pwc-archive/papers-with-abstracts huggingface dataset:
Pricing of Warrants with Stock Price Dependent Threshold Conditions
Date: 2015-03-17 00:00:00

Warrants with stock price dependent threshold conditions give the right to
buy specially issued stocks, if the performance of the stock price satisfies
some requirements. Existence of these derivatives changes the price process of
the underlying. We show that in the presence of such warrants one cannot assume
that the stock market is arbitrage free and that the stock is tradeable at
every time moment with the same price for buying and selling. This means that
the usual methods for deriving fair prices for such warrants cannot be used. We
start from a simple model for the firm's value process and discuss some ways to
specify a related model for the stock price process in the presence of warrants
with threshold conditions. We also discuss how indifference pricing approach
can be used for pricing such warrants.
Ensuring successful introduction of Wolbachia in natural populations of Aedes aegypti by means of feedback control
Date: 2015-03-17 00:00:00

The control of the spread of dengue fever by introduction of the
intracellular parasitic bacterium Wolbachia in populations of the vector Aedes
aegypti, is presently one of the most promising tools for eliminating dengue,
in the absence of an efficient vaccine. The success of this operation requires
locally careful planning to determine the adequate number of individuals
carrying the Wolbachia parasite that need to be introduced into the natural
population. The introduced mosquitoes are expected to eventually replace the
Wolbachia-free population and guarantee permanent protection against the
transmission of dengue to human.
  In this study, we propose and analyze a model describing the fundamental
aspects of the competition between mosquitoes carrying Wolbachia and mosquitoes
free of the parasite. We then use feedback control techniques to devise an
introduction protocol which is proved to guarantee that the population
converges to a stable equilibrium where the totality of mosquitoes carry
Wolbachia.
Re-visiting the Distance Coefficient in Gravity Model
Date: 2015-03-22 00:00:00
Tasks: model

This paper revisits the classic gravity model in international trade and
reexamines the distance coefficient. As pointed out by Frankel (1997), this
coefficient measures the relative unit transportation cost between short
distance and long distance rather than the absolute level of average
transportation cost. Our results confirm this point in the sense that the
coefficient has been very stable between 1991-2006, despite the obvious
technological progress taken place during this period. Moreover, by comparing
the sensitivity of these coefficients to change in oil prices at short periods
of time, in which technology remained unchanged, we conclude that the average
technology has indeed reduced the average trading cost. The results are robust
when we divide the aggregate international trades into different industries.
Generalized Hultman Numbers and Cycle Structures of Breakpoint Graphs
Date: 2017-02-11 00:00:00

Genome rearrangements can be modeled as $k$-breaks, which break a genome at k
positions and glue the resulting fragments in a new order. In particular,
reversals, translocations, fusions, and fissions are modeled as $2$-breaks, and
transpositions are modeled as $3$-breaks. While $k$-break rearrangements for
$k>3$ have not been observed in evolution, they are used in cancer genomics to
model chromothripsis, a catastrophic event of multiple breakages happening
simultaneously in a genome. It is known that the $k$-break distance between two
genomes (i.e., the minimum number of $k$-breaks required to transform one
genome into the other) can be computed in terms of cycle lengths in the
breakpoint graph of these genomes.
  In the current work, we address the combinatorial problem of enumerating
genomes at a given $k$-break distance from a fixed unichromosomal genome. More
generally, we enumerate genome pairs, whose breakpoint graph has a given
distribution of cycle lengths. We further show how our enumeration can be used
for uniform sampling of random genomes at a given $k$-break distance, and
describe its connection to various combinatorial objects such as Bell
polynomials.
Assessing the robustness of parsimonious predictions for gene neighborhoods from reconciled phylogenies
Date: 2015-03-19 00:00:00

