pwc-archive/papers-with-abstracts huggingface dataset:
Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model
Date: 2015-04-30 00:00:00
Tasks: Form

Most of the empirical studies on stochastic volatility dynamics favor the 3/2
specification over the square-root (CIR) process in the Heston model. In the
context of option pricing, the 3/2 stochastic volatility model is reported to
be able to capture the volatility skew evolution better than the Heston model.
In this article, we make a thorough investigation on the analytic tractability
of the 3/2 stochastic volatility model by proposing a closed-form formula for
the partial transform of the triple joint transition density $(X,I,V)$ which
stand for the log asset price, the quadratic variation (continuous realized
variance) and the instantaneous variance, respectively. Two distinct
formulations are provided for deriving the main result. The closed-form partial
transform enables us to deduce a variety of marginal partial transforms and
characteristic functions and plays a crucial role in pricing discretely sampled
variance derivatives and exotic options that depend on both the asset price and
quadratic variation. Various applications and numerical examples on pricing
exotic derivatives with discrete monitoring feature are given to demonstrate
the versatility of the partial transform under the 3/2 model.
Evaluation of recommender systems in streaming environments
Authors: Vinagre João, Jorge Alípio Mário, Gama João
Date: 2015-04-30 00:00:00
Tasks: Recommendation Systems

Evaluation of recommender systems is typically done with finite datasets.
This means that conventional evaluation methodologies are only applicable in
offline experiments, where data and models are stationary. However, in real
world systems, user feedback is continuously generated, at unpredictable rates.
Given this setting, one important issue is how to evaluate algorithms in such a
streaming data environment. In this paper we propose a prequential evaluation
protocol for recommender systems, suitable for streaming data environments, but
also applicable in stationary settings. Using this protocol we are able to
monitor the evolution of algorithms' accuracy over time. Furthermore, we are
able to perform reliable comparative assessments of algorithms by computing
significance tests over a sliding window. We argue that besides being suitable
for streaming data, prequential evaluation allows the detection of phenomena
that would otherwise remain unnoticed in the evaluation of both offline and
online recommender systems.
Can Passenger's Active Head Tilt Decrease The Severity of Carsickness? - Effect of Head Tilt on Severity of Motion Sickness in a Lateral Acceleration Environment
Date: 2015-04-30 00:00:00

Objective: We investigated the effect of the passenger head-tilt strategy on
the severity of carsickness in lateral acceleration situations in automobiles.
Background: It is well known that the driver is generally less susceptible to
carsickness than are the passengers. However, it is also known that the driver
tilts his or her head toward the curve center when negotiating a curve, whereas
the passenger's head moves in the opposite direction. Therefore, we
hypothesized that the head-tilt strategy has the effect of reducing the
severity of carsickness. Method: A passenger car was driven on a quasi-oval
track with a pylon slalom while the participant sat in the navigator seat. The
experiment was terminated when either the participant felt the initial symptoms
of motion sickness or the car finished 20 laps. In the natural head-tilt
condition, the participants were instructed to sit naturally, to relax, and not
to oppose the lateral acceleration intentionally. In the active head-tilt
condition, the participants were asked to tilt their heads against the
centrifugal acceleration, thus imitating the driver's head tilt. Results: The
number of laps achieved in the active condition was significantly greater than
that in the natural condition. In addition, the subjective ratings of motion
sickness and symptoms in the active condition were significantly lower than
those in the natural condition. Conclusion: We suggest that an active head tilt
against centrifugal acceleration reduces the severity of motion sickness.
Application: Potential applications of this study include development of a
methodology to reduce carsickness.
Reply to Saint-Antonin: Low-oxygen-tolerant animals predate oceanic anoxic events
Date: 2015-04-30 00:00:00

