nils-herrmann/clean_scirepeval huggingface dataset:
High Frequency Market Making

Since they were authorized by the U.S. Security and Exchange Commission in 1998, electronic exchanges have boomed, and by 2010 high frequency trading accounted for over 70% of equity trades in the US. Such markets are thought to increase liquidity because of the presence of market makers, who are willing to trade as counterparties at any time, in exchange for a fee, the bid-ask spread. In this paper, we propose an equilibrium model showing how such market makers provide liquidity. The model relies on a codebook for client trades, the implied alpha. After solving the individual clients optimization problems and identifying their implied alphas, we frame the market maker stochastic optimization problem as a stochastic control problem with an infinite dimensional control variable. Assuming either identical time horizons for all the clients, or a stochastic partial differential equation model for their beliefs, we solve the market maker problem and derive tractable formulas for the optimal strategy and the resulting limit-order book dynamics.
Determination the Parameters of Markowitz Portfolio Optimization Model

The main purpose of this study is the determination of the optimal length of the historical data for the estimation of statistical parameters in Markowitz Portfolio Optimization. We present a trading simulation using Markowitz method, for a portfolio consisting of foreign currency exchange rates and selected assets from the Istanbul Stock Exchange ISE 30, over the period 2001-2009. In the simulation, the expected returns and the covariance matrix are computed from historical data observed for past n days and the target returns are chosen as multiples of the return of the market index. The trading strategy is to buy a stock if the simulation resulted in a feasible solution and sell the stock after exactly m days, independently from the market conditions. The actual returns are computed for n and m being equal to 21, 42, 63, 84 and 105 days and we have seen that the best return is obtained when the observation period is 2 or 3 times the investment period.
Stability Analysis of Financial Contagion Due to Overlapping Portfolios

Common asset holdings are widely believed to have been the primary vector of contagion in the recent financial crisis. We develop a network approach to the amplification of financial contagion due to the combination of overlapping portfolios and leverage, and we show how it can be understood in terms of a generalized branching process. This can be used to compute the stability for any particular configuration of portfolios. By studying a stylized model we estimate the circumstances under which systemic instabilities are likely to occur as a function of parameters such as leverage, market crowding, diversification, and market impact. Although diversification may be good for individual institutions, it can create dangerous systemic effects, and as a result financial contagion gets worse with too much diversification. There is a critical threshold for leverage; below it financial networks are always stable, and above it the unstable region grows as leverage increases. Note that our model assumes passive portfolio management during a crisis; however, we show that dynamic deleveraging during a crisis can amplify instabilities. The financial system exhibits “robust yet fragile” behavior, with regions of the parameter space where contagion is rare but catastrophic whenever it occurs. Our model and methods of analysis can be calibrated to real data and provide simple yet powerful tools for macroprudential stress testing.
Solvency assessment within the ORSA framework: issues and quantitative methodologies

The implementation of the Own Risk and Solvency Assessment is a critical issue raised by Pillar II of Solvency II framework. In particular the Overall Solvency Needs calculation left the Insurance companies to define an optimal entity-specific solvency constraint on a multi-year time horizon. In a life insurance society framework, the intuitive approaches to answer this problem can sometimes lead to new implementation issues linked to the highly stochastic nature of the methodologies used to project a company Net Asset Value over several years. One alternative approach can be the use of polynomial proxies to replicate the outcomes of this variable throughout the time horizon. Polynomial functions are already considered as efficient replication methodologies for the Net Asset Value over 1 year. The Curve Fitting and Least Squares Monte-Carlo procedures are the best-known examples of such procedures. In this article we introduce a possibility of adaptation for these methodologies to be used on a multi-year time horizon, in order to assess the Overall Solvency Needs.
Multistable binary decision making on networks

We propose a simple model for a binary decision making process on a graph, motivated by modeling social decision making with cooperative individuals. The model is similar to a random field Ising model or fiber bundle model, but with key differences on heterogeneous networks. For many types of disorder and interactions between the nodes, we predict discontinuous phase transitions with mean field theory which are largely independent of network structure. We show how these phase transitions can also be understood by studying microscopic avalanches, and describe how network structure enhances fluctuations in the distribution of avalanches. We suggest theoretically the existence of a "glassy" spectrum of equilibria associated with a typical phase, even on infinite graphs, so long as the first moment of the degree distribution is finite. This behavior implies that the model is robust against noise below a certain scale, and also that phase transitions can switch from discontinuous to continuous on networks with too few edges. Numerical simulations suggest that our theory is accurate.
GRAVITATIONAL WAVE EMISSION AND SPIN-DOWN OF YOUNG PULSARS

