pwc-archive/papers-with-abstracts huggingface dataset:
Predictability of price movements in deregulated electricity markets
Date: 2015-01-23 00:00:00

In this paper we investigate predictability of electricity prices in the
Canadian provinces of Alberta and Ontario, as well as in the US Mid-C market.
Using scale-dependent detrended fluctuation analysis, spectral analysis, and
the probability distribution analysis we show that the studied markets exhibit
strongly anti-persistent properties suggesting that their dynamics can be
predicted based on historic price records across the range of time scales from
one hour to one month. For both Canadian markets, the price movements reveal
three types of correlated behavior which can be used for forecasting. The
discovered scenarios remain the same on different time scales up to one month
as well as for on- and off- peak electricity data. These scenarios represent
sharp increases of prices and are not present in the Mid-C market due to its
lower volatility. We argue that extreme price movements in this market should
follow the same tendency as the more volatile Canadian markets. The estimated
values of the Pareto indices suggest that the prediction of these events can be
statistically stable. The results obtained provide new relevant information for
managing financial risks associated with the dynamics of electricity
derivatives over time frame exceeding one day.
A possible role for stochastic radiation events in the systematic disparity between molecular and fossil dates
Date: 2017-01-20 00:00:00

Major discrepancies have been noted for some time between fossil ages and
molecular divergence dates for a variety of taxa. Recently, systematic trends
within avian clades have been uncovered. The trends show that the disparity is
much larger for mitochondrial DNA than for nuclear DNA, also that it is larger
for crown fossil dates than stem fossil dates. It has been argued that this
pattern is largely inconsistent with incompleteness of the fossil record as the
principal driver of the disparity. A case is presented that given the expected
mutations from a fluctuating background of astrophysical radiation from such
sources as supernovae, the rate of molecular clocks is variable and should
increase back to a few Ma, before returning to the long-term average rate. This
is a possible explanation for the disparity. One test of this hypothesis is to
look for an acceleration of molecular clocks 2 to 2.5 Ma due to one or more
moderately nearby supernovae known to have happened at that time. Another is to
look for reduced disparity in benthic organisms of the deep ocean. In addition,
due to the importance of highly penetrating muon irradiation, the disparity
should be magnified for megafauna.
Long-range memory and multifractality in gold markets
Date: 2015-05-17 00:00:00
Tasks: Time Series, Time Series Analysis

Long-range correlation and fluctuation in the gold market time series of
world's two leading gold consuming countries, namely China and India, are
studied. For both the market series during the period 1985-2013 we observe a
long-range persistence of memory in the sequences of maxima (minima) of returns
in successive time windows of fixed length, but the series as a whole are found
to be uncorrelated. Multifractal analysis for these series as well as for the
sequences of maxima (minima) is carried out in terms of the multifractal
detrended fluctuation analysis (MF-DFA) method. We observe a weak multifractal
structure for the original series that is mainly originated from the fat-tailed
probability distribution function of the values, and the multifractal nature of
the original time series is enriched into their sequences of maximal (minimal)
returns. A quantitative measure of multifractality is provided by using a set
of "complexity parameters".
Performance Evaluation and Optimization of Math-Similarity Search
Authors: Zhang Qun, Youssef Abdou
Date: 2015-05-29 00:00:00
Tasks: Math

Similarity search in math is to find mathematical expressions that are
similar to a user's query. We conceptualized the similarity factors between
mathematical expressions, and proposed an approach to math similarity search
(MSS) by defining metrics based on those similarity factors [11]. Our
preliminary implementation indicated the advantage of MSS compared to
non-similarity based search. In order to more effectively and efficiently
search similar math expressions, MSS is further optimized. This paper focuses
on performance evaluation and optimization of MSS. Our results show that the
proposed optimization process significantly improved the performance of MSS
with respect to both relevance ranking and recall.
Normalizing Kernels in the Billera-Holmes-Vogtmann Treespace
Date: 2015-05-30 00:00:00
Tasks: Density Estimation