The availability of a large number of assembled genomes opens the way to
study the evolution of syntenic character within a phylogenetic context. The
DeCo algorithm, recently introduced by B{\'e}rard et al. allows the computation
of parsimonious evolutionary scenarios for gene adjacencies, from pairs of
reconciled gene trees. Following the approach pioneered by Sturmfels and
Pachter, we describe how to modify the DeCo dynamic programming algorithm to
identify classes of cost schemes that generates similar parsimonious
evolutionary scenarios for gene adjacencies, as well as the robustness to
changes to the cost scheme of evolutionary events of the presence or absence of
specific ancestral gene adjacencies. We apply our method to six thousands
mammalian gene families, and show that computing the robustness to changes to
cost schemes provides new and interesting insights on the evolution of gene
adjacencies and the DeCo model.
Structuring of counterions around dna double helix: a molecular dynamics study
Date: 2015-03-18 00:00:00

Structuring of DNA counterions around the double helix has been studied by
the molecular dynamics method. A DNA dodecamer d(CGCGAATTCGCG) in water
solution with the alkali metal counterions Na$^{+}$, K$^{+}$, and Cs$^{+}$ has
been simulated. The systems have been considered in the regimes without excess
salt and with different salts (0.5 M of NaCl, KCl or CsCl) added. The results
have showed that the Na$^{+}$ counterions interact with the phosphate groups
directly from outside of the double helix and via water molecules at the top
edge of DNA minor groove. The potassium ions are mostly localized in the
grooves of the double helix, and the cesium ions penetrate deeply inside the
minor groove being bonded directly to the atoms of nucleic bases. Due to the
electrostatic repulsion the chlorine ions tend to be localized at large
distances from the DNA polyanion, but some Cl$^{-}$ anions have been detected
near atomic groups of the double helix forming electrically neutral pairs with
counterions already condensed on DNA. The DNA sites, where counterions are
incorporated, are characterized by local changes of double helix structure. The
lifetime of Na$^{+}$ and K$^{+}$ in complex with DNA atomic groups is less than
0.5 ns, while in the case of the cesium ions it may reach several nanoseconds.
In this time scale, the Cs$^{+}$ counterions form a structured system of
charges in the DNA minor groove that can be considered as ionic lattice.
ON Integrated Chance Constraints in ALM for Pension Funds
Date: 2015-03-18 00:00:00
Tasks: Management

We discuss the role of integrated chance constraints (ICC) as quantitative
risk constraints in asset and liability management (ALM) for pension funds. We
define two types of ICC: the one period integrated chance constraint (OICC) and
the multiperiod integrated chance constraint (MICC). As their names suggest,
the OICC covers only one period whereas several periods are taken into account
with the MICC. A multistage stochastic linear programming model is therefore
developed for this purpose and a special mention is paid to the modeling of the
MICC.
  Based on a numerical example, we firstly analyse the effects of the OICC and
the MICC on the optimal decisions (asset allocation and contribution rate) of a
pension fund. By definition, the MICC is more restrictive and safer compared to
the OICC. Secondly, we quantify this MICC safety increase. The results show
that although the optimal decisions from the OICC and the MICC differ, the
total costs are very close, showing that the MICC is definitely a better
approach since it is more prudent.
Using genetic data to estimate diffusion rates in heterogeneous landscapes
Date: 2015-03-18 00:00:00
Tasks: Management

Having a precise knowledge of the dispersal ability of a population in a
heterogeneous environment is of critical importance in agroecology and
conservation biology as it can provide management tools to limit the effects of
pests or to increase the survival of endangered species. In this paper, we
propose a mechanistic-statistical method to estimate space-dependent diffusion
parameters of spatially-explicit models based on stochastic differential
equations, using genetic data. Dividing the total population into
subpopulations corresponding to different habitat patches with known allele
frequencies, the expected proportions of individuals from each subpopulation at
each position is computed by solving a system of reaction-diffusion equations.
Modelling the capture and genotyping of the individuals with a statistical
approach, we derive a numerically tractable formula for the likelihood function
associated with the diffusion parameters.
  In a simulated environment made of three types of regions, each associated
with a different diffusion coefficient, we successfully estimate the diffusion
parameters with a maximum-likelihood approach. Although higher genetic
differentiation among subpopulations leads to more accurate estimations, once a
certain level of differentiation has been reached, the finite size of the
genotyped population becomes the limiting factor for accurate estimation.
Almost-sure hedging with permanent price impact
Date: 2015-03-18 00:00:00

