pwc-archive/papers-with-abstracts huggingface dataset:
The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew
Date: 2018-10-31 00:00:00

The Multi Variate Mixture Dynamics model is a tractable, dynamical,
arbitrage-free multivariate model characterized by transparency on the
dependence structure, since closed form formulae for terminal correlations,
average correlations and copula function are available. It also allows for
complete decorrelation between assets and instantaneous variances. Each single
asset is modelled according to a lognormal mixture dynamics model, and this
univariate version is widely used in the industry due to its flexibility and
accuracy. The same property holds for the multivariate process of all assets,
whose density is a mixture of multivariate basic densities. This allows for
consistency of single asset and index/portfolio smile. In this paper, we
generalize the MVMD model by introducing shifted dynamics and we propose a
definition of implied correlation under this model. We investigate whether the
model is able to consistently reproduce the implied volatility of FX cross
rates once the single components are calibrated to univariate shifted lognormal
mixture dynamics models. We consider in particular the case of the Chinese
renminbi FX rate, showing that the shifted MVMD model correctly recovers the
CNY/EUR smile given the EUR/USD smile and the USD/CNY smile, thus highlighting
that the model can also work as an arbitrage free volatility smile
extrapolation tool for cross currencies that may not be liquid or fully
observable. We compare the performance of the shifted MVMD model in terms of
implied correlation with those of the shifted Simply Correlated Mixture
Dynamics model where the dynamics of the single assets are connected naively by
introducing correlation among their Brownian motions. Finally, we introduce a
model with uncertain volatilities and correlation. The Markovian projection of
this model is a generalization of the shifted MVMD model.
The burden of HIV in a Public Hospital in Johannesburg, South Africa
Date: 2015-12-15 00:00:00

South Africa has the greatest number of people living with HIV in the world
but the direct impact of this on the public health system has not been directly
measured. Using data from the Chris Hani Baragwanath Hospital, the largest
hospital in the Southern Hemisphere, collected between January 2006 and
December 2009, we demonstrate directly the scale of the impact of HIV on
mortality in health services in the pubic sector in South Africa. During the
period under investigation 14,431 people died in the hospital's medical wards,
an average of 11 deaths each day. Of those that died 64 per cent of men and 82
per cent of women were HIV positive. Between the ages of 30 and 40, 94 percent
of men and 96 percent of women of those that died were HIV-positive. These data
not only reflect the extraordinary mortality directly attributable to the
epidemic of HIV but also the massive burden placed on the health services at a
time when triple combination therapy was available and these HIV-related deaths
could have been averted.
Design principles of natural light harvesting as revealed by single molecule spectroscopy
Date: 2015-12-15 00:00:00

Biology offers a boundless source of adaptation, innovation, and inspiration.
A wide range of photosynthetic organisms exist that are capable of harvesting
solar light in an exceptionally efficient way, using abundant and low-cost
materials. These natural light-harvesting complexes consist of proteins that
strongly bind a high density of chromophores to capture solar photons and
rapidly transfer the excitation energy to the photochemical reaction centre.
The amount of harvested light is also delicately tuned to the level of solar
radiation to maintain a constant energy throughput at the reaction centre and
avoid the accumulation of the products of charge separation. In this Review,
recent developments in the understanding of light harvesting by plants will be
discussed, based on results obtained from single molecule spectroscopy studies.
Three design principles of the main light-harvesting antenna of plants will be
highlighted: (a) fine, photoactive control over the intrinsic protein disorder
to efficiently use intrinsically available thermal energy dissipation
mechanisms; (b) the design of the protein microenvironment of a low-energy
chromophore dimer to control the amount of shade absorption; (c) the design of
the exciton manifold to ensure efficient funneling of the harvested light to
the terminal emitter cluster.
The non-equilibrium allele frequency spectrum in a Poisson random field framework
Date: 2015-12-15 00:00:00

In population genetic studies, the allele frequency spectrum (AFS)
efficiently summarizes genome-wide polymorphism data and shapes a variety of
allele frequency-based summary statistics. While existing theory typically
features equilibrium conditions, emerging methodology requires an analytical
understanding of the build-up of the allele frequencies over time. In this
work, we use the framework of Poisson random fields to derive new
representations of the non-equilibrium AFS for the case of a Wright-Fisher
population model with selection. In our approach, the AFS is a scaling-limit of
the expectation of a Poisson stochastic integral and the representation of the
non-equilibrium AFS arises in terms of a fixation time probability
distribution. The known duality between the Wright-Fisher diffusion process and
a birth and death process generalizing Kingman's coalescent yields an
additional representation. The results carry over to the setting of a random
sample drawn from the population and provide the non-equilibrium behavior of
sample statistics. Our findings are consistent with and extend a previous
approach where the non-equilibrium AFS solves a partial differential forward
equation with a non-traditional boundary condition. Moreover, we provide a
bridge to previous coalescent-based work, and hence tie several frameworks
together. Since frequency-based summary statistics are widely used in
population genetics, for example, to identify candidate loci of adaptive
evolution, to infer the demographic history of a population, or to improve our
understanding of the underlying mechanics of speciation events, the presented
results are potentially useful for a broad range of topics.
A mathematical model of reward and executive circuitry in obsessive compulsive disorde
Date: 2015-12-15 00:00:00
Tasks: Hippocampus

