pwc-archive/papers-with-abstracts huggingface dataset:
Short-time asymptotics for the implied volatility skew under a stochastic volatility model with L\'evy jumps
Date: 2015-12-13 00:00:00
Tasks: Model Selection

The implied volatility skew has received relatively little attention in the
literature on short-term asymptotics for financial models with jumps, despite
its importance in model selection and calibration. We rectify this by providing
high-order asymptotic expansions for the at-the-money implied volatility skew,
under a rich class of stochastic volatility models with independent stable-like
jumps of infinite variation. The case of a pure-jump stable-like L\'evy model
is also considered under the minimal possible conditions for the resulting
expansion to be well defined. Unlike recent results for "near-the-money" option
prices and implied volatility, the results herein aid in understanding how the
implied volatility smile near expiry is affected by important features of the
continuous component, such as the leverage and vol-of-vol parameters. As
intermediary results we obtain high-order expansions for at-the-money digital
call option prices, which furthermore allow us to infer analogous results for
the delta of at-the-money options. Simulation results indicate that our
asymptotic expansions give good fits for options with maturities up to one
month, underpinning their relevance in practical applications, and an analysis
of the implied volatility skew in recent S&P500 options data shows it to be
consistent with the infinite variation jump component of our models.
Heterogeneity of cells may explain allometric scaling of metabolic rate
Date: 2015-02-17 00:00:00

The origin of allometric scaling of metabolic rate is a long-standing
question in biology. Several models have been proposed for explaining the
origin; however, they have advantages and disadvantages. In particular,
previous models only demonstrate either two important observations for the
allometric scaling: the variability of scaling exponents and predominance of
3/4-power law. Thus, these models have a dispute over their validity. In this
study, we propose a simple geometry model, and show that a hypothesis that
total surface area of cells determines metabolic rate can reproduce these two
observations by combining two concepts: the impact of cell sizes on metabolic
rate and fractal-like (hierarchical) organization. The proposed model both
theoretically and numerically demonstrates the approximately 3/4-power law
although several different biological strategies are considered. The model
validity is confirmed using empirical data. Furthermore, the model suggests the
importance of heterogeneity of cell size for the emergence of the allometric
scaling. The proposed model provides intuitive and unique insights into the
origin of allometric scaling laws in biology, despite several limitations of
the model.
The Modeling and Quantification of Rhythmic to Non-rhythmic Phenomenon in Electrocardiography during Anesthesia
Date: 2015-02-10 00:00:00
Tasks: Descriptive

Variations of instantaneous heart rate appears regularly oscillatory in
deeper levels of anesthesia and less regular in lighter levels of anesthesia.
It is impossible to observe this "rhythmic-to-non-rhythmic" phenomenon from raw
electrocardiography waveform in current standard anesthesia monitors. To
explore the possible clinical value, I proposed the adaptive harmonic model,
which fits the descriptive property in physiology, and provides adequate
mathematical conditions for the quantification. Based on the adaptive harmonic
model, multitaper Synchrosqueezing transform was used to provide time-varying
power spectrum, which facilitates to compute the quantitative index:
"Non-rhythmic-to-Rhythmic Ratio" index (NRR index). I then used a clinical
database to analyze the behavior of NRR index and compare it with other
standard indices of anesthetic depth. The positive statistical results suggest
that NRR index provides addition clinical information regarding motor reaction,
which aligns with current standard tools. Furthermore, the ability to indicates
the noxious stimulation is an additional finding. Lastly, I have proposed an
real-time interpolation scheme to contribute my study further as a clinical
application.
Comparing process-based and constraint-based approaches for modeling macroecological patterns
Date: 2015-11-13 00:00:00

