Financial modelling with 2-EPT probability density functions

The class of all Exponential-Polynomial-Trigonometric (EPT) functions is classical and equal to the Euler-d’Alembert class of solutions of linear differential equations with constant coefficients. The class of non-negative EPT functions defined on [0;1) was discussed in Hanzon and Holland (2010) of which EPT probability density functions are an important subclass. EPT functions can be represented as ceAxb, where A is a square matrix, b a column vector and c a row vector where the triple (A; b; c) is the minimal realization of the EPT function. The minimal triple is only unique up to a basis transformation. Here the class of 2-EPT probability density functions on R is defined and shown to be closed under a variety of operations. The class is also generalised to include mixtures with the pointmass at zero. This class coincides with the class of probability density functions with rational characteristic functions. It is illustrated that the Variance Gamma density is a 2-EPT density under a parameter restriction. A discrete 2-EPT process is a process which has stochastically independent 2-EPT random variables as increments. It is shown that the distribution of the minimum and maximum of such a process is an EPT density mixed with a pointmass at zero. The Laplace Transform of these distributions correspond to the discrete time Wiener-Hopf factors of the discrete time 2-EPT process. A distribution of daily log-returns, observed over the period 1931-2011 from a prominent US index, is approximated with a 2-EPT density function. Without the non-negativity condition, it is illustrated how this problem is transformed into a discrete time rational approximation problem. The rational approximation software RARL2 is used to carry out this approximation. The non-negativity constraint is then imposed via a convex optimisation procedure after the unconstrained approximation. Sufficient and necessary conditions are derived to characterise infinitely divisible EPT and 2-EPT functions. Infinitely divisible 2-EPT density functions generate 2-EPT Lévy processes. An assets log returns can be modelled as a 2-EPT Lévy process. Closed form pricing formulae are then derived for European Options with specific times to maturity. Formulae for discretely monitored Lookback Options and 2-Period Bermudan Options are also provided. Certain Greeks, including Delta and Gamma, of these options are also computed analytically. MATLAB scripts are provided for calculations involving 2-EPT functions. Numerical option pricing examples illustrate the effectiveness of the 2-EPT approach to financial modelling.

HIF-1alpha role in oxygen-dependent radio- and chemosensitivity

Poor oxygenation (hypoxia) is a common characteristic of human solid tumours, and is associated with cell survival, metastasis and resistance to radio- and chemotherapies. Hypoxia-induced stabilisation of hypoxia-inducible factor-1α (HIF-1α) leads to changes in expression of various genes associated with growth, vascularisation and metabolism. However whether HIF-1α plays a causal role in promoting hypoxic resistance to antitumour therapies remains unclear. In this study we used pharmacological and genetic methods to investigate the HIF-1α contribution to radio- and chemoresistance in four cancer cell lines derived from cervical, breast, prostate and melanoma human tumours. Under normoxia or hypoxia (<0.2% or 0.5% oxygen) the cells were exposed to either a standard irradiation dose (6.2 Gy) or chemotherapeutic drug (cisplatin), and subsequent cell proliferation (after 7 days) was measured in terms of resazurin reduction. Oxygen-dependent radio- and chemosensitivity was evident in all wild type whereas it was reduced or abolished in HIF-1α (siRNA) knockdown cells. The effects of HIF-1α-modulating drugs (EDHB, CoCl2, deferoxamine to stabilise and R59949 to destabilise it) reflected both HIF-1α-dependent and independent mechanisms. Collectively the data show that HIF-1α played a causal role in our in vitro model of hypoxia-induced radioresistance whereas its contribution to oxygendependent sensitivity to cisplatin was less clear-cut. Although this behavior is likely to be conditioned by further biological and physical factors operating in vivo, it is consistent with the hypothesis that interventions directed at HIF-1α may improve the clinical effectiveness of tumour treatments.

