pwc-archive/papers-with-abstracts huggingface dataset:
Efficient Simulations of Individual Based Models for Adaptive Dynamics and the Canonical Equation
Date: 2016-01-28 00:00:00

We propose a faster algorithm for individual based simulations for adaptive
dynamics based on a simple modification to the standard Gillespie Algorithm for
simulating stochastic birth-death processes. We provide an analytical
explanation that shows that simulations based on the modified algorithm, in the
deterministic limit, lead to the same equations of adaptive dynamics as well as
same conditions for evolutionary branching as those obtained from the standard
Gillespie algorithm. Based on this algorithm, we provide an intuitive and
simple interpretation of the canonical equation of adaptive dynamics. With the
help of examples we compare the performance of this algorithm to the standard
Gillespie algorithm and demonstrate its efficiency. We also study an example
using this algorithm to study evolutionary dynamics in a multi-dimensional
phenotypic space and study the question of predictability of evolution.
Brain network efficiency is influenced by pathological source of corticobasal syndrome
Date: 2016-01-28 00:00:00
Tasks: Diagnostic, Sensitivity, Specificity

Multimodal neuroimaging studies of corticobasal syndrome using volumetric MRI
and DTI successfully discriminate between Alzheimer's disease and
frontotemporal lobar degeneration but this evidence has typically included
clinically heterogeneous patient cohorts and has rarely assessed the network
structure of these distinct sources of pathology. Using structural MRI data, we
identify areas in fronto-temporo-parietal cortex with reduced gray matter
density in corticobasal syndrome relative to age matched controls. A support
vector machine procedure demonstrates that gray matter density poorly
discriminates between frontotemporal lobar degeneration and Alzheimer's disease
pathology subgroups with low sensitivity and specificity. In contrast, a
statistic of local network efficiency demonstrates excellent discriminatory
power, with high sensitivity and specificity. Our results indicate that the
underlying pathological sources of corticobasal syndrome can be classified more
accurately using graph theoretical statistics of white matter microstructure in
association cortex than by regional gray matter density alone. These results
highlight the importance of a multimodal neuroimaging approach to diagnostic
analyses of corticobasal syndrome and suggest that distinct sources of
pathology mediate the circuitry of brain regions affected by corticobasal
syndrome.
A positive mood, a flexible brain
Date: 2016-01-28 00:00:00

Flexible reconfiguration of human brain networks supports cognitive
flexibility and learning. However, modulating flexibility to enhance learning
requires an understanding of the relationship between flexibility and brain
state. In an unprecedented longitudinal data set, we investigate the
relationship between flexibility and mood, demonstrating that flexibility is
positively correlated with emotional state. Our results inform the modulation
of brain state to enhance response to training in health and injury.
Blind Interference Alignment for Private Information Retrieval
Authors: Sun Hua, Jafar Syed A.
Date: 2016-01-28 00:00:00
Tasks: Information Retrieval, Retrieval

Blind interference alignment (BIA) refers to interference alignment schemes
that are designed only based on channel coherence pattern knowledge at the
transmitters (the "blind" transmitters do not know the exact channel values).
Private information retrieval (PIR) refers to the problem where a user
retrieves one out of K messages from N non-communicating databases (each holds
all K messages) without revealing anything about the identity of the desired
message index to any individual database. In this paper, we identify an
intriguing connection between PIR and BIA. Inspired by this connection, we
characterize the information theoretic optimal download cost of PIR, when we
have K = 2 messages and the number of databases, N, is arbitrary.
Vortex dynamics in trabeculated embryonic ventricles
Date: 2018-09-18 00:00:00