The neuronal circuit that controls obsessive and compulsive behaviors
involves a complex network of brain regions (some with known involvement in
reward processing). Among these are cortical regions, the striatum and the
thalamus (which compose the CSTC pathway), limbic areas such as the amygdala
and the hippocampus, and well as dopamine pathways. Abnormal dynamic behavior
in this brain network is a hallmark feature of patients with increased anxiety
and motor activity, like the ones affected by OCD. There is currently no clear
understanding of precisely what mechanisms generates these behaviors.
  We attempt to investigate a collection of connectivity hypotheses of OCD by
means of a computational model of the brain circuitry that governs reward and
motion execution. Mathematically, we use methods from ordinary differential
equations and continuous time dynamical systems. We use classical analytical
methods as well as computational approaches to study phenomena in the phase
plane (e.g., behavior of the system's solutions when given certain initial
conditions) and in the parameter space (e.g., sensitive dependence of initial
conditions).
  We find that different obsessive-compulsive subtypes may correspond to
different abnormalities in the network connectivity profiles. We suggest that
it is combinations of parameters (connectivity strengths between regions),
rather the than the value of any one parameter taken independently, that
provides the best basis for predicting behavior, and for understanding the
heterogeneity of the illness.
Phase diagram of the ground states of DNA condensates
Date: 2015-12-16 00:00:00

Phase diagram of the ground states of DNA in a bad solvent is studied for a
semi-flexible polymer model with a generalized local elastic bending potential
characterized by a nonlinearity parameter $x$ and effective self-attraction
promoting compaction. $x=1$ corresponds to the worm-like chain model.
Surprisingly, the phase diagram as well as the transition lines between the
ground states are found to be a function of $x$. The model provides a simple
explanation for the results of prior experimental and computational studies and
makes predictions for the specific geometries of the ground states. The results
underscore the impact of the form of the microscopic bending energy at
macroscopic observable scales.
SIREN Cytoscape plugin: Interaction Type Discrimination in Gene Regulatory Networks
Date: 2015-12-16 00:00:00
Tasks: Vocal Bursts Type Prediction

Integrating expression data with gene interactions in a network is essential
for understanding the functional organization of the cells. Consequently,
knowledge of interaction types in biological networks is important for data
interpretation. Signing of Regulatory Networks (SIREN) plugin for Cytoscape is
an open-source Java tool for discrimination of interaction type (activatory or
inhibitory) in gene regulatory networks. Utilizing an information theory based
concept, SIREN seeks to identify the interaction type of pairs of genes by
examining their corresponding gene expression profiles. We introduce SIREN, a
fast and memory efficient tool with low computational complexity, that allows
the user to easily consider it as a complementary approach for many network
reconstruction methods. SIREN allows biologists to use independent expression
data to predict interaction types for known gene regulatory networks where
reconstruction methods do not provide any information about the nature of their
interaction types. The SIREN Cytoscape plugin is implemented in Java and is
freely available at http://baderlab.org/Software/SIRENplugin and via the
Cytoscape app manager.
Unified Growth Theory Contradicted by the Economic Growth in Asia
Date: 2016-02-27 00:00:00

Historical economic growth in Asia (excluding Japan) is analysed. It is shown
that Unified Growth Theory is contradicted by the data, which were used (but
not analysed) during the formulation of this theory. Unified Growth Theory does
not explain the mechanism of economic growth. It explains the mechanism of
Malthusian stagnation, which did not exist and it explains the mechanism of the
transition from stagnation to growth that did not happen. The data show that
the economic growth in Asia was never stagnant but hyperbolic. The alleged
dramatic takeoff around 1900 or around any other time did not happen. However,
the theory contains also a dangerous and strongly-misleading concept that after
a long epoch of stagnation we have now entered the epoch of sustained economic
growth, the concept creating the sense of security. The opposite is true. After
the epoch of sustained and secure economic growth we have now entered the epoch
of a fast-increasing and insecure economic growth.
GIS-based support for the complex botanical studies at the Molnieboi Spur, Altai
Date: 2015-12-21 00:00:00