As costs of genome sequencing have dropped precipitously, development of
efficient bioinformatic methods to analyze genome structure and evolution have
become ever more urgent. For example, most published phylogenomic studies
involve either massive concatenation of sequences, or informal comparisons of
phylogenies inferred on a small subset of orthologous genes, neither of which
provides a comprehensive overview of evolution or systematic identification of
genes with unusual and interesting evolution (e.g. horizontal gene transfers,
gene duplication and subsequent neofunctionalization). We are interested in
identifying such "outlying" gene trees from the set of gene trees and
estimating the distribution of the tree over the "tree space".
  This paper describes an improvement to the kdetrees algorithm, an adaptation
of classical kernel density estimation to the metric space of phylogenetic
trees (Billera-Holmes-Vogtman treespace), whereby the kernel normalizing
constants, are estimated through the use of the novel holonomic gradient
methods. As the original kdetrees paper, we have applied kdetrees to a set of
Apicomplexa genes and it identified several unreliable sequence alignments
which had escaped previous detection, as well as a gene independently reported
as a possible case of horizontal gene transfer.
The Theory of a Heliospheric Economy
Date: 2017-07-11 00:00:00

Despite more than 50 years of human space exploration, no paper in the field
of economics has been published regarding the theory of a space-based economy.
The aim of this paper is to develop quantitative techniques to estimate
conditions of the human heliospheric expansion. An empirical analysis of
current space commercialization and reasoning from first economic principles
yields an evolutionary prisoner's dilemma game on a dynamically scaled
heterogeneous Newman-Watts Small World Network to generate a new space. The
analysis allows for scalar measurements of behavior, market structures, wealth,
and technological prowess, with time measured relative to the system. Four
major phases of heliospheric expansion become evident, in which the dynamic of
the economic environment drives further exploration. Further research could
combine empirical estimations of parameters with computer simulations to prove
results to inform long-term business plans or public policy to further
incentivize human heliospheric domination.
Optimal Investment to Minimize the Probability of Drawdown
Date: 2016-02-15 00:00:00

We determine the optimal investment strategy in a Black-Scholes financial
market to minimize the so-called {\it probability of drawdown}, namely, the
probability that the value of an investment portfolio reaches some fixed
proportion of its maximum value to date. We assume that the portfolio is
subject to a payout that is a deterministic function of its value, as might be
the case for an endowment fund paying at a specified rate, for example, at a
constant rate or at a rate that is proportional to the fund's value.
Market Completion with Derivative Securities
Date: 2015-05-31 00:00:00

Let $S^F$ be a $\mathbb{P}$-martingale representing the price of a primitive
asset in an incomplete market framework. We present easily verifiable
conditions on model coefficients which guarantee the completeness of the market
in which in addition to the primitive asset one may also trade a derivative
contract $S^B$. Both $S^F$ and $S^B$ are defined in terms of the solution $X$
to a $2$-dimensional stochastic differential equation: $S^F_t = f(X_t)$ and
$S^B_t:=\mathbb{E}[g(X_1) | \mathcal{F}_t]$. From a purely mathematical point
of view we prove that every local martingale under $\mathbb{P}$ can be
represented as a stochastic integral with respect to the
$\mathbb{P}$-martingale $S := (S^F\ S^B)$. Notably, in contrast to recent
results on the endogenous completeness of equilibria markets, our conditions
allow the Jacobian matrix of $(f,g)$ to be singular everywhere on
$\mathbf{R}^2$. Hence they cover, as a special case, the prominent example of a
stochastic volatility model being completed with a European call (or put)
option.
The gradual evolution of buyer--seller networks and their role in aggregate fluctuations
Date: 2016-08-24 00:00:00

Buyer--seller relationships among firms can be regarded as a longitudinal
network in which the connectivity pattern evolves as each firm receives
productivity shocks. Based on a data set describing the evolution of
buyer--seller links among 55,608 firms over a decade and structural equation
modeling, we find some evidence that interfirm networks evolve reflecting a
firm's local decisions to mitigate adverse effects from neighbor firms through
interfirm linkage, while enjoying positive effects from them. As a result, link
renewal tends to have a positive impact on the growth rates of firms. We also
investigate the role of networks in aggregate fluctuations.
Accurate sensing of multiple ligands with a single receptor
Date: 2015-05-31 00:00:00