The development of new methods for high resolution radio astronomy imaging

Very Long Baseline Interferometry (VLBI) polarisation observations of the relativistic jets from Active Galactic Nuclei (AGN) allow the magnetic field environment around the jet to be probed. In particular, multi-wavelength observations of AGN jets allow the creation of Faraday rotation measure maps which can be used to gain an insight into the magnetic field component of the jet along the line of sight. Recent polarisation and Faraday rotation measure maps of many AGN show possible evidence for the presence of helical magnetic fields. The detection of such evidence is highly dependent both on the resolution of the images and the quality of the error analysis and statistics used in the detection. This thesis focuses on the development of new methods for high resolution radio astronomy imaging in both of these areas. An implementation of the Maximum Entropy Method (MEM) suitable for multi-wavelength VLBI polarisation observations is presented and the advantage in resolution it possesses over the CLEAN algorithm is discussed and demonstrated using Monte Carlo simulations. This new polarisation MEM code has been applied to multi-wavelength imaging of the Active Galactic Nuclei 0716+714, Mrk 501 and 1633+382, in each case providing improved polarisation imaging compared to the case of deconvolution using the standard CLEAN algorithm. The first MEM-based fractional polarisation and Faraday-rotation VLBI images are presented, using these sources as examples. Recent detections of gradients in Faraday rotation measure are presented, including an observation of a reversal in the direction of a gradient further along a jet. Simulated observations confirming the observability of such a phenomenon are conducted, and possible explanations for a reversal in the direction of the Faraday rotation measure gradient are discussed. These results were originally published in Mahmud et al. (2013). Finally, a new error model for the CLEAN algorithm is developed which takes into account correlation between neighbouring pixels. Comparison of error maps calculated using this new model and Monte Carlo maps show striking similarities when the sources considered are well resolved, indicating that the method is correctly reproducing at least some component of the overall uncertainty in the images. The calculation of many useful quantities using this model is demonstrated and the advantages it poses over traditional single pixel calculations is illustrated. The limitations of the model as revealed by Monte Carlo simulations are also discussed; unfortunately, the error model does not work well when applied to compact regions of emission.

Planning a portfolio of controls for software development

A growing number of software development projects successfully exhibit a mix of agile and traditional software development methodologies. Many of these mixed methodologies are organization specific and tailored to a specific project. Our objective in this research-in-progress paper is to develop an artifact that can guide the development of such a mixed methodology. Using control theory, we design a process model that provides theoretical guidance to build a portfolio of controls that can support the development of a mixed methodology for software development. Controls, embedded in methods, provide a generalizable and adaptable framework for project managers to develop their mixed methodology specific to the demands of the project. A research methodology is proposed to test the model. Finally, future directions and contributions are discussed.

Delivering mobile cloud services to the user: description, discovery, and consumption

The mobile cloud computing paradigm can offer relevant and useful services to the users of smart mobile devices. Such public services already exist on the web and in cloud deployments, by implementing common web service standards. However, these services are described by mark-up languages, such as XML, that cannot be comprehended by non-specialists. Furthermore, the lack of common interfaces for related services makes discovery and consumption difficult for both users and software. The problem of service description, discovery, and consumption for the mobile cloud must be addressed to allow users to benefit from these services on mobile devices. This paper introduces our work on a mobile cloud service discovery solution, which is utilised by our mobile cloud middleware, Context Aware Mobile Cloud Services (CAMCS). The aim of our approach is to remove complex mark-up languages from the description and discovery process. By means of the Cloud Personal Assistant (CPA) assigned to each user of CAMCS, relevant mobile cloud services can be discovered and consumed easily by the end user from the mobile device. We present the discovery process, the architecture of our own service registry, and service description structure. CAMCS allows services to be used from the mobile device through a user's CPA, by means of user defined tasks. We present the task model of the CPA enabled by our solution, including automatic tasks, which can perform work for the user without an explicit request.

Figer: A Quadraphonic Electroacoustic Composition

Figer (to congeal, to solidify) is a quadraphonic electroacoustic composition. It was completed in the fall of 2003. Several software programs were used in creating and assembling the piece (C-Sound, Grain Mill, AL/Erwin (grain generator), Sound Forge and Acid Music). The sounds used in the piece are of two general types: synthesized and sampled, both of which were subjected to various processing techniques. The most important of these techniques, and one that formally defines large portions of the piece, is granular synthesis. Form The notion of time perception is of great importance in this piece. Figer addresses this question in several ways. In one sense, the form of Figer is simple. There are three layers of activity (see diagram). Layer 1 is continuous and non-sectional and supplies a backdrop (not necessarily a background) for the other two. The second and third layers overlap and interrupt one another. Each consists of two blocks of sound. The layers, and blocks within, relate to each other in various ways. Layer 1 is formally continuous. Layer 2 consists of well-defined columns of sound that evolve from soft and mild to loud and abrasive. The layer is, in reality, a whole that is simply cut into two parts (block 1 and block 2). In contrast, the blocks of layer 3 do not constitute a whole. Each is a complete unit and has its own self-contained evolutionary path. Those paths, however, do cross the paths of other units (layers, blocks), influencing them and absorbing some of their essence. At the heart of Figer lies a constant process of presenting materials or ideas and immediately, or, at times, simultaneously, commenting, reflecting on, or reinterpreting that material. All of the layers of this piece deal, both at local and global levels, with the problem of time and its perception relative to the materials, sonic or otherwise, that occupy it and the manner in which they unfold and relate to each other.