Proper heart morphogenesis requires a delicate balance between hemodynamic
forces, myocardial activity, morphogen gradients, and epigenetic signaling, all
of which are coupled with genetic regulatory networks. Recently both in vivo
and in silico studies have tried to better understand hemodynamics at varying
stages of vertebrate cardiogenesis. In particular, the intracardial
hemodynamics during the onset of trabeculation is notably complex - the
inertial and viscous fluid forces are approximately equal at this stage and
small perturbations in morphology, scale, and steadiness of the flow can lead
to significant changes in bulk flow structures, shear stress distributions, and
chemical morphogen gradients. The immersed boundary method was used to solve
the computational fluid dynamics problem involving fluid flow moving through
the trabeculated ventricles of 72, 80, and 120 hours post fertilization wild
type zebrafish embryos and ErbB2-inhibited embryos at 7 days post
fertilization. An idealized trabeculated ventricular model was explored to map
the bifurcations in flow structure that occur as a result of the unsteadiness
of flow, trabeculae height, and fluid scale ($Re$). Vortex formation occurred
in intertrabecular regions for biologically relevant parameter spaces, wherein
flow velocities increased. This indicates that trabecular morphology may alter
intracardial flow patterns and hence ventricular shear stresses and morphogen
gradients. A potential implication of this work is that the onset of vortical
(disturbed) flows can upregulate Notch1 expression in endothelial cells in
vitro and hence impacts chamber morphogensis, valvulogenesis, and the formation
of the trabeculae themselves.
Exact solutions for optimal execution of portfolios transactions and the Riccati equation
Date: 2016-01-29 00:00:00

We propose two methods to obtain exact solutions for the Almgren-Chriss model
about optimal execution of portfolio transactions. In the first method we
rewrite the Almgren-Chriss equation and find two exact solutions. In the second
method, employing a general reparametrized time, we show that the
Almgren-Chriss equation can be reduced to some known equations which can be
exactly solved in different cases.For this last case we obtain a quantity
conserved. In addition, we show that in both methods the Almgren-Chriss
equation is equivalent to a Riccati equation.
Comparing reactive and memory-one strategies of direct reciprocity
Date: 2016-05-23 00:00:00

Direct reciprocity is a mechanism for the evolution of cooperation based on
repeated interactions. When individuals meet repeatedly, they can use
conditional strategies to enforce cooperative outcomes that would not be
feasible in one-shot social dilemmas. Direct reciprocity requires that
individuals keep track of their past interactions and find the right response.
However, there are natural bounds on strategic complexity: Humans find it
difficult to remember past interactions accurately, especially over long
timespans. Given these limitations, it is natural to ask how complex strategies
need to be for cooperation to evolve. Here, we study stochastic evolutionary
game dynamics in finite populations to systematically compare the evolutionary
performance of reactive strategies, which only respond to the co-player's
previous move, and memory-one strategies, which take into account the own and
the co-player's previous move. In both cases, we compare deterministic strategy
and stochastic strategy spaces. For reactive strategies and small costs, we
find that stochasticity benefits cooperation, because it allows for
generous-tit-for-tat. For memory one strategies and small costs, we find that
stochasticity does not increase the propensity for cooperation, because the
deterministic rule of win-stay, lose-shift works best. For memory one
strategies and large costs, however, stochasticity can augment cooperation.
F1 rotary motor of ATP synthase is driven by the torsionally-asymmetric drive shaft
Date: 2016-01-29 00:00:00

F1F0 ATP synthase (ATPase) either facilitates the synthesis of ATP in the
mitochondrial membranes and bacterial inner membranes in a process driven by
the proton moving force (pmf), or uses the energy from ATP hydrolysis to pump
protons against the concentration gradient across the membrane. ATPase is
composed of two rotary motors, F0 and F1, which generate the opposing rotation
and compete for control of their shared central gamma-shaft. Here we present a
self-consistent physical model of the F1 motor as a simplified two-state
Brownian ratchet based on the asymmetry of torsional elastic energy of the
coiled-coil gamma-shaft. This stochastic model unifies the physical description
of linear and rotary motors and explains the stepped unidirectional rotation of
the $\gamma$-shaft, in agreement with the `binding-change' ideas of Boyer.
Substituting the model parameters, all independently known from recent
experiments, our model quantitatively reproduces the ATPase operation, e.g. the
`no-load' angular velocity is ca. 400~rad/s anticlockwise at 4 mM ATP, in close
agreement with experiment. Increasing the pmf torque exerted by F0 can slow,
stop and overcome the torque generated by F1, switching from ATP hydrolysis to
synthesis at a very low value of `stall torque'. We discuss the matters of the
motor efficiency, which is very low if calculated from the useful mechanical
work it produces - but is quite high when the `useful outcome' is measured in
the number of H+ pushed against the chemical gradient in the F1 ATP-driven
operation.
Chaos in Fractionally Integrated Generalized Autoregressive Conditional Heteroskedastic Processes
Date: 2016-02-12 00:00:00
Tasks: Time Series, Time Series Analysis