Ecological patterns arise from the interplay of many different processes, and
yet the emergence of consistent phenomena across a diverse range of ecological
systems suggests that many patterns may in part be determined by statistical or
numerical constraints. Differentiating the extent to which patterns in a given
system are determined statistically, and where it requires explicit ecological
processes, has been difficult. We tackled this challenge by directly comparing
models from a constraint-based theory, the Maximum Entropy Theory of Ecology
(METE) and models from a process-based theory, the size-structured neutral
theory (SSNT). Models from both theories were capable of characterizing the
distribution of individuals among species and the distribution of body size
among individuals across 76 forest communities. However, the SSNT models
consistently yielded higher overall likelihood, as well as more realistic
characterizations of the relationship between species abundance and average
body size of conspecific individuals. This suggests that the details of the
biological processes contain additional information for understanding community
structure that are not fully captured by the METE constraints in these systems.
Our approach provides a first step towards differentiating between process- and
constraint-based models of ecological systems and a general methodology for
comparing ecological models that make predictions for multiple patterns.
The Wisdom of the Few? "Supertaggers" in Collaborative Tagging Systems
Authors: Lorince Jared, Zorowitz Sam, Murdock Jaimie, Todd Peter M.
Date: 2015-03-17 00:00:00
Tasks: TAG

A folksonomy is ostensibly an information structure built up by the "wisdom
of the crowd", but is the "crowd" really doing the work? Tagging is in fact a
sharply skewed process in which a small minority of "supertagger" users
generate an overwhelming majority of the annotations. Using data from three
large-scale social tagging platforms, we explore (a) how to best quantify the
imbalance in tagging behavior and formally define a supertagger, (b) how
supertaggers differ from other users in their tagging patterns, and (c) if
effects of motivation and expertise inform our understanding of what makes a
supertagger. Our results indicate that such prolific users not only tag more
than their counterparts, but in quantifiably different ways. Specifically, we
find that supertaggers are more likely to label content in the long tail of
less popular items, that they show differences in patterns of content tagged
and terms utilized, and are measurably different with respect to tagging
expertise and motivation. These findings suggest we should question the extent
to which folksonomies achieve crowdsourced classification via the "wisdom of
the crowd", especially for broad folksonomies like Last.fm as opposed to narrow
folksonomies like Flickr.
Massive migration from the steppe is a source for Indo-European languages in Europe
Date: 2015-02-10 00:00:00
Tasks: DNA analysis

We generated genome-wide data from 69 Europeans who lived between 8,000-3,000
years ago by enriching ancient DNA libraries for a target set of almost four
hundred thousand polymorphisms. Enrichment of these positions decreases the
sequencing required for genome-wide ancient DNA analysis by a median of around
250-fold, allowing us to study an order of magnitude more individuals than
previous studies and to obtain new insights about the past. We show that the
populations of western and far eastern Europe followed opposite trajectories
between 8,000-5,000 years ago. At the beginning of the Neolithic period in
Europe, ~8,000-7,000 years ago, closely related groups of early farmers
appeared in Germany, Hungary, and Spain, different from indigenous
hunter-gatherers, whereas Russia was inhabited by a distinctive population of
hunter-gatherers with high affinity to a ~24,000 year old Siberian6 . By
~6,000-5,000 years ago, a resurgence of hunter-gatherer ancestry had occurred
throughout much of Europe, but in Russia, the Yamnaya steppe herders of this
time were descended not only from the preceding eastern European
hunter-gatherers, but from a population of Near Eastern ancestry. Western and
Eastern Europe came into contact ~4,500 years ago, as the Late Neolithic Corded
Ware people from Germany traced ~3/4 of their ancestry to the Yamnaya,
documenting a massive migration into the heartland of Europe from its eastern
periphery. This steppe ancestry persisted in all sampled central Europeans
until at least ~3,000 years ago, and is ubiquitous in present-day Europeans.
These results provide support for the theory of a steppe origin of at least
some of the Indo-European languages of Europe.
Musical practice and cognitive aging: two cross-sectional studies point to phonemic fluency as a potential candidate for a use-dependent adaptation
Date: 2015-02-10 00:00:00

