Linear and non-linear (non-)forecastability of high-frequency exchange rates

This paper forecasts Daily Sterling exchange rate returns using various naive, linear and non-linear univariate time-series models. The accuracy of the forecasts is evaluated using mean squared error and sign prediction criteria. These show only a very modest improvement over forecasts generated by a random walk model. The Pesaran–Timmerman test and a comparison with forecasts generated artificially shows that even the best models have no evidence of market timing ability.

Linear non-local diffusion problems in metric measure spaces

The aim of this paper is to provide a comprehensive study of some linear non-local diffusion problems in metric measure spaces. These include, for example, open subsets in ℝN, graphs, manifolds, multi-structures and some fractal sets. For this, we study regularity, compactness, positivity and the spectrum of the stationary non-local operator. We then study the solutions of linear evolution non-local diffusion problems, with emphasis on similarities and differences with the standard heat equation in smooth domains. In particular, we prove weak and strong maximum principles and describe the asymptotic behaviour using spectral methods.

La contribution de la stéréoscopie à la constance de forme

Le but de cette étude est de vérifier l'apport de la stéréoscopie dans le phénomène de la constance de forme. La méthode utilisée consiste à mesurer la performance de différents participants (temps de réponse et de taux d'erreurs) à une tâche de prospection visuelle. Quatre groupes de participants ont effectué la tâche. Le premier groupe a été exposé à une présentation stéréoscopique des stimuli, le deuxième groupe à une présentation des stimuli en stéréoscopie inversée (la disparité binoculaire était inversée), le troisième groupe à des stimuli comprenant une information de texture, mais sans stéréoscopie et le quatrième groupe à des stimuli bi-dimensionnels, sans texture. Une interaction entre les effets de rotation (points de vue familiers vs. points de vue non familiers) et le type d'information de profondeur disponible (stéréoscopie, stéréoscopie inversée, texture ou ombrage) a été mise en évidence, le coût de rotation étant plus faible au sein du groupe exposé à une présentation en stéréoscopie inversée. Ces résultats appuient l'implication de représentations tridimensionnelles dans le traitement de l'information visuelle.

On non-linear and non-ideal interactions in two vibrating problems

In practical situations, the dynamics of the forcing function on a vibrating system cannot be considered as given a priori, and it must be taken as a consequence of the dynamics of the whole system. In other words, the forcing source has limited power, as that provided by a DC motor for an example, and thus its own dynamics is influenced by that of the vibrating system being forced. This increases the number of degrees of freedom of the problem, and it is called a non-ideal problem. In this work, we considerer two non-ideal problems analyzed by using numerical simulations. The existence of the Sommerfeld effect was verified, that is, the effect of getting stuck at resonance (energy imparted to the DC motor being used to excite large amplitude motions of the supporting structure). We considered two kinds of non-ideal problem: one related to the transverse vibrations of a shaft carrying two disks and another to a piezoceramic bar transducer powered by a vacuum tube generated by a non-ideal source Copyright © 2007 by ASME.

Discovery and characterization of a novel non-competitive inhibitor of the divalent metal transporter DMT1/SLC11A2

Divalent metal transporter-1 (SLC11A2/DMT1) uses the H+ electrochemical gradient as the driving force to transport divalent metal ions such as Fe2+, Mn2+ and others metals into mammalian cells. DMT1 is ubiquitously expressed, most notably in proximal duodenum, immature erythroid cells, brain and kidney. This transporter mediates H+-coupled transport of ferrous iron across the apical membrane of enterocytes. In addition, in cells such as to erythroid precursors, following transferrin receptor (TfR) mediated endocytosis; it mediates H+-coupled exit of ferrous iron from endocytic vesicles into the cytosol. Dysfunction of human DMT1 is associated with several pathologies such as iron deficiency anemia hemochromatosis, Parkinson's disease and Alzheimer's disease, as well as colorectal cancer and esophageal adenocarcinoma, making DMT1 an attractive target for drug discovery. In the present study, we performed a ligand-based virtual screening of the Princeton database (700,000 commercially available compounds) to search for pharmacophore shape analogs of recently reported DMT1 inhibitors. We discovered a new compound, named pyrimidinone 8, which mediates a reversible linear non-competitive inhibition of human DMT1 (hDMT1) transport activity with a Ki of ∼20 μM. This compound does not affect hDMT1 cell surface expression and shows no dependence on extracellular pH. To our knowledge, this is the first experimental evidence that hDMT1 can be allosterically modulated by pharmacological agents. Pyrimidinone 8 represents a novel versatile tool compound and it may serve as a lead structure for the development of therapeutic compounds for pre-clinical assessment.