Cells use surface receptors to estimate the concentration of external
ligands. Limits on the accuracy of such estimations have been well studied for
pairs of ligand and receptor species. However, the environment typically
contains many ligands, which can bind to the same receptors with different
affinities, resulting in cross-talk. In traditional rate models, such
cross-talk prevents accurate inference of individual ligand concentrations. In
contrast, here we show that knowing the precise timing sequence of stochastic
binding and unbinding events allows one receptor to provide information about
multiple ligands simultaneously and with a high accuracy. We argue that such
high-accuracy estimation of multiple concentrations can be realized by the
familiar kinetic proofreading mechanism.
Frequency landscape of tip-growing plants
Date: 2015-07-28 00:00:00

It has been interesting that nearly all of the ion activities that have been
analysed thus far have exhibited oscillations that are tightly coupled to
growth. Here, we present discrete Fourier transform (DFT) spectra with a finite
sampling of tip-growing cells and organs that were obtained from voltage
measurements of the elongating coleoptiles of maize in situ. The electromotive
force (EMF) oscillations (~ 0.1 {\mu}V) were measured in a simple but highly
sensitive RL circuit, in which the solenoid was initially placed at the tip of
the specimen and then was moved thus changing its position in relation to
growth (EMF can be measured first at the tip, then at the sub-apical part and
finally at the shank). The influx- and efflux-induced oscillations of
Ca$^{2+}$, along with H$^{+}$, K$^{+}$ and Cl$^{-}$ were densely sampled
(preserving the Nyquist theorem in order to 'grasp the structure' of the
pulse), the logarithmic amplitude of pulse spectrum was calculated, and the
detected frequencies, which displayed a periodic sequence of pulses, were
compared with the literature data. A band of life vital individual pulses was
obtained in a single run of the experiment, which not only allowed the
fundamental frequencies (and intensities of the processes) to be determined but
also permitted the phase relations of the various transport processes in the
plasma membrane and tonoplast to be established. A discrete frequency spectrum
(like the hydrogen spectrum in quantum physics) was achieved for a growing
plant for the first time, while all of the metabolic and enzymatic functions of
the life cell cycle were preserved using this totally non-invasive treatment.
New exact Taylor's expansions and simple solutions to PDEs
Date: 2015-11-16 00:00:00

We provide new exact Taylor's series with fixed coefficients and without the
remainder. We demonstrate the usefulness of this contribution by using it to
obtain very simple solutions to (non-linear) PDEs. We also apply the method to
the portfolio model.
Quantum effects in linguistic endeavors
Date: 2015-05-21 00:00:00

Classifying the information content of neural spike trains in a linguistic
endeavor, an uncertainty relation emerges between the bit size of a word and
its duration. This uncertainty is associated with the task of synchronizing the
spike trains of different duration representing different words. The
uncertainty involves peculiar quantum features, so that word comparison amounts
to measurement-based-quantum computation. Such a quantum behavior explains the
onset and decay of the memory window connecting successive pieces of a
linguistic text. The behavior here discussed is applicable to other reported
evidences of quantum effects in human linguistic processes, so far lacking a
plausible framework, since either no efforts to assign an appropriate quantum
constant had been associated or speculating on microscopic processes dependent
on Planck's constant resulted in unrealistic decoherence times.
Invariance, existence and uniqueness of solutions of nonlinear valuation PDEs and FBSDEs inclusive of credit risk, collateral and funding costs
Date: 2015-11-27 00:00:00