The Molnieboi Spur is located at the northwestern margin of the Katun Range,
the high-mountain part of the Altai Mountains. Unique geological and
geophysical characteristics of the Molnieboi Spur made it an attractive target
for complex botanical studies including botanical, soil, geological,
geochemical, geophysical, radiation, and soil gas surveys and analyses. In this
paper, we present the first version of the geographic information system (GIS)
application for the Molnieboi Spur developed using the software QGIS. A digital
elevation model for the study area was derived from a detailed topographic map.
The database was filled with tabular data on about 100 parameters including:
eight botanical characteristics of the Lonicera caerulea local population, two
cytogenetic indices of Lonicera caerulea seeds, five types of biochemical
parameters of Lonicera caerulea leaves and fruits, three types of geochemical
characteristics of the local soils, three types of radiation parameters of the
local soils and Lonicera caerulea plants, and one soil gas parameter. The
results of the magnetometric survey were inserted as a raster image. A visual
analysis of the maps produced allows one to better understand the spatial
relationships between various natural components of the Molnieboi Spur.
Ownership and Agency of an Independent Supernumerary Hand Induced by an Imitation Brain-Computer Interface
Date: 2016-05-27 00:00:00
Tasks: Brain Computer Interface

To study body ownership and control, illusions that elicit these feelings in
non-body objects are widely used. Classically introduced with the Rubber Hand
Illusion, these illusions have been replicated more recently in virtual reality
and by using brain-computer interfaces. Traditionally these illusions
investigate the replacement of a body part by an artificial counterpart,
however as brain-computer interface research develops it offers us the
possibility to explore the case where non-body objects are controlled in
addition to movements of our own limbs. Therefore we propose a new illusion
designed to test the feeling of ownership and control of an independent
supernumerary hand. Subjects are under the impression they control a virtual
reality hand via a brain-computer interface, but in reality there is no causal
connection between brain activity and virtual hand movement but correct
movements are observed with 80% probability. These imitation brain-computer
interface trials are interspersed with movements in both the subjects' real
hands, which are in view throughout the experiment. We show that subjects
develop strong feelings of ownership and control over the third hand, despite
only receiving visual feedback with no causal link to the actual brain signals.
Our illusion is crucially different from previously reported studies as we
demonstrate independent ownership and control of the third hand without loss of
ownership in the real hands.
Deciphering cell signaling rewiring in human disorders
Date: 2015-12-16 00:00:00

The knowledge of cell molecular mechanisms implicated in human diseases is
expanding and should be converted into guidelines for deciphering pathological
cell signaling and suggesting appropriate treatment. The basic assumption is
that during a pathological transformation, the cell does not create new
signaling mechanisms, but rather it hijacks the existing molecular programs.
This affects not only intracellular functions, but also a crosstalk between
different cell types resulting in a new, yet pathological status of the system.
There is a certain combination of molecular characteristics dictating specific
cell signaling states that sustains the pathological disease status.
Identifying and manipulating the key molecular players controlling these cell
signaling states, and shifting the pathological status toward the desired
healthy phenotype, are the major challenge for molecular biology of human
diseases.
Forward rate models with linear volatilities
Date: 2015-12-16 00:00:00

Existence of solutions to the Heath-Jarrow-Morton equation of the bond market
with linear volatility and general L\'evy random factor is studied. Conditions
for existence and non-existence of solutions in the class of bounded fields are
presented. For the existence of solutions the L\'evy process should necessarily
be without the Gaussian part and without negative jumps. If this is the case
then necessary and sufficient conditions for the existence are formulated
either in terms of the behavior of the L\'evy measure of the noise near the
origin or the behavior of the Laplace exponent of the noise at infinity.
A computational model revealing the effect of dopamine on action selection
Date: 2015-12-16 00:00:00

In order to reveal the effect of nigrostriatal dopamine system on action
selection, first a computational model of the cortex-basal ganglia-thalamus
loop is proposed and based on this model a simple compound model realizing the
Stroop effect is established. Even though Stroop task is mostly used to examine
selective attention, the main objective of this work is to investigate the
effect of action selection on Stroop task. The computational model of the
cortex-basal ganglia-thalamus loop is a non-linear dynamical system which is
not only capable of revealing the action selection property of basal ganglia
but also capable of modelling the effect of dopamine on action selection. While
the interpretation of action selection is based on the solutions of the
non-linear dynamical system, the effect of dopamine is modelled by a parameter
of the model. The inhibiting effect of dopamine on the habitual behaviour which
corresponds to word reading in Stroop task and letting the novel one occur
corresponding to colour naming is investigated using the compound computational
model established in this work.
European Union gas market development
Date: 2015-12-16 00:00:00