Midlatitude daytime D region ionosphere variations measured from radio atmospherics

We measured the midlatitude daytime ionospheric D region electron density profile height variations in July and August 2005 near Duke University by using radio atmospherics (or sferics for short), which are the high-power, broadband very low frequency (VLF) signals launched by lightning discharges. As expected, the measured daytime D region electron density profile heights showed temporal variations quantitatively correlated with solar zenith angle changes. In the midlatitude geographical regions near Duke University, the observed quiet time heights decreased from ∼80 km near sunrise to ∼71 km near noon when the solar zenith angle was minimum. The measured height quantitative dependence on the solar zenith angle was slightly different from the low-latitude measurement given in a previous work. We also observed unexpected spatial variations not linked to the solar zenith angle on some days, with 15% of days exhibiting regional differences larger than 0.5 km. In these 2 months, 14 days had sudden height drops caused by solar flare X-rays, with a minimum height of 63.4 km observed. The induced height change during a solar flare event was approximately proportional to the logarithm of the X-ray flux. In the long waveband (wavelength, 1-8 Å), an increase in flux by a factor of 10 resulted in 6.3 km decrease of the height at the flux peak time, nearly a perfect agreement with the previous measurement. During the rising and decaying phases of the solar flare, the height changes correlated more consistently with the short, rather than the long, wavelength X-ray flux changes. © 2010 by the American Geophysical Union.

Spider monkey home ranges: A comparison of radio telemetry and direct observation

The ranging patterns of two male and five female spider monkeys (Ateles geoffroyi) were studied with the use of radio telemetry in Santa Rosa National Park, Costa Rica. The average size of a spider monkey home range was 62.4 hectares; however, range size varied with sex, and, for females, with the presence of a dependent infant. The probability of encountering a radio‐collared spider monkey in a three‐hour search using radio telemetry (0.91) was much greater than using a visual search (0.20), and telemetric data resulted in a larger estimate of mean home range size than did observational data, when all subjects were compared. However, the difference appeared to be owing to the presence of male ranges in the telemetric, but not the observational, data. When the size of home ranges derived from radio‐tracking data for adult females was compared to size of ranges for adult females derived from observations, the results were not significantly different. Adult males had larger home ranges than adult females, thus lending support to the hypothesis that males have adapted to the dispersion of females by occupying a large home range that overlaps the ranges of several adult females. The smallest home ranges were occupied by low‐weight females with dependent infants, perhaps reflecting social and energetic constraints. Copyright © 1988 Wiley‐Liss, Inc., A Wiley Company

The Multiscale Systems Immunology project: software for cell-based immunological simulation.

BACKGROUND: Computer simulations are of increasing importance in modeling biological phenomena. Their purpose is to predict behavior and guide future experiments. The aim of this project is to model the early immune response to vaccination by an agent based immune response simulation that incorporates realistic biophysics and intracellular dynamics, and which is sufficiently flexible to accurately model the multi-scale nature and complexity of the immune system, while maintaining the high performance critical to scientific computing. RESULTS: The Multiscale Systems Immunology (MSI) simulation framework is an object-oriented, modular simulation framework written in C++ and Python. The software implements a modular design that allows for flexible configuration of components and initialization of parameters, thus allowing simulations to be run that model processes occurring over different temporal and spatial scales. CONCLUSION: MSI addresses the need for a flexible and high-performing agent based model of the immune system.

Implementation of customer relationship management and inventory control software: a multiple case study of small retailers

Gemstone Team Small Business Solutions

Validation of ICDPIC software injury severity scores using a large regional trauma registry.

BACKGROUND: Administrative or quality improvement registries may or may not contain the elements needed for investigations by trauma researchers. International Classification of Diseases Program for Injury Categorisation (ICDPIC), a statistical program available through Stata, is a powerful tool that can extract injury severity scores from ICD-9-CM codes. We conducted a validation study for use of the ICDPIC in trauma research. METHODS: We conducted a retrospective cohort validation study of 40,418 patients with injury using a large regional trauma registry. ICDPIC-generated AIS scores for each body region were compared with trauma registry AIS scores (gold standard) in adult and paediatric populations. A separate analysis was conducted among patients with traumatic brain injury (TBI) comparing the ICDPIC tool with ICD-9-CM embedded severity codes. Performance in characterising overall injury severity, by the ISS, was also assessed. RESULTS: The ICDPIC tool generated substantial correlations in thoracic and abdominal trauma (weighted κ 0.87-0.92), and in head and neck trauma (weighted κ 0.76-0.83). The ICDPIC tool captured TBI severity better than ICD-9-CM code embedded severity and offered the advantage of generating a severity value for every patient (rather than having missing data). Its ability to produce an accurate severity score was consistent within each body region as well as overall. CONCLUSIONS: The ICDPIC tool performs well in classifying injury severity and is superior to ICD-9-CM embedded severity for TBI. Use of ICDPIC demonstrates substantial efficiency and may be a preferred tool in determining injury severity for large trauma datasets, provided researchers understand its limitations and take caution when examining smaller trauma datasets.