Because of permanent use-dependent brain plasticity, all lifelong
individuals' experiences are believed to influence the cognitive aging quality.
In older individuals, both former and current musical practices have been
associated with better verbal skills, visual memory, processing speed, and
planning function. This work sought for an interaction between musical practice
and cognitive aging by comparing musician and non-musician individuals for two
lifetime periods (middle and late adulthood). Long-term memory, auditory-verbal
short-term memory, processing speed, non-verbal reasoning, and verbal fluencies
were assessed. In Study 1, measures of processing speed and auditory-verbal
short-term memory were significantly better performed by musicians compared
with controls, but both groups displayed the same age-related differences. For
verbal fluencies, musicians scored higher than controls and displayed different
age effects. In Study 2, we found that lifetime period at training onset
(childhood vs. adulthood) was associated with phonemic, but not semantic,
fluency performances (musicians who had started to practice in adulthood did
not perform better on phonemic fluency than non-musicians). Current frequency
of training did not account for musicians' scores on either of these two
measures. These patterns of results are discussed by setting the hypothesis of
a transformative effect of musical practice against a non-causal explanation.
The pricing of lookback options and binomial approximation
Date: 2015-02-10 00:00:00

Refining a discrete model of Cheuk and Vorst we obtain a closed formula for
the price of a European lookback option at any time between emission and
maturity. We derive an asymptotic expansion of the price as the number of
periods tends to infinity, thereby solving a problem posed by Lin and Palmer.
We prove, in particular, that the price in the discrete model tends to the
price in the continuous Black-Scholes model. Our results are based on an
asymptotic expansion of the binomial cumulative distribution function that
improves several recent results in the literature.
The Robust Merton Problem of an Ambiguity Averse Investor
Date: 2015-02-10 00:00:00
Tasks: Portfolio Optimization

We derive a closed form portfolio optimization rule for an investor who is
diffident about mean return and volatility estimates, and has a CRRA utility.
The novelty is that confidence is here represented using ellipsoidal
uncertainty sets for the drift, given a volatility realization. This
specification affords a simple and concise analysis, as the optimal portfolio
allocation policy is shaped by a rescaled market Sharpe ratio, computed under
the worst case volatility. The result is based on a max-min
Hamilton-Jacobi-Bellman-Isaacs PDE, which extends the classical Merton problem
and reverts to it for an ambiguity-neutral investor.
Dark-Pool Perspective of Optimal Market Making
Date: 2015-02-10 00:00:00
Tasks: Management

We consider a finite-horizon market-making problem faced by a dark pool that
executes incoming buy and sell orders. The arrival flow of such orders is
assumed to be random and, for each transaction, the dark pool earns a per-share
commission no greater than the half bid-ask spread. Throughout the entire
period, the main concern is inventory risk, which increases as the number of
held positions becomes critically small or large. The dark pool can control its
inventory by choosing the size of the commission for each transaction, so to
encourage, e.g., buy orders instead of sell orders. Furthermore, it can submit
lit-pool limit orders, of which execution is uncertain, and market orders,
which are expensive. In either case, the dark pool risks an information
leakage, which we model via a fixed penalty for trading in the lit pool. We
solve a double-obstacle impulse-control problem associated with the optimal
management of the inventory, and we show that the value function is the unique
viscosity solution of the associated system of quasi variational inequalities.
We explore various numerical examples of the proposed model, including one that
admits a semi-explicit solution.
Fast event-based epidemiological simulations on national scales
Date: 2016-01-27 00:00:00
Tasks: Scheduling

We present a computational modeling framework for data-driven simulations and
analysis of infectious disease spread in large populations. For the purpose of
efficient simulations, we devise a parallel solution algorithm targeting
multi-socket shared memory architectures. The model integrates infectious
dynamics as continuous-time Markov chains and available data such as animal
movements or aging are incorporated as externally defined events. To bring out
parallelism and accelerate the computations, we decompose the spatial domain
and optimize cross-boundary communication using dependency-aware task
scheduling. Using registered livestock data at a high spatio-temporal
resolution, we demonstrate that our approach not only is resilient to varying
model configurations, but also scales on all physical cores at realistic work
loads. Finally, we show that these very features enable the solution of inverse
problems on national scales.
An Analysis of the Heston Stochastic Volatility Model: Implementation and Calibration using Matlab
Date: 2015-03-17 00:00:00
Tasks: global-optimization