The rotation frequencies of young pulsars are systematically below their theoretical Kepler limit. r-modes have been suggested as a possible explanation for this observation. With the help of semi-analytic expressions that make it possible to assess the uncertainties of the r-mode scenario due to the impact of uncertainties in underlying microphysics, we perform a quantitative analysis of the spin-down and the emitted gravitational waves of young pulsars. We find that the frequency to which r-modes spin-down a young neutron star (NS) is surprisingly insensitive to both the microscopic details and the saturation amplitude. Comparing our result to astrophysical data, we show that for a range of sufficiently large saturation amplitudes r-modes provide a viable spin-down scenario and that all observed young pulsars are very likely already outside the r-mode instability region. Therefore, the most promising sources for gravitational wave detection are unobserved NSs associated with recent supernovae, and we find that advanced LIGO should be able to see several of them. Our analysis shows that despite the coupling of the spin-down and thermal evolution, a power-law spin-down with an effective braking index nrm ⩽ 7 is realized. Because of this, the gravitational wave strain amplitude is completely independent of both the r-mode saturation amplitude and the microphysics and depends on the saturation mechanism only within some tens of percent. However, the gravitational wave frequency depends on the amplitude, and we provide the required expected timing parameter ranges to look for promising sources in future searches.
Optimal Execution and Block Trade Pricing: A General Framework

In this article, we develop a general framework to study optimal execution and to price block trades. We prove existence of optimal liquidation strategies and provide regularity results for optimal strategies under very general hypotheses. We exhibit a Hamiltonian characterization for the optimal strategy that can be used for numerical approximation. We also focus on the important topic of block trade pricing and propose a methodology to give a price to financial (il)liquidity. In particular, we provide a closed-form formula for the price of a block trade when there is no time constraint to liquidate.
The hourglass and the early conservation models - co-existing evolutionary patterns in vertebrate development

Developmental constraints have been postulated to limit the space of feasible phenotypes and thus shape animal evolution. These constraints have been suggested to be the strongest during either early or mid-embryogenesis, which corresponds to the early conservation model or the hourglass model, respectively. Conflicting results have been reported, but in recent studies of animal transcriptomes the hourglass model has been favored. Studies usually report descriptive statistics calculated for all genes over all developmental time points. This introduces dependencies between the sets of compared genes, and may lead to biased results. Here we overcome this problem using an alternative modular analysis. We used the Iterative Signature Algorithm to identify distinct modules of genes co-expressed specifically in consecutive stages of zebrafish development. We then performed a detailed comparison of several gene properties between modules, allowing for a less biased and more powerful analysis. Notably, our analysis corroborated the hourglass pattern only at the regulatory level, with sequences of regulatory regions being most conserved for genes expressed in mid-development, but not at the level of gene sequence, age or expression, in contrast to some previous studies. The early conservation model was supported with gene duplication and birth that were the most rare for genes expressed in early development. Finally, for all gene properties we observed the least conservation for genes expressed in late development or adult, consistent with both models. Overall, with the modular approach, we showed that different levels of molecular evolution follow different patterns of developmental constraints. Thus both models are valid, but with respect to different genomic features.
A measure of similarity between scientific journals and of diversity of a list of publications

The aim of this note is to propose a definition of the scientifi c diversity and corollarly, a measure of the "interdisciplinarity" of c ollaborations. With respect to previous studies, the proposed approach consists of 2 steps : first, the definition of similarity between journals and second, these similaritie s are used to characterize the homogeneity (or, on the contrary the diversity) of a publication list (that can be for one individual or a team).
Extended object reconstruction in adaptive-optics imaging: the multiresolution approach

We propose the application of multiresolution transforms, such as wavelets (WT) and curvelets (CT), to the reconstruction of images of extended objects that have been acquired with adaptive optics (AO) systems. Such multichannel approaches normally make use of probabilistic tools in order to distinguish significant structures from noise and reconstruction residuals. Furthermore, we aim to check the historical assumption that image-reconstruction algorithms using static PSFs are not suitable for AO imaging. We convolve an image of Saturn taken with the Hubble Space Telescope (HST) with AO PSFs from the 5-m Hale telescope at the Palomar Observatory and add both shot and readout noise. Subsequently, we apply different approaches to the blurred and noisy data in order to recover the original object. The approaches include multi-frame blind deconvolution (with the algorithm IDAC), myopic deconvolution with regularization (with MISTRAL) and wavelets- or curvelets-based static PSF deconvolution (AWMLE and ACMLE algorithms). We used the mean squared error (MSE) and the structural similarity index (SSIM) to compare the results. We discuss the strengths and weaknesses of the two metrics. We found that CT produces better results than WT, as measured in terms of MSE and SSIM. Multichannel deconvolution with a static PSF produces results which are generally better than the results obtained with the myopic/blind approaches (for the images we tested) thus showing that the ability of a method to suppress the noise and to track the underlying iterative process is just as critical as the capability of the myopic/blind approaches to update the PSF.
FOMALHAUT b: INDEPENDENT ANALYSIS OF THE HUBBLE SPACE TELESCOPE PUBLIC ARCHIVE DATA