It is has been assumed for over half a century that the earliest animals were
obligate aerobes with relatively high oxygen requirements. However, the
conserved biochemistry and widespread phylogenetic distribution of anaerobic
energy metabolism in animals suggests a deep ancestral possession of the genes
and enzymes necessary for a facultative anaerobic lifestyle. Additionally,
non-bilaterian bodyplans are not expected to require particularly high
environmental oxygen levels. This is consistent with experimental evidence
demonstrating the low-oxygen tolerance of the sponge Halichondria panicea.
While it is conceivable that low-oxygen-adapted animals evolved only sometime
during the past 541 million years, perhaps in response to oceanic anoxic
events, they most reasonably date back to the first animals themselves, as the
last common ancestor of animals likely emerged in a relatively low-oxygen
world, possessed the genetic means for anaerobiosis, and exhibited a bodyplan
conducive to aerobic growth under oxygen levels less than 4% of modern
atmospheric saturation.
Cooperative Intergroup Mating Can Overcome Ethnocentrism in Diverse Populations
Date: 2015-04-30 00:00:00
Tasks: Diversity

Ethnocentrism is a behavioral strategy seen on every scale of social
interaction. Game-theory models demonstrate that evolution selects
ethnocentrism because it boosts cooperation, which increases reproductive
fitness. However, some believe that interethnic unions have the potential to
foster universal cooperation and overcome in-group biases in humans. Here, we
use agent-based computer simulations to test this hypothesis. Cooperative
intergroup mating does lend an advantage to a universal cooperation strategy
when the cost/benefit ratio of cooperation is low and local population
diversity is high.
New copulas based on general partitions-of-unity and their applications to risk management
Date: 2019-01-18 00:00:00
Tasks: Management, Unity

We construct new multivariate copulas on the basis of a generalized infinite
partition-of-unity approach. This approach allows - in contrast to finite
partition-of-unity copulas - for tail-dependence as well as for asymmetry. A
possibility of fitting such copulas to real data from quantitative risk
management is also pointed out.
pH/$T$ duality - wall properties and time evolution of plant cells
Date: 2017-07-27 00:00:00
Tasks: STS

We examined the pH/$T$ (or $\mu$/$T$) duality of acidic pH and temperature
($T$) for the growth of grass shoots in order to determine the equation of
state (EoS) for living plants. By considering non-meristematic growth as a
dynamic series of 'state transitions' (STs) in the extending primary wall, we
identified the critical (read: optimum) exponents for this phenomenon, which
exhibit a singular behaviour at a critical temperature, critical pH and
critical chemical potential ($\mu$) in the form of four power laws:
$F(\tau)_\pi\propto|\tau|^{\beta-1}$, $F(\pi)_\tau\propto|\pi|^{1-\alpha}$,
$G(\tau)_\mu\propto|\tau|^{-2-\alpha+2\beta}$ and
$G(\mu)_\tau\propto|\mu|^{2-\alpha}$. The power-law exponents $\alpha$ and
$\beta$ are numbers, which are independent of pH (or $\mu$) and $T$ that are
known as critical exponents, while $\pi$ and $\tau$ represent a reduced pH and
reduced temperature, respectively. Various 'scaling' predictions were obtained
- a convexity relation $\alpha + \beta \ge 2$ for practical pH-based analysis
and a $\beta \equiv 2$ identity in microscopic representation. In the presented
scenario, the magnitude that is decisive is the chemical potential of H$^+$
ions (protons), enforcing subsequent STs and growth. The EoS span areas of the
biological, physical, chemical and Earth sciences cross the borders with the
language (adapted formalism) of phase transitions.
Only T3-AI can reach human-level intelligence: A variety argument
Date: 2015-07-16 00:00:00

The recently introduced theory of practopoiesis offers an account on how
adaptive intelligent systems are organized. According to that theory biological
agents adapt at three levels of organization and this structure applies also to
our brains. This is referred to as tri-traversal theory of the organization of
mind or for short, a T3-structure. To implement a similar T3-organization in an
artificially intelligent agent, it is necessary to have multiple policies, as
usually used as a concept in the theory of reinforcement learning. These
policies have to form a hierarchy. We define adaptive practopoietic systems in
terms of hierarchy of policies and calculate whether the total variety of
behavior required by real-life conditions of an adult human can be
satisfactorily accounted for by a traditional approach to artificial
intelligence based on T2-agents, or whether a T3-agent is needed instead. We
conclude that the complexity of real life can be dealt with appropriately only
by a T3-agent.
Inference on the Sharpe ratio via the upsilon distribution
Authors: Steven E. Pav
Date: 2015-05-04 00:00:00
Tasks: Prediction Intervals