We study conditions for existence, uniqueness and invariance of the
comprehensive nonlinear valuation equations first introduced in Pallavicini et
al (2011). These equations take the form of semilinear PDEs and
Forward-Backward Stochastic Differential Equations (FBSDEs). After summarizing
the cash flows definitions allowing us to extend valuation to credit risk and
default closeout, including collateral margining with possible
re-hypothecation, and treasury funding costs, we show how such cash flows, when
present-valued in an arbitrage free setting, lead to semi-linear PDEs or more
generally to FBSDEs. We provide conditions for existence and uniqueness of such
solutions in a viscosity and classical sense, discussing the role of the
hedging strategy. We show an invariance theorem stating that even though we
start from a risk-neutral valuation approach based on a locally risk-free bank
account growing at a risk-free rate, our final valuation equations do not
depend on the risk free rate. Indeed, our final semilinear PDE or FBSDEs and
their classical or viscosity solutions depend only on contractual, market or
treasury rates and we do not need to proxy the risk free rate with a real
market rate, since it acts as an instrumental variable. The equations
derivations, their numerical solutions, the related XVA valuation adjustments
with their overlap, and the invariance result had been analyzed numerically and
extended to central clearing and multiple discount curves in a number of
previous works, including Pallavicini et al (2011), Pallavicini et al (2012),
Brigo et al (2013), Brigo and Pallavicini (2014), and Brigo et al (2014).
Financial Contagion and Asset Liquidation Strategies
Date: 2016-11-29 00:00:00

This paper provides a framework for modeling the financial system with
multiple illiquid assets during a crisis. This work generalizes the paper by
Amini, Filipovic and Minca (2016) by allowing for differing liquidation
strategies. The main result is a proof of sufficient conditions for the
existence of an equilibrium liquidation strategy with corresponding unique
clearing payments and liquidation prices. An algorithm for computing the
maximal clearing payments and prices is provided.
Stochastic dynamics and logistic population growth
Date: 2015-06-18 00:00:00

The Verhulst model is probably the best known macroscopic rate equation in
population ecology. It depends on two parameters, the intrinsic growth rate and
the carrying capacity. These parameters can be estimated for different
populations and are related to the reproductive fitness and the competition for
limited resources, respectively. We investigate analytically and numerically
the simplest possible microscopic scenarios that give rise to the logistic
equation in the deterministic mean-field limit. We provide a definition of the
two parameters of the Verhulst equation in terms of microscopic parameters. In
addition, we derive the conditions for extinction or persistence of the
population by employing either the "momentum-space" spectral theory or the
"real-space" Wentzel-Kramers-Brillouin (WKB) approximation to determine the
probability distribution function and the mean time to extinction of the
population. Our analytical results agree well with numerical simulations.
Socially Driven News Recommendation
Authors: Moniz Nuno, Torgo Luís, Eirinaki Magdalini
Date: 2016-01-29 00:00:00
Tasks: News Recommendation, Recommendation Systems

The participatory Web has enabled the ubiquitous and pervasive access of
information, accompanied by an increase of speed and reach in information
sharing. Data dissemination services such as news aggregators are expected to
provide up-to-date, real-time information to the end users. News aggregators
are in essence recommendation systems that filter and rank news stories in
order to select the few that will appear on the users front screen at any time.
One of the main challenges in such systems is to address the recency and
latency problems, that is, to identify as soon as possible how important a news
story is. In this work we propose an integrated framework that aims at
predicting the importance of news items upon their publication with a focus on
recent and highly popular news, employing resampling strategies, and at
translating the result into concrete news rankings. We perform an extensive
experimental evaluation using real-life datasets of the proposed framework as
both a stand-alone system and when applied to news recommendations from Google
News. Additionally, we propose and evaluate a combinatorial solution to the
augmentation of official media recommendations with social information. Results
show that the proposed approach complements and enhances the news rankings
generated by state-of-the-art systems.
Community-level cohesion without cooperation
Date: 2016-03-10 00:00:00