Fractionally integrated generalized autoregressive conditional
heteroskedasticity (FIGARCH) arises in modeling of financial time series.
FIGARCH is essentially governed by a system of nonlinear stochastic difference
equations ${u_t}$ = ${z_t}$ $(1-\sum\limits_{j=1}^q \beta_j L^j)\sigma_{t}^2 =
\omega+(1-\sum\limits_{j=1}^q \beta_j L^j - (\sum\limits_{k=1}^p \varphi_k L^k)
(1-L)^d) u_t^2$, where $\omega\in$ R, and $\beta_j\in$ R are constant
parameters, $\{u_t\}_{{t\in}^+}$ and $\{\sigma_t\}_{{t\in}^+}$ are the discrete
time real valued stochastic processes which represent FIGARCH (p,d,q) and
stochastic volatility, respectively. Moreover, L is the backward shift
operator, i.e. $L^d u_t \equiv u_{t-d}$ (d is the fractional differencing
parameter 0$<$d$<$1).
  In this work, we have studied the chaoticity properties of FIGARCH (p,d,q)
processes by computing mutual information, correlation dimensions, FNNs (False
Nearest Neighbour), the Lyapunov exponents, and for both the stochastic
difference equation given above and for the financial time series. We have
observed that maximal Lyapunov exponents are negative, therefore, it can be
suggested that FIGARCH (p,d,q) is not deterministic chaotic process.
Physical and mathematical modeling in experimental papers: achieving robustness of mathematical modeling studies
Date: 2016-01-28 00:00:00

Development of several alternative mathematical models for the biological
system in question and discrimination between such models using experimental
data is the best way to robust conclusions. Models which challenge existing
theories are more valuable than models which support such theories.
Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift
Date: 2016-03-10 00:00:00

This paper investigates optimal trading strategies in a financial market with
multidimensional stock returns where the drift is an unobservable multivariate
Ornstein-Uhlenbeck process. Information about the drift is obtained by
observing stock returns and expert opinions. The latter provide unbiased
estimates on the current state of the drift at discrete points in time.
  The optimal trading strategy of investors maximizing expected logarithmic
utility of terminal wealth depends on the filter which is the conditional
expectation of the drift given the available information. We state filtering
equations to describe its dynamics for different information settings. Between
expert opinions this is the Kalman filter. The conditional covariance matrices
of the filter follow ordinary differential equations of Riccati type. We rely
on basic theory about matrix Riccati equations to investigate their properties.
Firstly, we consider the asymptotic behaviour of the covariance matrices for an
increasing number of expert opinions on a finite time horizon. Secondly, we
state conditions for the convergence of the covariance matrices on an infinite
time horizon with regularly arriving expert opinions.
  Finally, we derive the optimal trading strategy of an investor. The optimal
expected logarithmic utility of terminal wealth, the value function, is a
functional of the conditional covariance matrices. Hence, our analysis of the
covariance matrices allows us to deduce properties of the value function.
Identifying differences in the rules of interaction between individuals in moving animal groups
Date: 2016-01-28 00:00:00
Tasks: Position