The upsilon distribution, the sum of independent chi random variates and a normal, is introduced. As a special case, the upsilon distribution includes Lecoutre's lambda-prime distribution. The upsilon distribution finds application in Frequentist inference on the Sharpe ratio, including hypothesis tests on independent samples, confidence intervals, and prediction intervals, as well as their Bayesian counterparts. These tests are extended to the case of factor models of returns.
Modeling of protein-peptide interactions using the CABS-dock web server for binding site search and flexible docking
Date: 2015-07-28 00:00:00

Protein-peptide interactions play essential functional roles in living
organisms and their structural characterization is a hot subject of current
experimental and theoretical research. Computational modeling of the structure
of protein-peptide interactions is usually divided into two stages: prediction
of the binding site at a protein receptor surface, and then docking (and
modeling) the peptide structure into the known binding site. This paper
presents a comprehensive CABS-dock method for the simultaneous search of
binding sites and flexible protein-peptide docking, available as a users
friendly web server. We present example CABS-dock results obtained in the
default CABS-dock mode and using its advanced options that enable the user to
increase the range of flexibility for chosen receptor fragments or to exclude
user-selected binding modes from docking search. Furthermore, we demonstrate a
strategy to improve CABS-dock performance by assessing the quality of models
with classical molecular dynamics. Finally, we discuss the promising extensions
and applications of the CABS-dock method and provide a tutorial appendix for
the convenient analysis and visualization of CABS-dock results. The CABS-dock
web server is freely available at http://biocomp.chem.uw.edu.pl/CABSdock/
An Automatable Analytical Algorithm for Structure-Based Protein Functional Annotation via Detection of Specific Ligand 3D Binding Sites: Application to ATP (ser/thr Protein Kinases) and GTP (Small Ras-type G-Proteins) Binding Sites
Date: 2015-01-19 00:00:00
Tasks: Specificity

We have developed an analytical, ligand-specific and scalable algorithm that
detects a "signature" of the 3D binding site of a given ligand in a protein 3D
structure. The said signature is a 3D motif in the form of an irregular
tetrahedron whose vertices represent the backbone or side-chain centroids of
the amino acid residues at the binding site that physically interact with the
bound ligand atoms. The motif is determined from a set of solved training
structures, all of which bind the ligand. Just as alignment of linear amino
acid sequences enables one to determine consensus sequences in proteins, the
present method allows the determination of three-dimensional consensus
structures or "motifs" in folded proteins. Although such is accomplished by the
present method not by alignment of 3D protein structures or parts thereof
(e.g., alignment of ligand atoms from different structures) but by
nearest-neighbor analysis of ligand atoms in protein-bound forms, the same
effect, and thus the same goal, is achieved. We have applied our method to the
prediction of GTP- and ATP-binding protein families, namely, the small Ras-type
G-protein and ser/thr protein kinase families. Validation tests reveal that the
specificity of our method is nearly 100% for both protein families, and a
sensitivity of greater than 60% for the ser/thr protein kinase family and
approx. 93% for the small, Ras-type G-protein family. Further tests reveal that
our algorithm can distinguish effectively between GTP and GTP-like ligands, and
between ATP- and ATP-like ligands. The method was applied to a set of predicted
(by 123D threading) protein structures from the slime mold (D. dictyostelium)
proteome, with promising results.
Structure-Based Function Prediction of Functionally Unannotated Structures in the PDB: Prediction of ATP, GTP, Sialic Acid, Retinoic Acid and Heme-bound and -Unbound (Free) Nitric Oxide Protein Binding Sites
Date: 2015-02-28 00:00:00
Tasks: Specificity