The nature and even the existence of a putative planet-mass companion (“Fomalhaut b”) to Fomalhaut has been debated since 2008. In the present paper, we reanalyze the multi-epoch ACS/STIS/WFC3 Hubble Space Telescope (HST) optical/near-infrared images on which the discovery and some other claims were based. We confirm that the HST images do reveal an object in orbit around Fomalhaut, but the detailed results from our analysis differ in some ways from previous discussions. In particular, we do not confirm flux variability over a two-year interval at 0.6 μm wavelength and we detect Fomalhaut b for the first time at the short wavelength of 0.43 μm. We find that the HST image of Fomalhaut b at 0.8 μm may be extended beyond the point-spread function. We cannot determine from our astrometry if Fomalhaut b will cross or not the dust ring. The optical through mid-infrared spectral energy distribution (SED) of Fomalhaut b cannot be explained as due to direct or scattered radiation from a massive planet. We consider two models to explain the SED: (1) a large circumplanetary disk around an unseen planet and (2) the aftermath of a collision during the past 50–150 yr of two Kuiper-Belt-like objects of radii ∼50 km.
Tidal Tails of Interacting Galaxies

This paper has been withdrawn by the author. A computer simulation of two galaxies, passing in parabolic orbits, was made to show their interaction and the tidal patterns formed. The galaxies were modelled as a point masses surrounded by 5 densely packed, concentric rings of test masses in circular motion, which represented the outer disk of the galaxy. Several features were noticeable in the simulations, including: a bridge forming between the two galaxies during the interaction, mass being lost to the perturbing galaxy and universe, and an arching counterarm emanating away from the bridge. The results suggest the process was primarily kinematic. Quantitative analysis was made on the counterarm length dependence on galaxy separation and mass ratio. In both cases linear relationships were found with arm length increasing for smaller separations and for larger perturbing masses. The effects were greatly reduced in a retrograde interaction. The images were compared to astrophysical observations and qualitative features matched.
Managing sparsity, time, and quality of inference in topic models

Inference is an integral part of probabilistic topic models, but is often non-trivial to derive an efficient algorithm for a specific model. It is even much more challenging when we want to find a fast inference algorithm which always yields sparse latent representations of documents. In this article, we introduce a simple framework for inference in probabilistic topic models, denoted by FW. This framework is general and flexible enough to be easily adapted to mixture models. It has a linear convergence rate, offers an easy way to incorporate prior knowledge, and provides us an easy way to directly trade off sparsity against quality and time. We demonstrate the goodness and flexibility of FW over existing inference methods by a number of tasks. Finally, we show how inference in topic models with nonconjugate priors can be done efficiently.
Large-Scale Sparse Principal Component Analysis with Application to Text Data

Sparse PCA provides a linear combination of small number of features that maximizes variance across data. Although Sparse PCA has apparent advantages compared to PCA, such as better interpretability, it is generally thought to be computationally much more expensive. In this paper, we demonstrate the surprising fact that sparse PCA can be easier than PCA in practice, and that it can be reliably applied to very large data sets. This comes from a rigorous feature elimination pre-processing result, coupled with the favorable fact that features in real-life data typically have exponentially decreasing variances, which allows for many features to be eliminated. We introduce a fast block coordinate ascent algorithm with much better computational complexity than the existing first-order ones. We provide experimental results obtained on text corpora involving millions of documents and hundreds of thousands of features. These results illustrate how Sparse PCA can help organize a large corpus of text data in a user-interpretable way, providing an attractive alternative approach to topic models.
Polaron formation: Ehrenfest dynamics vs. exact results.

We use a one-dimensional tight binding model with an impurity site characterized by electron-vibration coupling, to describe electron transfer and localization at zero temperature, aiming to examine the process of polaron formation in this system. In particular we focus on comparing a semiclassical approach that describes nuclear motion in this many vibronic-states system on the Ehrenfest dynamics level to a numerically exact fully quantum calculation based on the Bonca-Trugman method . In both approaches, thermal relaxation in the nuclear subspace is implemented in equivalent approximate ways: In the Ehrenfest calculation the uncoupled (to the electronic subsystem) motion of the classical (harmonic) oscillator is simply damped as would be implied by coupling to a Markovian zero temperature bath. In the quantum calculation, thermal relaxation is implemented by augmenting the Liouville equation for the oscillator density matrix with kinetic terms that account for the same relaxation. In both cases we calculate the probability to trap the electron by forming a polaron and the probability that it escapes to infinity. Comparing these calculations, we find that while both result in similar long time yields for these processes, the Ehrenfest-dynamics based calculation fails to account for the correct time scale for the polaron formation. This failure results, as usual, from the fact that at the early stage of polaron formation the classical nuclear dynamics takes place on an unphysical average potential surface that reflects the distributed electronic population in the system, while the quantum calculation accounts fully for correlations between the electronic and vibrational subsystems.
Blackbody-radiation shift in the Sr optical atomic clock