Bifurcations in the non-dissipative dynamics of ultra cold atoms

We present the first experimental observation of several bifurcations in a controllable non-linear Hamiltonian system. Dynamics of cold atoms are used to test predictions of non-linear, non-dissipative Hamiltonian dynamics.

Multifractal regime transition in a modified minority game model

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.

Nonlinear Dynamics for Local Fractional Burgers Equation Arising in Fractal Flow

The local fractional Burgers’ equation (LFBE) is investigated from the point of view of local fractional conservation laws envisaging a nonlinear local fractional transport equation with a linear non-differentiable diffusion term. The local fractional derivative transformations and the LFBE conversion to a linear local fractional diffusion equation are analyzed.

Optimal operation of multiproduct batch plants

Multiproduct plants, Dynamic Optimization, Mixed Integer Linear/Non-Linear Programming, Scheduling

2015 Update on Acute Adverse Reactions to Gadolinium based Contrast Agents in Cardiovascular MR. Large Multi-National and Multi-Ethnical Population Experience With 37788 Patients From the EuroCMR Registry.

OBJECTIVES: Specifically we aim to demonstrate that the results of our earlier safety data hold true in this much larger multi-national and multi-ethnical population. BACKGROUND: We sought to re-evaluate the frequency, manifestations, and severity of acute adverse reactions associated with administration of several gadolinium- based contrast agents during routine CMR on a European level. METHODS: Multi-centre, multi-national, and multi-ethnical registry with consecutive enrolment of patients in 57 European centres. RESULTS: During the current observation 37,788 doses of Gadolinium based contrast agent were administered to 37,788 patients. The mean dose was 24.7 ml (range 5-80 ml), which is equivalent to 0.123 mmol/kg (range 0.01 - 0.3 mmol/kg). Forty-five acute adverse reactions due to contrast administration occurred (0.12%). Most reactions were classified as mild (43 of 45) according to the American College of Radiology definition. The most frequent complaints following contrast administration were rashes and hives (15 of 45), followed by nausea (10 of 45) and flushes (10 of 45). The event rate ranged from 0.05% (linear non-ionic agent gadodiamide) to 0.42% (linear ionic agent gadobenate dimeglumine). Interestingly, we also found different event rates between the three main indications for CMR ranging from 0.05% (risk stratification in suspected CAD) to 0.22% (viability in known CAD). CONCLUSIONS: The current data indicate that the results of the earlier safety data hold true in this much larger multi-national and multi-ethnical population. Thus, the "off-label" use of Gadolinium based contrast in cardiovascular MR should be regarded as safe concerning the frequency, manifestation and severity of acute events.

Adaptive Markov chain Monte Carlo and Bayesian filtering for state space models

This thesis is concerned with the state and parameter estimation in state space models. The estimation of states and parameters is an important task when mathematical modeling is applied to many different application areas such as the global positioning systems, target tracking, navigation, brain imaging, spread of infectious diseases, biological processes, telecommunications, audio signal processing, stochastic optimal control, machine learning, and physical systems. In Bayesian settings, the estimation of states or parameters amounts to computation of the posterior probability density function. Except for a very restricted number of models, it is impossible to compute this density function in a closed form. Hence, we need approximation methods. A state estimation problem involves estimating the states (latent variables) that are not directly observed in the output of the system. In this thesis, we use the Kalman filter, extended Kalman filter, Gauss–Hermite filters, and particle filters to estimate the states based on available measurements. Among these filters, particle filters are numerical methods for approximating the filtering distributions of non-linear non-Gaussian state space models via Monte Carlo. The performance of a particle filter heavily depends on the chosen importance distribution. For instance, inappropriate choice of the importance distribution can lead to the failure of convergence of the particle filter algorithm. In this thesis, we analyze the theoretical Lᵖ particle filter convergence with general importance distributions, where p ≥2 is an integer. A parameter estimation problem is considered with inferring the model parameters from measurements. For high-dimensional complex models, estimation of parameters can be done by Markov chain Monte Carlo (MCMC) methods. In its operation, the MCMC method requires the unnormalized posterior distribution of the parameters and a proposal distribution. In this thesis, we show how the posterior density function of the parameters of a state space model can be computed by filtering based methods, where the states are integrated out. This type of computation is then applied to estimate parameters of stochastic differential equations. Furthermore, we compute the partial derivatives of the log-posterior density function and use the hybrid Monte Carlo and scaled conjugate gradient methods to infer the parameters of stochastic differential equations. The computational efficiency of MCMC methods is highly depend on the chosen proposal distribution. A commonly used proposal distribution is Gaussian. In this kind of proposal, the covariance matrix must be well tuned. To tune it, adaptive MCMC methods can be used. In this thesis, we propose a new way of updating the covariance matrix using the variational Bayesian adaptive Kalman filter algorithm.