Due to increased activity in high-throughput structural genomics efforts
around the globe, there has been an accumulation of experimental protein 3D
structures lacking functional annotation, thus creating a need for
structure-based protein function assignment methods. Computational prediction
of ligand binding sites (LBS) is a well-established protein function assignment
method. Here we apply the specific LBS detection algorithm we recently
described (Reyes, V.M. & Sheth, V.N., 2011; Reyes, V.M., 2015a) to some 801
functionally unannotated experimental structures in the Protein Data Bank by
screening for the binding sites (BS) of 6 biologically important ligands: GTP
in small Ras-type G-proteins, ATP in ser/thr protein kinases, sialic acid
(SIA), retinoic acid (REA), and heme-bound and unbound (free) nitric oxide
(hNO, fNO). Validation of the algorithm for the GTP- and ATP-binding sites has
been previously described in detail (ibid.); here, validation for the BSs of
the 4 other ligands shows both good specificity and sensitivity. Of the 801
structures screened, 8 tested positive for GTP binding, 61 for ATP binding, 35
for SIA binding, 132 for REA binding, 33 for hNO binding, and 10 for fNO
binding. Using the cutting plane and tangent sphere methods we described
previously, (Reyes, V.M., 2015b), we also determined the depth of burial of the
LBSs detected above and compared the values with those from the respective
training structures, and the degree of similarity between the two values taken
as a further validation of the predicted LBSs. Applying this criterion, we were
able to narrow down the predicted GTP-binding proteins to 2, the ATP-binding
proteins to 13, the SIA-binding proteins to 2, the REA-binding proteins to 14,
the hNO-binding proteins to 4, and the fNO-binding proteins to 1. We believe
this further criterion increases the confidence level of our LBS predictions.
A Global and Local Structure-Based Method for Predicting Binary Protein-Protein Interaction Partners: Proof of Principle and Feasibility
Date: 2015-03-24 00:00:00
Tasks: Specificity

We report a 3D structure-based method of predicting protein-protein
interaction partners. It involves screening for pairs of tetrahedra
representing interacting amino acids at the interface of the protein-protein
complex, with one tetrahedron on each protomer. H-bonds and VDW interactions at
their interface are first determined and then interacting tetrahedral motifs
(one from each protomer) representing backbone or side chain centroids of the
interacting amino acids, are then built. The method requires that the protein
protomers be transformed first into double-centroid reduced representation
(Reyes, V.M. & Sheth, V.N., 2011; Reyes, V.M., 2015a). The method is applied to
a set of 801 protein structures in the PDB with unknown functions, which were
screened for pairs of tetrahedral motifs characteristic of nine binary
complexes, namely: (1.) RAP-Gmppnp-cRAF1 Ras-binding domain; (2.) RHOA-protein
kinase PKN/PRK1 effector domain; (3.) RAC-HOGD1; (4.) RAC-P67PHOX; (5.)
kinase-associated phosphatase (KAP)-phosphoCDK2; (6.) Ig Fc-protein A fragment
B; (7.) Ig light chain dimers; (8.) beta catenin-HTCF-4; and (9.) IL-2
homodimers. Our search method found 33, 297, 62, 63, 120, 0, 108, 16 and 504
putative complexes, respectively. After considering the degree of interface
overlap between the protomers, these numbers were significantly trimmed down to
4, 2, 1, 8, 3, 0, 1, 1 and 1, respectively. Negative and positive control
experiments indicate that the screening process has acceptable specificity and
sensitivity. The results were further validated by applying the CP and TS
methods (Reyes, V.M., 2015b) for the quantitative determination of interface
burial and inter-protomer overlap in the complex. Our method is simple, fast
and scalable, and once the partner interface 3D SMs are identified, they can be
used to computationally dock the two protomers together to form the complex.
Growing the Digital Repository of Mathematical Formulae with Generic LaTeX Sources
Authors: Cohl Howard S., Schubotz Moritz, McClain Marjorie A., Saunders Bonita V., Zou Cherry Y., Mohammed Azeem S., Danoff Alex A.
Date: 2015-05-11 00:00:00

One initial goal for the DRMF is to seed our digital compendium with
fundamental orthogonal polynomial formulae. We had used the data from the NIST
Digital Library of Mathematical Functions (DLMF) as initial seed for our DRMF
project. The DLMF input LaTeX source already contains some semantic information
encoded using a highly customized set of semantic LaTeX macros. Those macros
could be converted to content MathML using LaTeXML. During that conversion the
semantics were translated to an implicit DLMF content dictionary. This year, we
have developed a semantic enrichment process whose goal is to infer semantic
information from generic LaTeX sources. The generated context-free semantic
information is used to build DRMF formula home pages for each individual
formula. We demonstrate this process using selected chapters from the book
"Hypergeometric Orthogonal Polynomials and their $q$-Analogues" (2010) by
Koekoek, Lesky and Swarttouw (KLS) as well as an actively maintained addendum
to this book by Koornwinder (KLSadd). The generic input KLS and KLSadd LaTeX
sources describe the printed representation of the formulae, but does not
contain explicit semantic information. See http://drmf.wmflabs.org.
Taylor's power law: before and after 50 years of scientific scrutiny
Date: 2016-04-16 00:00:00