We consider a financial model with permanent price impact. Continuous time
trading dynamics are derived as the limit of discrete rebalancing policies. We
then study the problem of super-hedging a European option. Our main result is
the derivation of a quasi-linear pricing equation. It holds in the sense of
viscosity solutions. When it admits a smooth solution, it provides a perfect
hedging strategy.
Petri Net Modeling of the Brain Circuit Involved in Aggressive Behavior
Date: 2015-03-18 00:00:00

The purpose of this work in to demonstrate the initial results of a research
project having as its goal to develop dynamic models of the brain network
involved in aggressive behavior. In this way, the complex neural process
correlated to basic anger emotions and resulting in aggressive behaviors is
purportedly schematized by the use of Petri nets, a work-flow computational
tool. Initially, the modeling technique is introduced taking into account the
most recent and accepted notion of the neural substrates of emotions,
particularly the brain structures involved in the aggression neural network,
including their inputs, outputs, and internal connectivity. In order to
optimally represent these structures, their connections, and temporal dynamics,
the Petri net foundations employed in the simulation theory are defined.
Finally, the model and dynamic simulation of the neural process associated with
aggressive behavior is presented and evaluated as a feasible in silico
experimental support of the Patterned-Process Theory.
Club Convergence of House Prices: Evidence from China's Ten Key Cities
Date: 2015-03-18 00:00:00

The latest global financial tsunami and its follow-up global economic
recession has uncovered the crucial impact of housing markets on financial and
economic systems. The Chinese stock market experienced a markedly fall during
the global financial tsunami and China's economy has also slowed down by about
2\%-3\% when measured in GDP. Nevertheless, the housing markets in diverse
Chinese cities seemed to continue the almost nonstop mania for more than ten
years. However, the structure and dynamics of the Chinese housing market are
less studied. Here we perform an extensive study of the Chinese housing market
by analyzing ten representative key cities based on both linear and nonlinear
econophysical and econometric methods. We identify a common collective driving
force which accounts for 96.5\% of the house price growth, indicating very high
systemic risk in the Chinese housing market. The ten key cities can be
categorized into clubs and the house prices of the cities in the same club
exhibit an evident convergence. These findings from different methods are
basically consistent with each other. The identified city clubs are also
consistent with the conventional classification of city tiers. The house prices
of the first-tier cities grow the fastest, and those of the third- and
fourth-tier cities rise the slowest, which illustrates the possible presence of
a ripple effect in the diffusion of house prices in different cities.
The "Giant Virus Finder" Discovers an Abundance of Giant Viruses in the Antarctic Dry Valleys
Date: 2015-11-24 00:00:00

The first giant virus was identified in 2003 from a biofilm of an industrial
water-cooling tower in England. Later, numerous new giant viruses were found in
oceans and freshwater habitats, some of them having even 2,500 genes. We have
demonstrated their very likely presence in four soil samples taken from the
Kutch Desert (Gujarat, India). Here we describe a bioinformatics work-flow,
called the "Giant Virus Finder" that is capable to discover the very likely
presence of the genomes of giant viruses in metagenomic shotgun-sequenced
datasets. The new tool is applied to numerous hot and cold desert soil samples
as well as some tundra- and forest soils. We show that most of these samples
contain giant viruses, and especially many were found in the Antarctic dry
valleys. The results imply that giant viruses could be frequent not only in
aqueous habitats, but in a wide spectrum of soils on our planet.
Accurate Estimation of Quantitative Trait Locus Effects with Epistatic by Improved Variational Linear Regression
Date: 2015-01-12 00:00:00
Tasks: regression, Variable Selection

