pwc-archive/papers-with-abstracts huggingface dataset:
Heavy-Tailed Features and Empirical Analysis of the Limit Order Book Volume Profiles in Futures Markets
Date: 2015-04-22 00:00:00
Tasks: Algorithmic Trading

This paper poses a few fundamental questions regarding the attributes of the
volume profile of a Limit Order Books stochastic structure by taking into
consideration aspects of intraday and interday statistical features, the impact
of different exchange features and the impact of market participants in
different asset sectors. This paper aims to address the following questions:
  1. Is there statistical evidence that heavy-tailed sub-exponential volume
profiles occur at different levels of the Limit Order Book on the bid and ask
and if so does this happen on intra or interday time scales ?
  2.In futures exchanges, are heavy tail features exchange (CBOT, CME, EUREX,
SGX and COMEX) or asset class (government bonds, equities and precious metals)
dependent and do they happen on ultra-high (<1sec) or mid-range (1sec -10min)
high frequency data?
  3.Does the presence of stochastic heavy-tailed volume profile features evolve
in a manner that would inform or be indicative of market participant behaviors,
such as high frequency algorithmic trading, quote stuffing and price discovery
intra-daily?
  4. Is there statistical evidence for a need to consider dynamic behavior of
the parameters of models for Limit Order Book volume profiles on an intra-daily
time scale ?
  Progress on aspects of each question is obtained via statistically rigorous
results to verify the empirical findings for an unprecedentedly large set of
futures market LOB data. The data comprises several exchanges, several futures
asset classes and all trading days of 2010, using market depth (Type II) order
book data to 5 levels on the bid and ask.
On an integral equation for the free-boundary of stochastic, irreversible investment problems
Date: 2015-01-20 00:00:00

In this paper, we derive a new handy integral equation for the free-boundary
of infinite time horizon, continuous time, stochastic, irreversible investment
problems with uncertainty modeled as a one-dimensional, regular diffusion $X$.
The new integral equation allows to explicitly find the free-boundary
$b(\cdot)$ in some so far unsolved cases, as when the operating profit function
is not multiplicatively separable and $X$ is a three-dimensional Bessel process
or a CEV process. Our result follows from purely probabilistic arguments.
Indeed, we first show that $b(X(t))=l^*(t)$, with $l^*$ the unique optional
solution of a representation problem in the spirit of Bank-El Karoui [Ann.
Probab. 32 (2004) 1030-1067]; then, thanks to such an identification and the
fact that $l^*$ uniquely solves a backward stochastic equation, we find the
integral problem for the free-boundary.
Impact of time illiquidity in a mixed market without full observation
Date: 2015-03-19 00:00:00

We study a problem of optimal investment/consumption over an infinite horizon
in a market consisting of two possibly correlated assets: one liquid and one
illiquid. The liquid asset is observed and can be traded continuously, while
the illiquid one can be traded only at discrete random times corresponding to
the jumps of a Poisson process with intensity $\lambda$, is observed at the
trading dates, and is partially observed between two different trading dates.
The problem is a nonstandard mixed discrete/continuous optimal control problem
which we face by the dynamic programming approach. When the utility has a
general form we prove that the value function is the unique viscosity solution
of the HJB equation and, assuming sufficient regularity of the value function,
we give a verification theorem that describes the optimal investment strategies
for the illiquid asset. In the case of power utility, we prove the regularity
of the value function needed to apply the verification theorem, providing the
complete theoretical solution of the problem. This allows us to perform
numerical simulation, so to analyze the impact of time illiquidity in this
mixed market and how this impact is affected by the degree of observation.
Can we explain unexpected fluctuations of long-term real interest rate?
Date: 2019-03-20 00:00:00

In this paper, we present own point of view how the unexpected fluctuations
of the long-term real interest rate can be explained. We describe a
macroeconomic environment by the modification of the fundamental macroeconomic
equilibrium model called the IS-LM model. Last but not least, we suggest a
possible cooperation between the fiscal and monetary policy to reduce these
fluctuations. Our modelling is demonstrated on an illustrative example.
Modeling non-stationarities in high-frequency financial time series
Date: 2017-02-27 00:00:00
Tasks: Model Selection, Time Series, Time Series Analysis, valid, Vocal Bursts Intensity Prediction

