model simulates new demand as well as replacement demand over time. The model is called DEMSIM and is built upon a counteractive adoption model specifying the basic forces affecting the adoption behaviour of individual consumers. These forces are the promoting forces and the resisting forces. The promoting forces are further divided into internal and external influences. These influences are operationalized within a multi-segmental diffusion model generating the adoption behaviour of the consumers in each segment as an expected value. This diffusion model is combined with a replacement model built upon the same segmental structure as the diffusion model. This model generates, in turn, the expected replacement behaviour in each segment. To be able to use DEMSIM as a forecasting tool in early stages of a diffusion process estimates of the model parameters are needed as soon as possible after product launch. However, traditional statistical techniques are not very helpful in estimating such parameters in early stages of a diffusion process. To enable early parameter calibration an optimization algorithm is developed by which the main parameters of the diffusion model can be estimated on the basis of very few sales observations. The optimization is carried out in iterative simulation runs. Empirical validations using the optimization algorithm reveal that the diffusion model performs well in early long-term sales forecasts, especially as it comes to the timing of future sales peaks.

Dynamic Factor Models and Forecasting Finnish Macroeconomic Variables

In recent years, thanks to developments in information technology, large-dimensional datasets have been increasingly available. Researchers now have access to thousands of economic series and the information contained in them can be used to create accurate forecasts and to test economic theories. To exploit this large amount of information, researchers and policymakers need an appropriate econometric model.Usual time series models, vector autoregression for example, cannot incorporate more than a few variables. There are two ways to solve this problem: use variable selection procedures or gather the information contained in the series to create an index model. This thesis focuses on one of the most widespread index model, the dynamic factor model (the theory behind this model, based on previous literature, is the core of the first part of this study), and its use in forecasting Finnish macroeconomic indicators (which is the focus of the second part of the thesis). In particular, I forecast economic activity indicators (e.g. GDP) and price indicators (e.g. consumer price index), from 3 large Finnish datasets. The first dataset contains a large series of aggregated data obtained from the Statistics Finland database. The second dataset is composed by economic indicators from Bank of Finland. The last dataset is formed by disaggregated data from Statistic Finland, which I call micro dataset. The forecasts are computed following a two steps procedure: in the first step I estimate a set of common factors from the original dataset. The second step consists in formulating forecasting equations including the factors extracted previously. The predictions are evaluated using relative mean squared forecast error, where the benchmark model is a univariate autoregressive model. The results are dataset-dependent. The forecasts based on factor models are very accurate for the first dataset (the Statistics Finland one), while they are considerably worse for the Bank of Finland dataset. The forecasts derived from the micro dataset are still good, but less accurate than the ones obtained in the first case. This work leads to multiple research developments. The results here obtained can be replicated for longer datasets. The non-aggregated data can be represented in an even more disaggregated form (firm level). Finally, the use of the micro data, one of the major contributions of this thesis, can be useful in the imputation of missing values and the creation of flash estimates of macroeconomic indicator (nowcasting).

Modelling and analysis of the variance in parallelism in parallel computations

In this paper, we introduce an analytical technique based on queueing networks and Petri nets for making a performance analysis of dataflow computations when executed on the Manchester machine. This technique is also applicable for the analysis of parallel computations on multiprocessors. We characterize the parallelism in dataflow computations through a four-parameter characterization, namely, the minimum parallelism, the maximum parallelism, the average parallelism and the variance in parallelism. We observe through detailed investigation of our analytical models that the average parallelism is a good characterization of the dataflow computations only as long as the variance in parallelism is small. However, significant difference in performance measures will result when the variance in parallelism is comparable to or higher than the average parallelism.

Design, modelling and simulation of vibratory micromachined gyroscopes

Among various MEMS sensors, a rate gyroscope is one of the most complex sensors from the design point of view. The gyro normally consists of a proof mass suspended by an elaborate assembly of beams that allow the system to vibrate in two transverse modes. The structure is normally analysed and designed using commercial FEM packages such as ANSYS or MEMS specific commercial tools such as Coventor or Intellisuite. In either case, the complexity in analysis rises manyfolds when one considers the etch hole topography and the associated fluid flow calculation for damping. In most cases, the FEM analysis becomes prohibitive and one resorts to equivalent electrical circuit simulations using tools like SABER in Coventor. Here, we present a simplified lumped parameter model of the tuning fork gyro and show how easily it can be implemented using a generic tool like SIMULINK. The results obtained are compared with those obtained from more elaborate and intense simulations in Coventor. The comparison shows that lumped parameter SIMULINK model gives equally good results with fractional effort in modelling and computation. Next, the performance of a symmetric and decoupled vibratory gyroscope structure is also evaluated using this approach and a few modifications are made in this design to enhance the sensitivity of the device.

Characterization of substrate UpA binding to RNase A--computer modelling and energetics approach.