Bayesian approaches to variable selection have been widely used for
quantitative trait locus (QTL) mapping. The Markov chain Monte Carlo (MCMC)
algorithms for that aim are often difficult to be implemented for
high-dimensional variable selection problems, such as the ones arising in
epistatic analysis. Variational approximation is an alternative to MCMC, and
variational linear regression (VLR) is an effective solution for the variable
selection problems, but lacks accuracy in some QTL mapping problems where there
are many more variables than samples. In this paper, we propose an effective
method with aim to improve the accuracy of VLR in the case of above by
dynamically reducing components (variable or markers) with known effects (zero
or fixed). We show that the proposed method can greatly improve the accuracy of
VLR with little increase in computational cost. The method is compared with
several other variational methods used for QTL mapping, and simulation results
show that its performance is higher than those methods when applied in
high-dimensional cases.
Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion
Date: 2016-03-10 00:00:00

We show how the prices of options can be determined with the help of
double-fractional differential equation in such a way that their inclusion in a
portfolio of stocks provides a more reliable hedge against dramatic price drops
that the use of options whose prices were fixed by the Black-Scholes formula.
The Open Access Advantage Considering Citation, Article Usage and Social Media Attention
Authors: Wang Xianwen, Liu Chen, Mao Wenli, Fang Zhichao
Date: 2015-03-19 00:00:00
Tasks: Articles

In this study, we compare the difference in the impact between open access
(OA) and non-open access (non-OA) articles. 1761 Nature Communications articles
published from 1 Jan. 2012 to 31 Aug. 2013 are selected as our research
objects, including 587 OA articles and 1174 non-OA articles. Citation data and
daily updated article-level metrics data are harvested directly from the
platform of nature.com. Data is analyzed from the static versus
temporal-dynamic perspectives. The OA citation advantage is confirmed, and the
OA advantage is also applicable when extending the comparing from citation to
article views and social media attention. More important, we find that OA
papers not only have the great advantage of total downloads, but also have the
feature of keeping sustained and steady downloads for a long time. For article
downloads, non-OA papers only have a short period of attention, when the
advantage of OA papers exists for a much longer time.
Memantic: A Medical Knowledge Discovery Engine
Authors: Yavlinsky Alexei
Date: 2015-03-19 00:00:00

We present a system that constructs and maintains an up-to-date co-occurrence
network of medical concepts based on continuously mining the latest biomedical
literature. Users can explore this network visually via a concise online
interface to quickly discover important and novel relationships between medical
entities. This enables users to rapidly gain contextual understanding of their
medical topics of interest, and we believe this constitutes a significant user
experience improvement over contemporary search engines operating in the
biomedical literature domain.
Asymptotic properties of the number of matching coalescent histories for caterpillar-like families of species trees
Date: 2015-03-19 00:00:00

Coalescent histories provide lists of species tree branches on which gene
tree coalescences can take place, and their enumerative properties assist in
understanding the computational complexity of calculations central in the study
of gene trees and species trees. Here, we solve an enumerative problem left
open by Rosenberg (IEEE/ACM Transactions on Computational Biology and
Bioinformatics 10: 1253-1262, 2013) concerning the number of coalescent
histories for gene trees and species trees with a matching labeled topology
that belongs to a generic caterpillar-like family. By bringing a generating
function approach to the study of coalescent histories, we prove that for any
caterpillar-like family with seed tree $t$, the sequence $(h_n)_{n\geq 0}$
describing the number of matching coalescent histories of the $n$th tree of the
family grows asymptotically as a constant multiple of the Catalan numbers.
Thus, $h_n \sim \beta_t c_n$, where the asymptotic constant $\beta_t > 0$
depends on the shape of the seed tree $t$. The result extends a claim
demonstrated only for seed trees with at most 8 taxa to arbitrary seed trees,
expanding the set of cases for which detailed enumerative properties of
coalescent histories can be determined. We introduce a procedure that computes
from $t$ the constant $\beta_t$ as well as the algebraic expression for the
generating function of the sequence $(h_n)_{n\geq 0}$.
Long and short range multi-locus QTL interactions in a complex trait of yeast
Date: 2015-03-19 00:00:00