We evaluated the static and dynamic polarizabilities of the $5{s}^{2}\phantom{\rule{0.16em}{0ex}}{}^{1}{S}_{0}$ and $5s5p\phantom{\rule{0.16em}{0ex}}{}^{3}{P}_{0}^{o}$ states of Sr using the high-precision relativistic configuration interaction combined with the all-order method. Our calculation explains the discrepancy between the recent experimental $5{s}^{2}\phantom{\rule{0.16em}{0ex}}{}^{1}{S}_{0}\ensuremath{-}5s5p\phantom{\rule{0.16em}{0ex}}{}^{3}{P}_{0}^{o}$ dc Stark shift measurement $\ensuremath{\Delta}\ensuremath{\alpha}=247.379(7)$ [Middelmann et al.,  263004 (2012)] and the earlier theoretical result of 261(4) a.u. [Porsev and Derevianko, ) (2006)]. Our present value of 247.5 a.u. is in excellent agreement with the experimental result. We also evaluated the dynamic correction to the BBR shift with 1$%$ uncertainty; $\ensuremath{-}$0.1492(16) Hz. The dynamic correction to the BBR shift is unusually large in the case of Sr (7$%$) and it enters significantly into the uncertainty budget of the Sr optical lattice clock. We suggest future experiments that could further reduce the present uncertainties.
Objects orbiting the Earth in deep resonance

The increasing number of objects orbiting the Earth justifies the great attention and interest in the observation, spacecraft protection and collision avoidance. These studies involve different disturbances and resonances in the orbital motions of these objects distributed by the distinct altitudes. In this work, the TLE (Two-Line Elements) of the NORAD are studied observing the resonant period of the objects orbiting the Earth and the main resonance in the LEO region. The time behavior of the semi-major axis, eccentricity and inclination of some space debris are studied. Possible irregular motions are observed by the frequency analysis and by the presence of different resonant angles describing the orbital dynamics of these objects.
Tensor decompositions for learning latent variable models

This work considers a computationally and statistically efficient parameter estimation method for a wide class of latent variable models--including Gaussian mixture models, hidden Markov models, and latent Dirichlet allocation--which exploits a certain tensor structure in their low-order observable moments (typically, of second- and third-order). Specifically, parameter estimation is reduced to the problem of extracting a certain (orthogonal) decomposition of a symmetric tensor derived from the moments; this decomposition can be viewed as a natural generalization of the singular value decomposition for matrices. Although tensor decompositions are generally intractable to compute, the decomposition of these specially structured tensors can be efficiently obtained by a variety of approaches, including power iterations and maximization approaches (similar to the case of matrices). A detailed analysis of a robust tensor power method is provided, establishing an analogue of Wedin's perturbation theorem for the singular vectors of matrices. This implies a robust and computationally tractable estimation approach for several popular latent variable models.
Using haplotype differentiation among hierarchically structured populations for the detection of selection signatures

The detection of molecular signatures of selection is one of the major concerns of modern population genetics. A widely used strategy in this context is to compare samples from several populations, and to look for genomic regions with outstanding genetic differentiation between these populations. Genetic differentiation is generally based on allele frequency differences between populations, which are measured by FST or related statistics. Here we introduce a new statistic, denoted hapFLK, which focuses instead on the differences of haplotype frequencies between populations. In contrast to most existing statistics, hapFLK accounts for the hierarchical structure of the sampled populations. Using computer simulations, we show that each of these two features the use of haplotype information and of the hierarchical structure of populations significantly improves the detection power of selected loci, and that combining them in the hapFLK statistic provides even greater power. We also show that hapFLK is robust with respect to bottlenecks and migration and improves over existing approaches in many situations. Finally, we apply hapFLK to a set of six sheep breeds from Northern Europe, and identify seven regions under selection, which include already reported regions but also several new ones. We propose a method to help identifying the population(s) under selection in a detected region, which reveals that in many of these regions selection most likely occurred in more than one population. Furthermore, several of the detected regions correspond to incomplete sweeps, where the favorable haplotype is only at intermediate frequency in the population(s) under selection.
Magnet traveling through a conducting pipe: A variation on the analytical approach

We present an analytical study of magnetic damping. In particular, we investigate the dynamics of a cylindrical neodymium magnet as it moves through a conducting tube. Owing to the very high degree of uniformity of the magnetization for neodymium magnets, we are able to provide completely analytical results for the electromotive force generated in the pipe and the consequent retarding force. Our analytical expressions are shown to have excellent agreement with experimental observations.