In the past two decades RNase A has been the focus of diverse investigations in order to understand the nature of substrate binding and to know the mechanism of enzyme action. Although this system is reasonably well characterized from the view point of some of the binding sites, the details of interactions in the second base binding (B2) site is insufficient. Further, the nature of ligand-protein interaction is elucidated generally by studies on RNase A-substrate analog complexes (mainly with the help of X-ray crystallography). Hence, the details of interactions at atomic level arising due to substrates are inferred indirectly. In the present paper, the dinucleotide substrate UpA is fitted into the active site of RNase A Several possible substrate conformations are investigated and the binding modes have been selected based on Contact Criteria. Thus identified RNase A-UpA complexes are energy minimized in coordinate space and are analysed in terms of conformations, energetics and interactions. The best possible ligand conformations for binding to RNase A are identified by experimentally known interactions and by the energetics. Upon binding of UpA to RNase A the changes associated,with protein back bone, Side chains in general and at the binding sites in particular are described. Further, the detailed interactions between UpA and RNase A are characterized in terms of hydrogen bonds and energetics. An extensive study has helped in interpreting the diverse results obtained from a number of experiments and also in evaluating the extent of changes the protein and the substrate undergo in order to maximize their interactions.

Recovery from DoS Attacks in MIPv6: Modelling and Validation

Denial-of-service (DoS) attacks form a very important category of security threats that are prevalent in MIPv6 (mobile internet protocol version 6) today. Many schemes have been proposed to alleviate such threats, including one of our own [9]. However, reasoning about the correctness of such protocols is not trivial. In addition, new solutions to mitigate attacks may need to be deployed in the network on a frequent basis as and when attacks are detected, as it is practically impossible to anticipate all attacks and provide solutions in advance. This makes it necessary to validate the solutions in a timely manner before deployment in the real network. However, threshold schemes needed in group protocols make analysis complex. Model checking threshold-based group protocols that employ cryptography have not been successful so far. Here, we propose a new simulation based approach for validation using a tool called FRAMOGR that supports executable specification of group protocols that use cryptography. FRAMOGR allows one to specify attackers and track probability distributions of values or paths. We believe that infrastructure such as FRAMOGR would be required in future for validating new group based threshold protocols that may be needed for making MIPv6 more robust.

Wavelet based spectral finite element modelling and detection of de-lamination in composite beams

In this paper, a model for composite beam with embedded de-lamination is developed using the wavelet based spectral finite element (WSFE) method particularly for damage detection using wave propagation analysis. The simulated responses are used as surrogate experimental results for the inverse problem of detection of damage using wavelet filtering. The WSFE technique is very similar to the fast fourier transform (FFT) based spectral finite element (FSFE) except that it uses compactly supported Daubechies scaling function approximation in time. Unlike FSFE formulation with periodicity assumption, the wavelet-based method allows imposition of initial values and thus is free from wrap around problems. This helps in analysis of finite length undamped structures, where the FSFE method fails to simulate accurate response. First, numerical experiments are performed to study the effect of de-lamination on the wave propagation characteristics. The responses are simulated for different de-lamination configurations for both broad-band and narrow-band excitations. Next, simulated responses are used for damage detection using wavelet analysis.

Modelling and classification of respiratory volume wavefourms

A technique is proposed for classifying respiratory volume waveforms(RVW) into normal and abnormal categories of respiratory pathways. The proposed method transforms the temporal sequence into frequency domain by using an orthogonal transform, namely discrete cosine transform (DCT) and the transformed signal is pole-zero modelled. A Bayes classifier using model pole angles as the feature vector performed satisfactorily when a limited number of RVWs recorded under deep and rapid (DR) manoeuvre are classified.

Quaternary association in beta-prism I fold plant lectins: Insights from X-ray crystallography, modelling and molecular dynamics

Dimeric banana lectin and calsepa, tetrameric artocarpin and octameric heltuba are mannose-specific beta-prism I fold lectins of nearly the same tertiary structure. MD simulations on individual subunits and the oligomers provide insights into the changes in the structure brought about in the protomers on oligomerization, including swapping of the N-terminal stretch in one instance. The regions that undergo changes also tend to exhibit dynamic flexibility during MD simulations. The internal symmetries of individual oligomers are substantially retained during the calculations. Energy minimization and simulations were also carried out on models using all possible oligomers by employing the four different protomers. The unique dimerization pattern observed in calsepa could be traced to unique substitutions in a peptide stretch involved in dimerization. The impossibility of a specific mode of oligomerization involving a particular protomer is often expressed in terms of unacceptable steric contacts or dissociation of the oligomer during simulations. The calculations also led to a rationale for the observation of a heltuba tetramer in solution although the lectin exists as an octamer in the crystal, in addition to providing insights into relations among evolution, oligomerization and ligand binding.