We analyse interactions of Quantitative Trait Loci (QTL) in heat selected
yeast by comparing them to an unselected pool of random individuals. Here we
re-examine data on individual F12 progeny selected for heat tolerance, which
have been genotyped at 25 locations identified by sequencing a selected pool
[Parts, L., Cubillos, F. A., Warringer, J., Jain, K., Salinas, F., Bumpstead,
S. J., Molin, M., Zia, A., Simpson, J. T., Quail, M. A., Moses, A., Louis, E.
J., Durbin, R., and Liti, G. (2011). Genome research, 21(7), 1131-1138]. 960
individuals were genotyped at these locations and multi-locus genotype
frequencies were compared to 172 sequenced individuals from the original
unselected pool (a control group). Various non-random associations were found
across the genome, both within chromosomes and between chromosomes. Some of the
non-random associations are likely due to retention of linkage disequilibrium
in the F12 population, however many, including the inter-chromosomal
interactions, must be due to genetic interactions in heat tolerance. One region
of particular interest involves 3 linked loci on chromosome IV where the
central variant responsible for heat tolerance is antagonistic, coming from the
heat sensitive parent and the flanking ones are from the more heat tolerant
parent. The 3-locus haplotypes in the selected individuals represent a highly
biased sample of the population haplotypes with rare double recombinants in
high frequency. These were missed in the original analysis and would never be
seen without the multigenerational approach. We show that a statistical
analysis of entropy and information gain in genotypes of a selected population
can reveal further interactions than previously seen. Importantly this must be
done in comparison to the unselected population's genotypes to account for
inherent biases in the original population.
Repeatability of evolution on epistatic landscapes
Date: 2015-03-19 00:00:00
Tasks: Open-Ended Question Answering

Evolution is a dynamic process. The two classical forces of evolution are
mutation and selection. Assuming small mutation rates, evolution can be
predicted based solely on the fitness differences between phenotypes.
Predicting an evolutionary process under varying mutation rates as well as
varying fitness is still an open question. Experimental procedures, however, do
include these complexities along with fluctuating population sizes and
stochastic events such as extinctions. We investigate the mutational path
probabilities of systems having epistatic effects on both fitness and mutation
rates using a theoretical and computational framework. In contrast to previous
models, we do not limit ourselves to the typical strong selection, weak
mutation (SSWM)-regime or to fixed population sizes. Rather we allow epistatic
interactions to also affect mutation rates. This can lead to qualitatively
non-trivial dynamics. Pathways, that are negligible in the SSWM-regime, can
overcome fitness valleys and become accessible. This finding has the potential
to extend the traditional predictions based on the SSWM foundation and bring us
closer to what is observed in experimental systems.
Group size effect on cooperation in one-shot social dilemmas II. Curvilinear effect
Date: 2015-06-30 00:00:00

In a world in which many pressing global issues require large scale
cooperation, understanding the group size effect on cooperative behavior is a
topic of central importance. Yet, the nature of this effect remains largely
unknown, with lab experiments insisting that it is either positive or negative
or null, and field experiments suggesting that it is instead curvilinear. Here
we shed light on this apparent contradiction by considering a novel class of
public goods games inspired to the realistic scenario in which the natural
output limits of the public good imply that the benefit of cooperation
increases fast for early contributions and then decelerates. We report on a
large lab experiment providing evidence that, in this case, group size has a
curvilinear effect on cooperation, according to which intermediate-size groups
cooperate more than smaller groups and more than larger groups. In doing so,
our findings help fill the gap between lab experiments and field experiments
and suggest concrete ways to promote large scale cooperation among people.
Stabilizing synchrony by inhomogeneity
Date: 2015-03-20 00:00:00

We show that for two identical neuronal oscillators with strictly positive
phase resetting curve, isochronous synchrony is an unstable attractor and
arbitrarily weak noise can destroy entrainment and generate intermittent phase
slips. Small inhomogeneity (mismatch in the intrinsic firing rate of the
neurons) can stabilize the phase locking and lead to more precise relative
spike timing of the two neurons. The results can explain how for a class of
neuronal models, including leaky integrate-fire model, inhomogeneity can
increase correlation of spike trains when the neurons are synaptically
connected.