Collective movement can be achieved when individuals respond to the local
movements and positions of their neighbours. Some individuals may
disproportionately influence group movement if they occupy particular spatial
positions in the group, for example, positions at the front of the group. We
asked, therefore, what led individuals in moving pairs of fish (Gambusia
holbrooki) to occupy a position in front of their partner. Individuals adjusted
their speed and direction differently in response to their partner's position,
resulting in individuals occupying different positions in the group.
Individuals that were found most often at the front of the pair had greater
mean changes in speed than their partner, and were less likely to turn towards
their partner, compared to those individuals most often found at the back of
the pair. The pair moved faster when led by the individual that was usually at
the front. Our results highlight how differences in the social responsiveness
between individuals can give rise to leadership in free moving groups. They
also demonstrate how the movement characteristics of groups depend on the
spatial configuration of individuals within them.
Strains differences in the collective behaviour of zebrafish (Danio rerio) in heterogeneous environment
Date: 2016-06-27 00:00:00

Recent studies show differences in individual motion and shoaling tendency
between strains of the same species. Here, we analyse the collective motion and
the response to visual stimuli in two morphologically different strains (TL and
AB) of zebrafish. For both strains, we observe 10 groups of 5 and 10 zebrafish
swimming freely in a large experimental tank with two identical attractive
landmarks (cylinders or disks) for one hour. We track the positions of the fish
by an automated tracking method and compute several metrics at the group level.
First, the probability of presence shows that both strains avoid free space and
are more likely to swim in the vicinity of the walls of the tank and the
attractive landmarks. Second, the analysis of landmarks occupancy shows that AB
zebrafish are more present in their vicinity than TL zebrafish and that both
strains regularly transit from one landmark to the other with no preference on
the long duration. Finally, TL zebrafish show a higher cohesion than AB
zebrafish. Thus, landmarks and duration of the repicates allow to reveal
collective behavioural variabilities among different strains of zebrafish.
These results provide a new insight into the need to take into account
individual variability of zebrafish strains for studying collective behaviour.
A Simple extension of Dematerialization Theory: Incorporation of Technical Progress and the Rebound Effect
Date: 2016-01-30 00:00:00

Dematerialization is the reduction in the quantity of materials needed to
produce something useful over time. Dematerialization fundamentally derives
from ongoing increases in technical performance but it can be counteracted by
demand rebound - increases in usage because of increased value (or decreased
cost) that also results from increasing technical performance. A major question
then is to what extent technological performance improvement can offset and is
offsetting continuously increasing economic consumption. This paper contributes
to answering this question by offering some simple quantitative extensions to
the theory of dematerialization. The paper then empirically examines the
materials consumption trends as well as cost trends for a large set of
materials and a few modern artifacts over the past decades. In each of 57 cases
examined, the particular combinations of demand elasticity and technical
performance rate improvement are not consistent with dematerialization.
Overall, the theory extension and empirical examination indicate that there is
no dematerialization occurring even for cases of information technology with
rapid technical progress. Thus, a fully passive policy stance that relies on
unfettered technological change is not supported by our results.
CoCos under short-term uncertainty
Date: 2016-01-30 00:00:00

In this paper we analyze an extension of the Jeanblanc and Valchev (2005)
model by considering a short-term uncertainty model with two noises. It is a
combination of the ideas of Duffie and Lando (2001) and Jeanblanc and Valchev
(2005): share quotations of the firm are available at the financial market, and
these can be seen as noisy information about the fundamental value, or the
firm's asset, from which a low level produces the credit event. We assume there
are also reports of the firm, release times, where this short-term uncertainty
disappears. This credit event model is used to describe conversion and default
in a CoCo bond.
Market correlation structure changes around the Great Crash
Date: 2016-01-30 00:00:00