We study tick-by-tick financial returns belonging to the FTSE MIB index of
the Italian Stock Exchange (Borsa Italiana). We can confirm previously detected
non-stationarities. However, scaling properties reported in the previous
literature for other high-frequency financial data are only approximately
valid. As a consequence of the empirical analyses, we propose a simple method
for describing non-stationary returns, based on a non-homogeneous normal
compound Poisson process. We test this model against the empirical findings and
it turns out that the model can approximately reproduce several stylized facts
of high-frequency financial time series. Moreover, using Monte Carlo
simulations, we analyze order selection for this model class using three
information criteria: Akaike's information criterion (AIC), the Bayesian
information criterion (BIC) and the Hannan-Quinn information criterion (HQ).
For comparison, we also perform a similar Monte Carlo experiment for the ACD
(autoregressive conditional duration) model. Our results show that the
information criteria work best for small parameter numbers for the compound
Poisson type models, whereas for the ACD model the model selection procedure
does not work well in certain cases.
Input nonlinearities can shape beyond-pairwise correlations and improve information transmission by neural populations
Date: 2015-11-20 00:00:00

While recent recordings from neural populations show beyond-pairwise, or
higher-order correlations (HOC), we have little understanding of how HOC arise
from network interactions and of how they impact encoded information. Here, we
show that input nonlinearities imply HOC in spin-glass-type statistical models.
We then discuss one such model with parameterized pairwise- and higher-order
interactions, revealing conditions under which beyond-pairwise interactions
increase the mutual information between a given stimulus type and the
population responses. For jointly Gaussian stimuli, coding performance is
improved by shaping output HOC only when neural firing rates are constrained to
be low. For stimuli with skewed probability distributions (like natural image
luminances), performance improves for all firing rates. Our work suggests
surprising connections between nonlinear integration of neural inputs, stimulus
statistics, and normative theories of population coding. Moreover, it suggests
that the inclusion of beyond-pairwise interactions could improve the
performance of Boltzmann machines for machine learning and signal processing
applications.
Characterizing the dynamics of rubella relative to measles: the role of stochasticity
Date: 2015-01-23 00:00:00
Tasks: Diversity

Rubella is a completely immunizing and mild infection in children.
Understanding its behavior is of considerable public health importance because
of Congenital Rubella Syndrome, which results from infection with rubella
during early pregnancy and may entail a variety of birth defects. The recurrent
dynamics of rubella are relatively poorly resolved, and appear to show
considerable diversity globally. Here, we investigate the behavior of a
stochastic seasonally forced susceptible-infected-recovered model to
characterize the determinants of these dynamics and illustrate patterns by
comparison with measles. We perform a systematic analysis of spectra of
stochastic fluctuations around stable attractors of the corresponding
deterministic model and compare them with spectra from full stochastic
simulations in large populations. This approach allows us to quantify the
effects of demographic stochasticity and to give a coherent picture of measles
and rubella dynamics, explaining essential differences in the recurrent
patterns exhibited by these diseases. We discuss the implications of our
findings in the context of vaccination and changing birth rates as well as the
persistence of these two childhood infections.
Quantitative description of ion transport via plasma membrane of yeast and small cells
Date: 2016-01-16 00:00:00

Modeling of ion transport via plasma membrane needs identification and
quantitative understanding of the involved processes. Brief characterization of
main ion transport systems of a yeast cell (Pma1, Ena1, TOK1, Nha1, Trk1, Trk2,
non-selective cation conductance) and determining the exact number of molecules
of each transporter per a typical cell allow us to predict the corresponding
ion flows. In this review a comparison of ion transport in small yeast cell and
several animal cell types is provided. The importance of cell volume to surface
ratio is emphasized. The role of cell wall and lipid rafts is discussed in
respect to required increase in spatial and temporal resolution of
measurements. Conclusions are formulated to describe specific features of ion
transport in a yeast cell. Potential directions of future research are outlined
based on the assumptions.
How many of the digits in a mean of 12.3456789012 are worth reporting?
Authors: R. S. Clymo
Date: 2013-01-06 00:00:00

OBJECTIVE. A computer program tells me that a mean value is 12.3456789012, but how many of these digits are significant (the rest being random junk)? Should I report: 12.3?, 12.3456?, or even 10 (if only the first digit is significant)? There are several rules-of-thumb but, surprisingly (given that the problem is so common in science), none seem to be evidence-based. RESULTS. Here I show how the significance of a digit in a particular decade of a mean depends on the standard error of the mean (SEM). I define an index, DM that can be plotted in graphs. From these a simple evidence-based rule for the number of significant digits ("sigdigs") is distilled: the last sigdig in the mean is in the same decade as the first or second non-zero digit in the SEM. As example, for mean 34.63 (SEM 25.62), with n = 17, the reported value should be 35 (SEM 26). Digits beyond these contain little or no useful information, and should not be reported lest they damage your credibility.
Multivariate risk measures: a constructive approach based on selections
Date: 2016-07-11 00:00:00