This paper analyses the implementation and calibration of the Heston
Stochastic Volatility Model. We first explain how characteristic functions can
be used to estimate option prices. Then we consider the implementation of the
Heston model, showing that relatively simple solutions can lead to fast and
accurate vanilla option prices. We also perform several calibration tests,
using both local and global optimization. Our analyses show that
straightforward setups deliver good calibration results. All calculations are
carried out in Matlab and numerical examples are included in the paper to
facilitate the understanding of mathematical concepts.
Learning and Portfolio Decisions for HARA Investors
Date: 2015-02-10 00:00:00

We maximize the expected utility from terminal wealth for an HARA investor
when the market price of risk is an unobservable random variable. We compute
the optimal portfolio explicitly and explore the effects of learning by
comparing it with the corresponding myopic policy. In particular, we show that,
for a market price of risk constant in sign, the ratio between the portfolio
under partial observation and its myopic counterpart increases with respect to
risk tolerance. As a consequence, the absolute value of the partial observation
case is larger (smaller) than the myopic one if the investor is more (less)
risk tolerant than the logarithmic investor. Moreover, our explicit
computations enable to study in details the so called hedging demand induced by
learning about market price of risk.
Dynamic competition between transcription initiation and repression: Role of nonequilibrium steps in cell-to-cell heterogeneity
Date: 2015-08-13 00:00:00

Transcriptional repression may cause transcriptional noise by a competition
between repressor and RNA polymerase binding. Although promoter activity is
often governed by a single limiting step, we argue here that the size of the
noise strongly depends on whether this step is the initial equilibrium binding
or one of the subsequent unidirectional steps. Overall, we show that
nonequilibrium steps of transcription initiation systematically increase the
cell-to-cell heterogeneity in bacterial populations. In particular, this allows
also weak promoters to give substantial transcriptional noise.
Generalization of Carey's Equality and a Theorem on Stationary Population
Date: 2015-02-10 00:00:00

Carey's Equality pertaining to stationary models is well known. In this
paper, we have stated and proved a fundamental theorem related to the formation
of this Equality. This theorem will provide an in-depth understanding of the
role of each captive subject, and their corresponding follow-up duration in a
stationary population. We have demonstrated a numerical example of a captive
cohort and the survival pattern of medfly populations. These results can be
adopted to understand age-structure and aging process in stationary and
non-stationary population population models. Key words: Captive cohort, life
expectancy, symmetric patterns.
On the role of time in perceptual decision making
Date: 2015-02-10 00:00:00
Tasks: Decision Making

According to the dominant view, time in perceptual decision making is used
for integrating new sensory evidence. Based on a probabilistic framework, we
investigated the alternative hypothesis that time is used for gradually
refining an internal estimate of uncertainty, that is to obtain an increasingly
accurate approximation of the posterior distribution through collecting samples
from it. In the context of a simple orientation estimation task, we
analytically derived predictions of how humans should behave under the two
hypotheses, and identified the across-trial correlation between error and
subjective uncertainty as a proper assay to distinguish between them. Next, we
developed a novel experimental paradigm that could be used to reliably measure
these quantities, and tested the predictions derived from the two hypotheses.
We found that in our task, humans show clear evidence that they use time mostly
for probabilistic sampling and not for evidence integration. These results
provide the first empirical support for iteratively improving probabilistic
representations in perceptual decision making, and open the way to reinterpret
the role of time in the cortical processing of complex sensory information.
Estimating demographic parameters using a combination of known-fate and open N-mixture models
Date: 2015-02-11 00:00:00
Tasks: Management