Phylotastic! Making tree-of-life knowledge accessible, reusable and convenient.

BACKGROUND: Scientists rarely reuse expert knowledge of phylogeny, in spite of years of effort to assemble a great "Tree of Life" (ToL). A notable exception involves the use of Phylomatic, which provides tools to generate custom phylogenies from a large, pre-computed, expert phylogeny of plant taxa. This suggests great potential for a more generalized system that, starting with a query consisting of a list of any known species, would rectify non-standard names, identify expert phylogenies containing the implicated taxa, prune away unneeded parts, and supply branch lengths and annotations, resulting in a custom phylogeny suited to the user's needs. Such a system could become a sustainable community resource if implemented as a distributed system of loosely coupled parts that interact through clearly defined interfaces. RESULTS: With the aim of building such a "phylotastic" system, the NESCent Hackathons, Interoperability, Phylogenies (HIP) working group recruited 2 dozen scientist-programmers to a weeklong programming hackathon in June 2012. During the hackathon (and a three-month follow-up period), 5 teams produced designs, implementations, documentation, presentations, and tests including: (1) a generalized scheme for integrating components; (2) proof-of-concept pruners and controllers; (3) a meta-API for taxonomic name resolution services; (4) a system for storing, finding, and retrieving phylogenies using semantic web technologies for data exchange, storage, and querying; (5) an innovative new service, DateLife.org, which synthesizes pre-computed, time-calibrated phylogenies to assign ages to nodes; and (6) demonstration projects. These outcomes are accessible via a public code repository (GitHub.com), a website (http://www.phylotastic.org), and a server image. CONCLUSIONS: Approximately 9 person-months of effort (centered on a software development hackathon) resulted in the design and implementation of proof-of-concept software for 4 core phylotastic components, 3 controllers, and 3 end-user demonstration tools. While these products have substantial limitations, they suggest considerable potential for a distributed system that makes phylogenetic knowledge readily accessible in computable form. Widespread use of phylotastic systems will create an electronic marketplace for sharing phylogenetic knowledge that will spur innovation in other areas of the ToL enterprise, such as annotation of sources and methods and third-party methods of quality assessment.

Automatic verification of linear controller software

© 2015 IEEE.We consider the problem of verification of software implementations of linear time-invariant controllers. Commonly, different implementations use different representations of the controller's state, for example due to optimizations in a third-party code generator. To accommodate this variation, we exploit input-output controller specification captured by the controller's transfer function and show how to automatically verify correctness of C code controller implementations using a Frama-C/Why3/Z3 toolchain. Scalability of the approach is evaluated using randomly generated controller specifications of realistic size.

In vivo guidance and assessment of liver radio-frequency ablation with acoustic radiation force elastography.

The initial results from clinical trials investigating the utility of acoustic radiation force impulse (ARFI) imaging for use with radio-frequency ablation (RFA) procedures in the liver are presented. To date, data have been collected from 6 RFA procedures in 5 unique patients. Large displacement contrast was observed in ARFI images of both pre-ablation malignancies (mean 7.5 dB, range 5.7-11.9 dB) and post-ablation thermal lesions (mean 6.2 dB, range 5.1-7.5 dB). In general, ARFI images provided superior boundary definition of structures relative to the use of conventional sonography alone. Although further investigations are required, initial results are encouraging and demonstrate the clinical promise of the ARFI method for use in many stages of RFA procedures.

Chlamydia trachomatis Infection Leads to Defined Alterations to the Lipid Droplet Proteome in Epithelial Cells.

The obligate intracellular bacterium Chlamydia trachomatis is a major human pathogen and a main cause of genital and ocular diseases. During its intracellular cycle, C. trachomatis replicates inside a membrane-bound vacuole termed an "inclusion". Acquisition of lipids (and other nutrients) from the host cell is a critical step in chlamydial replication. Lipid droplets (LD) are ubiquitous, ER-derived neutral lipid-rich storage organelles surrounded by a phospholipids monolayer and associated proteins. Previous studies have shown that LDs accumulate at the periphery of, and eventually translocate into, the chlamydial inclusion. These observations point out to Chlamydia-mediated manipulation of LDs in infected cells, which may impact the function and thereby the protein composition of these organelles. By means of a label-free quantitative mass spectrometry approach we found that the LD proteome is modified in the context of C. trachomatis infection. We determined that LDs isolated from C. trachomatis-infected cells were enriched in proteins related to lipid metabolism, biosynthesis and LD-specific functions. Interestingly, consistent with the observation that LDs intimately associate with the inclusion, a subset of inclusion membrane proteins co-purified with LD protein extracts. Finally, genetic ablation of LDs negatively affected generation of C. trachomatis infectious progeny, consistent with a role for LD biogenesis in optimal chlamydial growth.