Since risky positions in multivariate portfolios can be offset by various
choices of capital requirements that depend on the exchange rules and related
transaction costs, it is natural to assume that the risk measures of random
vectors are set-valued. Furthermore, it is reasonable to include the exchange
rules in the argument of the risk measure and so consider risk measures of
set-valued portfolios. This situation includes the classical Kabanov's
transaction costs model, where the set-valued portfolio is given by the sum of
a random vector and an exchange cone, but also a number of further cases of
additional liquidity constraints.
  We suggest a definition of the risk measure based on calling a set-valued
portfolio acceptable if it possesses a selection with all individually
acceptable marginals. The obtained selection risk measure is coherent (or
convex), law invariant and has values being upper convex closed sets. We
describe the dual representation of the selection risk measure and suggest
efficient ways of approximating it from below and from above. In case of
Kabanov's exchange cone model, it is shown how the selection risk measure
relates to the set-valued risk measures considered by Kulikov (2008), Hamel and
Heyde (2010), and Hamel, Heyde and Rudloff (2013).
Metabolic and Chaperone Gene Loss Marks the Origin of Animals: Evidence for Hsp104 and Hsp78 Sharing Mitochondrial Clients
Date: 2015-02-28 00:00:00

The evolution of animals involved acquisition of an emergent gene repertoire
for gastrulation. Whether loss of genes also co-evolved with this developmental
reprogramming has not yet been addressed. Here, we identify twenty-four genetic
functions that are retained in fungi and choanoflagellates but undetectable in
animals. These lost genes encode: (i) sixteen distinct biosynthetic functions;
(ii) the two ancestral eukaryotic ClpB disaggregases, Hsp78 and Hsp104, which
function in the mitochondria and cytosol, respectively; and (iii) six other
assorted functions. We present computational and experimental data that are
consistent with a joint function for the differentially localized ClpB
disaggregases, and with the possibility of a shared client/chaperone
relationship between the mitochondrial Fe/S homoaconitase encoded by the lost
LYS4 gene and the two ClpBs. Our analyses lead to the hypothesis that the
evolution of gastrulation-based multicellularity in animals led to efficient
extraction of nutrients from dietary sources, loss of natural selection for
maintenance of energetically expensive biosynthetic pathways, and subsequent
loss of their attendant ClpB chaperones.
Separation of the largest eigenvalues in eigenanalysis of genotype data from discrete subpopulations
Date: 2017-10-18 00:00:00

We present a mathematical model, and the corresponding mathematical analysis,
that justifies and quantifies the use of principal component analysis of
biallelic genetic marker data for a set of individuals to detect the number of
subpopulations represented in the data. We indicate that the power of the
technique relies more on the number of individuals genotyped than on the number
of markers.
Option pricing with linear market impact and non-linear Black and Scholes equations
Date: 2016-08-11 00:00:00
Tasks: valid

We consider a model of linear market impact, and address the problem of
replicating a contingent claim in this framework. We derive a non-linear
Black-Scholes Equation that provides an exact replication strategy.
  This equation is fully non-linear and singular, but we show that it is well
posed, and we prove existence of smooth solutions for a large class of final
payoffs, both for constant and local volatility. To obtain regularity of the
solutions, we develop an original method based on Legendre transforms.
  The close connections with the problem of hedging with it gamma constraints
studied by Cheridito, Soner and Touzi and with the problem of hedging under it
liquidity costs are discussed.
  We also derive a modified Black-Scholes formula valid for asymptotically
small impact parameter, and finally provide numerical simulations as an
illustration.
Input-output equivalence and identifiability: some simple generalizations of the differential algebra approach
Date: 2019-08-19 00:00:00

In this paper, we give an overview of the differential algebra approach to
identifiability, and then note a very simple observation about input-output
equivalence and identifiability, that describes the identifiability equivalence
between input-output equivalent models. We then give several simple
consequences of this observation that can be useful in showing identifiability,
including examining non-first order ODE models, nondimensionalization and
rescaling, model reducibility, and a modular approach to evaluating
identifiability. We also examine how input-output equivalence can allow us to
generate input output equations in the differential algebra approach through a
wider range of methods (e.g. substitution and differential or standard Groebner
basis approaches).
Patterns of interval correlations in neural oscillators with adaptation
Date: 2017-04-26 00:00:00

Neural firing is often subject to negative feedback by adaptation currents.
These currents can induce strong correlations among the time intervals between
spikes. Here we study analytically the interval correlations of a broad class
of noisy neural oscillators with spike-triggered adaptation of arbitrary
strength and time scale. Our weak-noise theory provides a general relation
between the correlations and the phase-response curve (PRC) of the oscillator,
proves anti-correlations between neighboring intervals for adapting neurons
with type I PRC and identifies a single order parameter that determines the
qualitative pattern of correlations. Monotonically decaying or oscillating
correlation structures can be related to qualitatively different voltage traces
after spiking, which can be explained by the phase plane geometry. At high
firing rates, the long-term variability of the spike train associated with the
cumulative interval correlations becomes small, independent of model details.
Our results are verified by comparison with stochastic simulations of the
exponential, leaky, and generalized integrate-and-fire models with adaptation.
Towards a replicator dynamics model of age structured populations
Authors: Krzysztof Argasinski, Mark Broom
Date: 2013-03-06 00:00:00

