A nonlinear threshold model for the dependence of extremes of stationary sequences

One of the main implications of the efficient market hypothesis (EMH) is that expected future returns on financial assets are not predictable if investors are risk neutral. In this paper we argue that financial time series offer more information than that this hypothesis seems to supply. In particular we postulate that runs of very large returns can be predictable for small time periods. In order to prove this we propose a TAR(3,1)-GARCH(1,1) model that is able to describe two different types of extreme events: a first type generated by large uncertainty regimes where runs of extremes are not predictable and a second type where extremes come from isolated dread/joy events. This model is new in the literature in nonlinear processes. Its novelty resides on two features of the model that make it different from previous TAR methodologies. The regimes are motivated by the occurrence of extreme values and the threshold variable is defined by the shock affecting the process in the preceding period. In this way this model is able to uncover dependence and clustering of extremes in high as well as in low volatility periods. This model is tested with data from General Motors stocks prices corresponding to two crises that had a substantial impact in financial markets worldwide; the Black Monday of October 1987 and September 11th, 2001. By analyzing the periods around these crises we find evidence of statistical significance of our model and thereby of predictability of extremes for September 11th but not for Black Monday. These findings support the hypotheses of a big negative event producing runs of negative returns in the first case, and of the burst of a worldwide stock market bubble in the second example. JEL classification: C12; C15; C22; C51 Keywords and Phrases: asymmetries, crises, extreme values, hypothesis testing, leverage effect, nonlinearities, threshold models

Partial Knowledge Restrictions on theTwo-Stage Threshold Model of Choice

In the context of the two-stage threshold model of decision making, with the agent’s choices determined by the interaction Of three “structural variables,” we study the restrictions on behavior that arise when one or more variables are xogenously known. Our results supply necessary and sufficient conditions for consistency with the model for all possible states of partial Knowledge, and for both single- and multivalued choice functions.

Reconstruction threshold for the hardcore model

"Vegeu el resum a l'inici del document del fitxer adjunt."

Transcriptional and functional profiles of voltage-gated Na(+) channels in injured and non-injured DRG neurons in the SNI model of neuropathic pain.

Changes in expression and function of voltage-gated sodium channels (VGSC) in dorsal root ganglion (DRG) neurons may play a major role in the genesis of peripheral hyperexcitability that occurs in neuropathic pain. We present here the first description of changes induced by spared nerve injury (SNI) to Na(v)1 mRNA levels and tetrodotoxin-sensitive and -resistant (TTX-S/TTX-R) Na(+) currents in injured and adjacent non-injured small DRG neurons. VGSC transcripts were down-regulated in injured neurons except for Na(v)1.3, which increased, while they were either unchanged or increased in non-injured neurons. TTX-R current densities were reduced in injured neurons and the voltage dependence of steady-state inactivation for TTX-R was positively shifted in injured and non-injured neurons. TTX-S current densities were not affected by SNI, while the rate of recovery from inactivation was accelerated in injured neurons. Our results describe altered neuronal electrogenesis following SNI that is likely induced by a complex regulation of VGSCs.

Evolution of self-organized division of labor in a response threshold model.

Division of labor in social insects is determinant to their ecological success. Recent models emphasize that division of labor is an emergent property of the interactions among nestmates obeying to simple behavioral rules. However, the role of evolution in shaping these rules has been largely neglected. Here, we investigate a model that integrates the perspectives of self-organization and evolution. Our point of departure is the response threshold model, where we allow thresholds to evolve. We ask whether the thresholds will evolve to a state where division of labor emerges in a form that fits the needs of the colony. We find that division of labor can indeed evolve through the evolutionary branching of thresholds, leading to workers that differ in their tendency to take on a given task. However, the conditions under which division of labor evolves depend on the strength of selection on the two fitness components considered: amount of work performed and on worker distribution over tasks. When selection is strongest on the amount of work performed, division of labor evolves if switching tasks is costly. When selection is strongest on worker distribution, division of labor is less likely to evolve. Furthermore, we show that a biased distribution (like 3:1) of workers over tasks is not easily achievable by a threshold mechanism, even under strong selection. Contrary to expectation, multiple matings of colony foundresses impede the evolution of specialization. Overall, our model sheds light on the importance of considering the interaction between specific mechanisms and ecological requirements to better understand the evolutionary scenarios that lead to division of labor in complex systems. ELECTRONIC SUPPLEMENTARY MATERIAL: The online version of this article (doi:10.1007/s00265-012-1343-2) contains supplementary material, which is available to authorized users.

CRITICAL BEHAVIOR AND THRESHOLD OF COEXISTENCE OF A PREDATOR-PREY STOCHASTIC MODEL IN A 2D LATTICE

We investigate the critical behavior of a stochastic lattice model describing a predator-prey system. By means of Monte Carlo procedure we simulate the model defined on a regular square lattice and determine the threshold of species coexistence, that is, the critical phase boundaries related to the transition between an active state, where both species coexist and an absorbing state where one of the species is extinct. A finite size scaling analysis is employed to determine the order parameter, order parameter fluctuations, correlation length and the critical exponents. Our numerical results for the critical exponents agree with those of the directed percolation universality class. We also check the validity of the hyperscaling relation and present the data collapse curves.