Recent work draws attention to community-community encounters ("coalescence")
as likely an important factor shaping natural ecosystems. This work builds on
MacArthur's classic model of competitive coexistence to investigate such
community-level competition in a minimal theoretical setting. It is shown that
the ability of a species to survive a coalescence event is best predicted by a
community-level "fitness" of its native community rather than the intrinsic
performance of the species itself. The model presented here allows formalizing
a macroscopic perspective whereby a community harboring organisms at varying
abundances becomes equivalent to a single organism expressing genes at
different levels. While most natural communities do not satisfy the strict
criteria of multicellularity developed by multi-level selection theory, the
effective cohesion described here is a generic consequence of division of
labor, requires no cooperative interactions, and can be expected to be
widespread in microbial ecosystems.
No-Arbitrage Prices of Cash Flows and Forward Contracts as Choquet Representations
Date: 2015-06-27 00:00:00

In a market of deterministic cash flows, given as an additive, symmetric
relation of exchangeability on the finite signed Borel measures on the
non-negative real time axis, it is shown that the only arbitrage-free price
functional that fulfills some additional mild requirements is the integral of
the unit zero-coupon bond prices with respect to the payment measures. For
probability measures, this is a Choquet representation, where the Dirac
measures, as unit zero-coupon bonds, are the extreme points. Dropping one of
the requirements, the Lebesgue decomposition is used to construct
counterexamples, where the Choquet price formula does not hold despite of an
arbitrage-free market model. The concept is then extended to deterministic
streams of assets and currencies in general, yielding a valuation principle for
forward markets. Under mild assumptions, it is shown that a foreign cash flow's
worth in local currency is identical to the value of the cash flow in local
currency for which the Radon-Nikodym derivative with respect to the foreign
cash flow is the forward FX rate.
Life history evolution and the origin of multicellularity: the case of different types of cells
Date: 2015-01-24 00:00:00

The problem of unicellular-multicellular transition is one of the main issues
that is discussing in evolutionary biology. In [1] the fitness of a colony of
cells is considered in terms of its two basic components, viability and
fecundity. Intrinsic trade-off function of each cell defines a type of cell. We
elaborate models providing in [1]. Assuming that all intrinsic trade-off
functions are linear, we construct a model with different cell types and show
that the differentiation of these types tends to full specialization. In
addition, we attempt to consider the fact that environmental factors influence
on the fitness of the colony. Thus, we introduce an energy restriction to the
model and show that in optimum we get situations in which there exists a set of
states, each of them allowing colony to achieve the same maximum level of
fitness. In some states arbitrary chosen cell may be specialized, in some -
unspecialized, but fecundity and viability of each cell belong to limited
ranges (which are unique for each cell). It is worth pointing out that the
models from [1] are not robust. We try to overcome this disadvantage.
Elucidation of molecular targets of bioactive principles of black cumin relevant to its anti-tumour functionality - An Insilico target fishing approach
Date: 2015-02-20 00:00:00
Tasks: Molecular Docking

Black cumin (Nigella sativa) is a spice having medicinal properties with
pungent and bitter odour. It is used since thousands of years to treat various
ailments, including cancer mainly in South Asia and Middle Eastern regions.
Substantial evidence in multiple research studies emphasizes about the
therapeutic importance of bioactive principles of N. sativa in cancer
bioassays; however, the exact mechanism of their anti-tumour action is still to
be fully comprehended. The current study makes an attempt in this direction by
exploiting the advancements in the Insilico reverse screening technology. In
this study, three different Insilico Reverse Screening approaches have been
employed for identifying the putative molecular targets of the bioactive
principles in Black cumin (thymoquinone, alpha-hederin, dithymoquinone and
thymohydroquinone) relevant to its anti-tumour functionality. The identified
set of putative targets is further compared with the existing set of
experimentally validated targets, so as to estimate the performance of insilico
platforms. Subsequently, molecular docking simulations studies were performed
to elucidate the molecular interactions between the bioactive compounds & their
respective identified targets. The molecular interactions of one such target
identified i.e. VEGF2 along with thymoquinone depicted one H-bond formed at the
catalytic site. The molecular targets identified in this study need further
confirmatory tests on cancer bioassays, in order to justify the research
findings from Insilico platforms. This study has brought to light the
effectiveness of usage of Insilico Reverse Screening protocols to characterise
the un-identified target-ome of poly pharmacological bioactive agents in
spices.