In this paper we present a new modelling framework combining replicator dynamics (which is the standard model of frequency dependent selection) with the model of an age-structured population. The new framework allows for the modelling of populations consisting of competing strategies carried by individuals who change across their life cycle. Firstly the discretization of the McKendrick von Foerster model is derived. It is shown that the Euler--Lotka equation is satisfied when the new model reaches a steady state (i.e. stable frequencies between the age classes). This discretization consists of the unit age classes and the timescale is chosen that only a fraction of individuals play single game round. This implies linear dynamics within single time unit when individuals not killed during game round are moved from one age class to another. Since its local linear behaviour the system is equivalent to large Bernadelli-Lewis-Leslie matrix. Then the methodology of multipopulation games is used for the derivation of two, mutually equivalent systems of equations. The first contains equations describing the evolution of the strategy frequencies in the whole population completed by subsystems of equations describing the evolution of the age structure for each strategy. The second system contains equations describing the changes of the general population's age structure, completed with subsystems of equations describing the selection of the strategies within each age class. Then the obtained system of replicator dynamics is presented in the form of the mixed ODE-PDE system. The obtained results are illustrated by example of the sex ratio model which shows that when different mortalities of both sexes are assumed, the sex ratio of 0.5 is obtained but that Fisher's mechanism driven by the reproductive value of the different sexes is not in equilibrium.
The General Structure of Optimal Investment and Consumption with Small Transaction Costs
Date: 2015-05-14 00:00:00

We investigate the general structure of optimal investment and consumption
with small proportional transaction costs. For a safe asset and a risky asset
with general continuous dynamics, traded with random and time-varying but small
transaction costs, we derive simple formal asymptotics for the optimal policy
and welfare. These reveal the roles of the investors' preferences as well as
the market and cost dynamics, and also lead to a fully dynamic model for the
implied trading volume. In frictionless models that can be solved in closed
form, explicit formulas for the leading-order corrections due to small
transaction costs are obtained.
SICLE: A high-throughput tool for extracting evolutionary relationships from phylogenetic trees
Date: 2016-06-17 00:00:00

We present the phylogeny analysis software SICLE (Sister Clade Extractor), an
easy-to-use, high- throughput tool to describe the nearest neighbors to a node
of interest in a phylogenetic tree as well as the support value for the
relationship. The application is a command line utility that can be embedded
into a phylogenetic analysis pipeline or can be used as a subroutine within
another C++ program. As a test case, we applied this new tool to the published
phylome of Salinibacter ruber, a species of halophilic Bacteriodetes,
identifying 13 unique sister relationships to S. ruber across the 4589 gene
phylogenies. S. ruber grouped with bacteria, most often other Bacteriodetes, in
the majority of phylogenies, but 91 phylogenies showed a branch-supported
sister association between S. ruber and Archaea, an evolutionarily intriguing
relationship indicative of horizontal gene transfer. This test case
demonstrates how SICLE makes it possible to summarize the phylogenetic
information produced by automated phylogenetic pipelines to rapidly identify
and quantify the possible evolutionary relationships that merit further
investigation. SICLE is available for free for noncommercial use at
http://eebweb.arizona.edu/sicle/.
Size and structure of an epistatic space
Date: 2015-05-17 00:00:00

We provide quantitative estimates on the size and the structure of the
epistatic space defined in the main article, "Dynamical Correlations in the
escape strategy of Influenza A virus", EPL 101 68003.
Impact of commuting on disease persistence in heterogeneous metapopulations
Date: 2015-02-20 00:00:00

We use a stochastic metapopulation model to study the combined effects of
seasonality and spatial heterogeneity on disease persistence. We find a
pronounced effect of enhanced persistence associated with strong heterogeneity,
intermediate coupling strength and moderate seasonal forcing. Analytic
calculations show that this effect is not related with the phase lag between
epidemic bursts in different patches, but rather with the linear stability
properties of the attractor that describes the steady state of the system in
the large population limit.
Quantitative easing is an incomplete strategy that must be accompanied by the nullification of debt
Date: 2015-07-10 00:00:00

Compound interest as well as inflation grows exponentially with time, whereas
other means to repay debt grow polynomially. For this and other, mostly
political, reasons, debt without inflation is unsustainable. We suggest a
discontinuous way to eliminate debt by nullifying it. This scenario is
preferable to current central bank strategies of quantitative easing because it
allows the disposal of debt without hyperinflation or bloated balance sheets.