The recently announced Energy Union by the European Commission is the most
recent step in a series of developments aiming at integrating the EU's gas
markets to increase social welfare (SW) and security of gas supply. Based on a
spatial partial equilibrium model, we analyze the changes in consumption,
prices, and SW up to 2022 induced by the infrastructure expansions planned for
this period. We find that wholesale prices decrease slightly and converge at
Western European levels, the potential of suppliers to exert market power
decreases significantly, and consumer surplus increases by 15.9% in the EU. Our
results allow us to distinguish three categories of projects: (i) New gas
sources developed and brought to the EU markets. These projects decrease prices
and increase SW in a large number of countries. The only project in this
category is the Trans-Anatolian Gas Pipeline; (ii) Existing gas sources made
available to additional countries. This leads to an increase of SW in the newly
connected countries, and a decrease everywhere else. These projects mainly
involve pipeline and regasification terminal capacity enhancements; (iii)
Projects with a marginal effect on the (fully functioning) market. Most storage
expansion projects fall into this category, plus the recently announced Turkish
Stream. Our results indicate that if all proposed infrastructure projects are
realized, the EU's single market will become a reality in 2019. However, we
also find that SW can only be increased significantly for the EU as a whole if
new gas sources become accessible. Consequently, we suggest that the EU should
emphasize on measures to increase the available volumes, in particular once the
integration of the market is completed. At the same time, efficiency gains,
albeit decreasing SW, help to improve the situation of consumers and decrease
the dependency of the EU as a whole on external suppliers.
Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods
Date: 2015-12-16 00:00:00

An interacting Black-Scholes model for option pricing, where the usual
constant interest rate r is replaced by a stochastic time dependent rate r(t)
of the form r(t)=r+f(t) dW/dt, accounting for market imperfections and prices
non-alignment, was developed in [1]. The white noise amplitude f(t), called
arbitrage bubble, generates a time dependent potential U(t) which changes the
usual equilibrium dynamics of the traditional Black-Scholes model. The purpose
of this article is to tackle the inverse problem, that is, is it possible to
extract the time dependent potential U(t) and its associated bubble shape f(t)
from the real empirical financial data? In order to give an answer to this
question, the interacting Black-Scholes equation must be interpreted as a
quantum Schrodinger equation with hamiltonian operator H=H0+U(t), where H0 is
the equilibrium Black-Scholes hamiltonian and U(t) is the interaction term. If
the U(t) term is small enough, the interaction potential can be thought as a
perturbation, so one can compute the solution of the interacting Black-Scholes
equation in an approximate form by perturbation theory. In [2] by applying the
semi-classical considerations, an approximate solution of the non equilibrium
Black-Scholes equation for an arbitrary bubble shape f(t) was developed. Using
this semi-classical solution and the knowledge about the mispricing of the
financial data, one can determinate an equation, which solutions permit obtain
the functional form of the potential term U(t) and its associated bubble f(t).
In all the studied cases, the non equilibrium model performs a better
estimation of the real data than the usual equilibrium model. It is expected
that this new and simple methodology for calibrating and simulating option
pricing solutions in the presence of market imperfections, could help to
improve option pricing estimations.
Inter-protein sequence co-evolution predicts known physical interactions in bacterial ribosomes and the trp operon
Date: 2016-02-24 00:00:00

Interaction between proteins is a fundamental mechanism that underlies
virtually all biological processes. Many important interactions are conserved
across a large variety of species. The need to maintain interaction leads to a
high degree of co-evolution between residues in the interface between partner
proteins. The inference of protein-protein interaction networks from the
rapidly growing sequence databases is one of the most formidable tasks in
systems biology today. We propose here a novel approach based on the
Direct-Coupling Analysis of the co-evolution between inter-protein residue
pairs. We use ribosomal and trp operon proteins as test cases: For the small
resp. large ribosomal subunit our approach predicts protein-interaction
partners at a true-positive rate of 70% resp. 90% within the first 10
predictions, with areas of 0.69 resp. 0.81 under the ROC curves for all
predictions. In the trp operon, it assigns the two largest interaction scores
to the only two interactions experimentally known. On the level of residue
interactions we show that for both the small and the large ribosomal subunit
our approach predicts interacting residues in the system with a true positive
rate of 60% and 85% in the first 20 predictions. We use artificial data to show
that the performance of our approach depends crucially on the size of the joint
multiple sequence alignments and analyze how many sequences would be necessary
for a perfect prediction if the sequences were sampled from the same model that
we use for prediction. Given the performance of our approach on the test data
we speculate that it can be used to detect new interactions, especially in the
light of the rapid growth of available sequence data.
A Method of Passage-Based Document Retrieval in Question Answering System
Authors: Jong Man-Hung, Ri Chong-Han, Choe Hyok-Chol, Hwang Chol-Jun
Date: 2015-12-17 00:00:00
Tasks: Question Answering, Retrieval

We propose a method for using the scoring values of passages to effectively
retrieve documents in a Question Answering system.
  For this, we suggest evaluation function that considers proximity between
each question terms in passage. And using this evaluation function , we extract
a documents which involves scoring values in the highest collection, as a
suitable document for question.
  The proposed method is very effective in document retrieval of Korean
question answering system.