Probabilistic wind power forecasts with an inverse power curve transformation and censored regression

Forecasting wind power is an important part of a successful integration of wind power into the power grid. Forecasts with lead times longer than 6 h are generally made by using statistical methods to post-process forecasts from numerical weather prediction systems. Two major problems that complicate this approach are the non-linear relationship between wind speed and power production and the limited range of power production between zero and nominal power of the turbine. In practice, these problems are often tackled by using non-linear non-parametric regression models. However, such an approach ignores valuable and readily available information: the power curve of the turbine's manufacturer. Much of the non-linearity can be directly accounted for by transforming the observed power production into wind speed via the inverse power curve so that simpler linear regression models can be used. Furthermore, the fact that the transformed power production has a limited range can be taken care of by employing censored regression models. In this study, we evaluate quantile forecasts from a range of methods: (i) using parametric and non-parametric models, (ii) with and without the proposed inverse power curve transformation and (iii) with and without censoring. The results show that with our inverse (power-to-wind) transformation, simpler linear regression models with censoring perform equally or better than non-linear models with or without the frequently used wind-to-power transformation.

A Diagnostic Assessment Of Evolutionary Multiobjective Optimization For Water Resources Systems

This study contributes a rigorous diagnostic assessment of state-of-the-art multiobjective evolutionary algorithms (MOEAs) and highlights key advances that the water resources field can exploit to better discover the critical tradeoffs constraining our systems. This study provides the most comprehensive diagnostic assessment of MOEAs for water resources to date, exploiting more than 100,000 MOEA runs and trillions of design evaluations. The diagnostic assessment measures the effectiveness, efficiency, reliability, and controllability of ten benchmark MOEAs for a representative suite of water resources applications addressing rainfall-runoff calibration, long-term groundwater monitoring (LTM), and risk-based water supply portfolio planning. The suite of problems encompasses a range of challenging problem properties including (1) many-objective formulations with 4 or more objectives, (2) multi-modality (or false optima), (3) nonlinearity, (4) discreteness, (5) severe constraints, (6) stochastic objectives, and (7) non-separability (also called epistasis). The applications are representative of the dominant problem classes that have shaped the history of MOEAs in water resources and that will be dominant foci in the future. Recommendations are provided for which modern MOEAs should serve as tools and benchmarks in the future water resources literature.

The private memory of aggregate shocks

We study constrained efficient aggregate risk sharing and its consequence for the behavior of macro-aggregates in a dynamic Mirrlees’s (1971) setting. Privately observed idiosyncratic productivity shocks are assumed to be independent of i.i.d. publicly observed aggregate shocks. Yet, private allocations display memory with respect to past aggregate shocks, when idosyncratic shocks are also i.i.d.. Under a mild restriction on the nature of optimal allocations the result extends to more persistent idiosyncratic shocks, for all but the limit at which idiosyncratic risk disappears, and the model collapses to a pure heterogeneity repeated Mirrlees economy identical to Werning [2007]. When preferences are iso-elastic we show that an allocation is memoryless only if it displays a strong form of separability with respect to aggregate shocks. Separability characterizes the pure heterogeneity limit as well as the general case with log preferences. With less than full persistence and risk aversion different from unity both memory and non-separability characterize optimal allocations. Exploiting the fact that non-separability is associated with state-varying labor wedges, we apply a business cycle accounting procedure (e.g. Chari et al. [2007]) to the aggregate data generated by the model. We show that, whenever risk aversion is great than one our model produces efficient counter-cyclical labor wedges.

Bose-Einstein condensation dynamics from the numerical solution of the Gross-Pitaevskii equation

We study certain stationary and time-evolution problems of trapped Bose-Einstein condensates using the numerical solution of the Gross-Pitaevskii (GP) equation with both spherical and axial symmetries. We consider time-evolution problems initiated by suddenly changing the interatomic scattering length or harmonic trapping potential in a stationary condensate. These changes introduce oscillations in the condensate which are studied in detail. We use a time iterative split-step method for the solution of the time-dependent GP equation, where all nonlinear and linear non-derivative terms are treated separately from the time propagation with the kinetic energy terms. Even for an arbitrarily strong nonlinear term this leads to extremely accurate and stable results after millions of time iterations of the original equation.