We perform a comparative analysis of the Chinese stock market around the
occurrence of the 2008 crisis based on the random matrix analysis of
high-frequency stock returns of 1228 stocks listed on the Shanghai and Shenzhen
stock exchanges. Both raw correlation matrix and partial correlation matrix
with respect to the market index in two time periods of one year are
investigated. We find that the Chinese stocks have stronger average correlation
and partial correlation in 2008 than in 2007 and the average partial
correlation is significantly weaker than the average correlation in each
period. Accordingly, the largest eigenvalue of the correlation matrix is
remarkably greater than that of the partial correlation matrix in each period.
Moreover, each largest eigenvalue and its eigenvector reflect an evident market
effect, while other deviating eigenvalues do not. We find no evidence that
deviating eigenvalues contain industrial sectorial information. Surprisingly,
the eigenvectors of the second largest eigenvalues in 2007 and of the third
largest eigenvalues in 2008 are able to distinguish the stocks from the two
exchanges. We also find that the component magnitudes of the some largest
eigenvectors are proportional to the stocks' capitalizations.
Model-Free Discretisation-Invariant Swap Contracts
Date: 2016-04-11 00:00:00
Tasks: model, Numerical Integration

Realised pay-offs for discretisation-invariant swaps are those which satisfy
a restricted `aggregation property' of Neuberger [2012] for twice continuously
differentiable deterministic functions of a multivariate martingale. They are
initially characterised as solutions to a second-order system of PDEs, then
those pay-offs based on martingale and log-martingale processes alone form a
vector space. Hence there exist an infinite variety of other variance and
higher-moment risk premia that are less prone to bias than standard variance
swaps because their option replication portfolios have no discrete-monitoring
or jump errors. Their fair values are also independent of the monitoring
partition. A sub-class consists of pay-offs with fair values that are further
free from numerical integration errors over option strikes. Here exact pricing
and hedging is possible via dynamic trading strategies on a few vanilla puts
and calls. An S&P 500 empirical study on higher-moment and other DI swaps
concludes.
Do we have privacy in the digital world?
Authors: Bakhtiyari Kaveh
Date: 2017-01-26 00:00:00

Not really.
Placebo Response is Driven by UCS Revaluation: Evidence, Neurophysiological Consequences and a Quantitative Model
Date: 2016-01-31 00:00:00

Despite growing scientific interest in the placebo effect and increasing
understanding of neurobiological mechanisms, theoretical modeling of the
placebo response remains poorly developed. The most extensively accepted
theories are expectation and conditioning, involving both conscious and
unconscious information processing. However, it is not completely understood
how these mechanisms can shape the placebo response. We focus here on neural
processes which can account for key properties of the response to substance
intake. It is shown that placebo response can be conceptualized as a reaction
of a distributed neural system within the central nervous system. Such a
reaction represents an integrated component of the response to open substance
administration (or to substance intake) and is updated through "unconditioned
stimulus (UCS) revaluation" learning. The analysis leads to a theorem, which
proves the existence of two distinct quantities coded within the brain, these
are the expected or prediction outcome and the reactive response. We show that
the reactive response is updated automatically by implicit revaluation lerning,
while the expected outcome can also be modulated through conscious information
processing. Conceptualizing the response to substance intake in terms of UCS
revaluation learning leads to the theoretical formulation of a potential
neuropharmacological treatment for increasing unlimitedly the effectiveness of
a given drug.
Role of epistasis on the fixation probability of a non-mutator in an adapted asexual population
Date: 2016-09-19 00:00:00

The mutation rate of a well adapted population is prone to reduction so as to
have a lower mutational load. We aim to understand the role of epistatic
interactions between the fitness affecting mutations in this process. Using a
multitype branching process, the fixation probability of a single non-mutator
emerging in a large asexual mutator population is analytically calculated here.
The mutator population undergoes deleterious mutations at constant, but at a
much higher rate than that of the non-mutator. We find that antagonistic
epistasis lowers the chances of mutation rate reduction, while synergistic
epistasis enhances it. Below a critical value of epistasis, the fixation
probability behaves non-monotonically with variation in mutation rate of the
background population. Moreover, the variation of this critical value of the
epistasis parameter with the strength of the mutator is discussed in the
Appendix. For synergistic epistasis, when selection is varied, the fixation
probability reduces overall, with damped oscillations.