Taylor's power law is one of the mostly widely known empirical patterns in
ecology discovered in the 20th century. It states that the variance of species
population density scales as a power-law function of the mean population
density. Taylor's power law was named after the British ecologist Lionel Roy
Taylor. During the past half-century, Taylor's power law was confirmed for
thousands of biological species and even for non-biological quantities.
Numerous theories and models have been proposed to explain the mechanisms of
Taylor's power law. However an understanding of the historical origin of this
ubiquitous scaling pattern is lacking. This work reviews two research aspects
that are fundamental to the discovery of Taylor's power law and provides an
outlook of its future studies.
Improved Algorithms for Computing Worst Value-at-Risk: Numerical Challenges and the Adaptive Rearrangement Algorithm
Date: 2015-12-25 00:00:00

Numerical challenges inherent in algorithms for computing worst Value-at-Risk
in homogeneous portfolios are identified and solutions as well as words of
warning concerning their implementation are provided. Furthermore, both
conceptual and computational improvements to the Rearrangement Algorithm for
approximating worst Value-at-Risk for portfolios with arbitrary marginal loss
distributions are given. In particular, a novel Adaptive Rearrangement
Algorithm is introduced and investigated. These algorithms are implemented
using the R package qrmtools.
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion
Date: 2016-08-29 00:00:00

While absence of arbitrage in frictionless financial markets requires price
processes to be semimartingales, non-semimartingales can be used to model
prices in an arbitrage-free way, if proportional transaction costs are taken
into account. In this paper, we show, for a class of price processes which are
not necessarily semimartingales, the existence of an optimal trading strategy
for utility maximisation under transaction costs by establishing the existence
of a so-called shadow price. This is a semimartingale price process, taking
values in the bid ask spread, such that frictionless trading for that price
process leads to the same optimal strategy and utility as the original problem
under transaction costs. Our results combine arguments from convex duality with
the stickiness condition introduced by P. Guasoni. They apply in particular to
exponential utility and geometric fractional Brownian motion. In this case, the
shadow price is an Ito process. As a consequence we obtain a rather surprising
result on the pathwise behaviour of fractional Brownian motion: the
trajectories may touch an Ito process in a one-sided manner without reflection.
An explicit solution for optimal investment in Heston model
Date: 2015-05-27 00:00:00

In this paper we consider a variation of the Merton's problem with added
stochastic volatility and finite time horizon. It is known that the
corresponding optimal control problem may be reduced to a linear parabolic
boundary problem under some assumptions on the underlying process and the
utility function. The resulting parabolic PDE is often quite difficult to
solve, even when it is linear. The present paper contributes to the pool of
explicit solutions for stochastic optimal control problems. Our main result is
the exact solution for optimal investment in Heston model.
Landauer in the age of synthetic biology: energy consumption and information processing in biochemical networks
Date: 2015-05-11 00:00:00
Tasks: Specificity

A central goal of synthetic biology is to design sophisticated synthetic
cellular circuits that can perform complex computations and information
processing tasks in response to specific inputs. The tremendous advances in our
ability to understand and manipulate cellular information processing networks
raises several fundamental physics questions: How do the molecular components
of cellular circuits exploit energy consumption to improve information
processing? Can one utilize ideas from thermodynamics to improve the design of
synthetic cellular circuits and modules? Here, we summarize recent theoretical
work addressing these questions. Energy consumption in cellular circuits serves
five basic purposes: (1) increasing specificity, (2) manipulating dynamics, (3)
reducing variability, (4) amplifying signal, and (5) erasing memory. We
demonstrate these ideas using several simple examples and discuss the
implications of these theoretical ideas for the emerging field of synthetic
biology. We conclude by discussing how it may be possible to overcome these
limitations using "post-translational" synthetic biology that exploits
reversible protein modification.