Study of stayability in Nellore cows using a threshold model

The objectives of the current study were to assess the feasibility of using stayability traits to improve fertility of Nellore cows and to examine the genetic relationship among the stayabilities at different ages. Stayability was defined as whether a cow calved every year up to the age of 5 (Stay5), 6 (Stay6), or 7 (Stay7) yr of age or more, given that she was provided the opportunity to breed. Data were analyzed based on a maximum a posteriori probit threshold model to predict breeding values on the liability scale, whereas the Gibbs sampler was used to estimate variance components. The EBV were obtained using all animals included in the pedigree or bulls with at least 10 daughters with stayability observations, and average genetic trends were obtained in the liability and transformed to the probability scale. Additional analyses were performed to study the genetic relationship among stayability traits, which were compared by contrasting results in terms of EBV and the average genetic superiority as a function of the selected proportion of sires. Heritability estimates and SD were 0.25 +/- 0.02, 0.22 +/- 0.03, and 0.28 +/- 0.03 for Stay5, Stay6, and Stay7, respectively. Average genetic trends, by year, were 0.51 +/- 0.34, and 0.38% for Stay5, Stay6, and Stay7, respectively. Estimates of EBV SD, in the probability scale, for all animals included in the pedigree and for bulls with at least 10 daughters with stayability observations were 7.98 and 12.95, 6.93 and 11.38, and 8.24 and 14.30% for Stay5, Stay6, and Stay7, respectively. A reduction in the average genetic superiorities in Stay7 would be expected if the selection were based on Stay5 or Stay6. Nonetheless, the reduction in EPD, depending on selection intensity, is on average 0.74 and 1.55%, respectively. Regressions of the sires' EBV for Stay5 and Stay6 on the sires' EBV for Stay7 confirmed these results. The heritability and genetic trend estimates for all stayability traits indicate that it is possible to improve fertility with selection based on a threshold analysis of stayability. The SD of EBV for stayability traits show that there is adequate genetic variability among animals to justify inclusion of stayability as a selection criterion. The potential linear relationship among stayability traits indicates that selection for improved female traits would be more effective by having predictions on the Stay5 trait.

A mechanical analogous model for the power system with Automatic Voltage Regulator

This paper deals with the subject-matter of teaching immaterial issues like power system dynamics where the phenomena and events are not sense-perceptible. The dynamics of the power system are recognized as analogous to the dynamics of a simple mechanical pendulum taken into account the well-known classical model for the synchronous machine. It is shown that even for more sophisticated models including flux decay and Automatic Voltage Regulator the mechanical device can be taken as an analogous, since provided some considerations about variation and control of the pendulum length using certain control laws. The resulting mathematical model represents a mechanical system that can be built for use in laboratory teaching of power system dynamics. © 2010 Praise Worthy Prize S.r.l. - All rights reserved.

Design of a CMOS voltage reference using current-model approach

A voltage reference with low sensibility to temperature and power-supply that can generate flexible reference values (from milivolts to several volts) is proposed. Designed for AMS 0.35μm CMOS process, the circuit provides a stable output voltage working in the temperature range of -40-150°C. The proposed reference provides a nominal output voltage of 1.358V with a power-supply of 3.3V. © 2011 IEEE.

A mixed-integer LP model for the optimal allocation of voltage regulators and capacitors in radial distribution systems

This paper presents a mixed-integer linear programming model to solve the problem of allocating voltage regulators and fixed or switched capacitors (VRCs) in radial distribution systems. The use of a mixed-integer linear model guarantees convergence to optimality using existing optimization software. In the proposed model, the steady-state operation of the radial distribution system is modeled through linear expressions. The results of one test system and one real distribution system are presented in order to show the accuracy as well as the efficiency of the proposed solution technique. An heuristic to obtain the Pareto front for the multiobjective VRCs allocation problem is also presented. © 2012 Elsevier Ltd. All rights reserved.

A general threshold stress hybrid hazard model for lifetime data

In this paper we propose a hybrid hazard regression model with threshold stress which includes the proportional hazards and the accelerated failure time models as particular cases. To express the behavior of lifetimes the generalized-gamma distribution is assumed and an inverse power law model with a threshold stress is considered. For parameter estimation we develop a sampling-based posterior inference procedure based on Markov Chain Monte Carlo techniques. We assume proper but vague priors for the parameters of interest. A simulation study investigates the frequentist properties of the proposed estimators obtained under the assumption of vague priors. Further, some discussions on model selection criteria are given. The methodology is illustrated on simulated and real lifetime data set.

Physical model of PD behavior and relevant damage growth from micro-cavities in polyethylene-based material under AC voltage

In the framework of developing defect-based life models, in which breakdown is explicitly associated with partial discharge (PD)-induced damage growth from a defect, ageing tests and PD measurements were carried out in the lab on polyethylene (PE) layered specimens containing artificial cavities. PD activity was monitored continuously during aging. A quasi-deterministic series of stages can be observed in the behavior of the main PD parameters (i.e. discharge repetition rate and amplitude). Phase-resolved PD patterns at various ageing stages were reproduced by numerical simulation which is based on a physical discharge model devoid of adaptive parameters. The evolution of the simulation parameters provides insight into the physical-chemical changes taking place at the dielectric/cavity interface during the aging process. PD activity shows similar time behavior under constant cavity gas volume and constant cavity gas pressure conditions, suggesting that the variation of PD parameters may not be attributed to the variation of the gas pressure. Brownish PD byproducts, consisting of oxygen containing moieties, and degradation pits were found at the dielectric/cavity interface. It is speculated that the change of PD activity is related to the composition of the cavity gas, as well as to the properties of dielectric/cavity interface.