1. Accurate estimates of demographic parameters are required to infer
appropriate ecological relationships and inform management actions. Recently
developed N-mixture models use count data from unmarked individuals to estimate
demographic parameters, but a joint approach combining the strengths of both
analytical tools has not been developed. 2. We present an integrated model
combining known-fate and open N-mixture models, allowing the estimation of
detection probability, recruitment, and the joint estimation of survival. We
first use a simulation study to evaluate the performance of the model relative
to known values. We then provide an applied example using 4 years of wolf
survival data consisting of relocations of radio-collared wolves within packs
and counts of associated pack-mates. The model is implemented in both
maximum-likelihood and Bayesian frameworks using a new R package kfdnm and the
BUGS language. 3. The simulation results indicated that the integrated model
was able to reliably recover parameters with no evidence of bias, and estimates
were more precise under the joint model as expected. Results from the applied
example indicated that the marked sample of wolves was biased towards
individuals with higher apparent survival rates (including losses due to
mortality and emigration) than the unmarked pack-mates, suggesting estimates of
apparent survival based on joint estimation could be more representative of the
overall population. Estimates of recruitment were similar to direct
observations of pup production, and overlap of the credible intervals suggested
no clear differences in recruitment rates. 4. Our integrated model is a
practical approach for increasing the amount of information gained from future
and existing radio-telemetry and other similar mark-resight datasets.
Algebraic Systems Biology: A Case Study for the Wnt Pathway
Date: 2015-02-11 00:00:00

Steady state analysis of dynamical systems for biological networks give rise
to algebraic varieties in high-dimensional spaces whose study is of interest in
their own right. We demonstrate this for the shuttle model of the Wnt signaling
pathway. Here the variety is described by a polynomial system in 19 unknowns
and 36 parameters. Current methods from computational algebraic geometry and
combinatorics are applied to analyze this model.
MAP: Microblogging Assisted Profiling of TV Shows
Authors: Lin Xiahong, Wang Zhi, Sun Lifeng
Date: 2015-02-11 00:00:00
Tasks: Retrieval

Online microblogging services that have been increasingly used by people to
share and exchange information, have emerged as a promising way to profiling
multimedia contents, in a sense to provide users a socialized abstraction and
understanding of these contents. In this paper, we propose a microblogging
profiling framework, to provide a social demonstration of TV shows. Challenges
for this study lie in two folds: First, TV shows are generally offline, i.e.,
most of them are not originally from the Internet, and we need to create a
connection between these TV shows with online microblogging services; Second,
contents in a microblogging service are extremely noisy for video profiling,
and we need to strategically retrieve the most related information for the TV
show profiling.To address these challenges, we propose a MAP, a
microblogging-assisted profiling framework, with contributions as follows: i)
We propose a joint user and content retrieval scheme, which uses information
about both actors and topics of a TV show to retrieve related microblogs; ii)
We propose a social-aware profiling strategy, which profiles a video according
to not only its content, but also the social relationship of its microblogging
users and its propagation in the social network; iii) We present some
interesting analysis, based on our framework to profile real-world TV shows.
Combinatorial RNA Design: Designability and Structure-Approximating Algorithm
Date: 2015-06-19 00:00:00

In this work, we consider the Combinatorial RNA Design problem, a minimal
instance of the RNA design problem which aims at finding a sequence that admits
a given target as its unique base pair maximizing structure. We provide
complete characterizations for the structures that can be designed using
restricted alphabets. Under a classic four-letter alphabet, we provide a
complete characterization of designable structures without unpaired bases. When
unpaired bases are allowed, we provide partial characterizations for classes of
designable/undesignable structures, and show that the class of designable
structures is closed under the stutter operation. Membership of a given
structure to any of the classes can be tested in linear time and, for positive
instances, a solution can be found in linear time. Finally, we consider a
structure-approximating version of the problem that allows to extend bands
(helices) and, assuming that the input structure avoids two motifs, we provide
a linear-time algorithm that produces a designable structure with at most twice
more base pairs than the input structure.