pwc-archive/papers-with-abstracts huggingface dataset:
Understanding the Impacts of Dark Pools on Price Discovery
Date: 2016-12-27 00:00:00

This paper investigates the impact of dark pools on price discovery (the
efficiency of prices on stock exchanges to aggregate information). Assets are
traded in either an exchange or a dark pool, with the dark pool offering better
prices but lower execution rates. Informed traders receive noisy and
heterogeneous signals about an asset's fundamental. We find that informed
traders use dark pools to mitigate their information risk and there is a
sorting effect: in equilibrium, traders with strong signals trade in exchanges,
traders with moderate signals trade in dark pools, and traders with weak
signals do not trade. As a result, dark pools have an amplification effect on
price discovery. That is, when information precision is high (information risk
is low), the majority of informed traders trade in the exchange hence adding a
dark pool enhances price discovery, whereas when information precision is low
(information risk is high), the majority of the informed traders trade in the
dark pool hence adding a dark pool impairs price discovery. The paper
reconciles the conflicting empirical evidence and produces novel empirical
predictions. The paper also provides regulatory suggestions with dark pools on
current equity markets and in emerging markets.
Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures
Date: 2016-12-27 00:00:00

A new model framework called Realized Conditional Autoregressive Expectile
(Realized-CARE) is proposed, through incorporating a measurement equation into
the conventional CARE model, in a manner analogous to the Realized-GARCH model.
Competing realized measures (e.g. Realized Variance and Realized Range) are
employed as the dependent variable in the measurement equation and to drive
expectile dynamics. The measurement equation here models the contemporaneous
dependence between the realized measure and the latent conditional expectile.
We also propose employing the quantile loss function as the target criterion,
instead of the conventional violation rate, during the expectile level grid
search. For the proposed model, the usual search procedure and asymmetric least
squares (ALS) optimization to estimate the expectile level and CARE parameters
proves challenging and often fails to convergence. We incorporate a fast random
walk Metropolis stochastic search method, combined with a more targeted grid
search procedure, to allow reasonably fast and improved accuracy in estimation
of this level and the associated model parameters. Given the convergence issue,
Bayesian adaptive Markov Chain Monte Carlo methods are proposed for estimation,
whilst their properties are assessed and compared with ALS via a simulation
study. In a real forecasting study applied to 7 market indices and 2 individual
asset returns, compared to the original CARE, the parametric GARCH and
Realized-GARCH models, one-day-ahead Value-at-Risk and Expected Shortfall
forecasting results favor the proposed Realized-CARE model, especially when
incorporating the Realized Range and the sub-sampled Realized Range as the
realized measure in the model.
Unravelling Mg$^{2+}$-RNA binding with atomistic molecular dynamics
Date: 2016-12-27 00:00:00

Interaction with divalent cations is of paramount importance for RNA
structural stability and function. We here report a detailed molecular dynamics
study of all the possible binding sites for Mg$^{2+}$ on a RNA duplex,
including both direct (inner sphere) and indirect (outer sphere) binding. In
order to tackle sampling issues, we develop a modified version of bias-exchange
metadynamics which allows us to simultaneously compute affinities with
previously unreported statistical accuracy. Results correctly reproduce trends
observed in crystallographic databases. Based on this, we simulate a carefully
chosen set of models that allows us to quantify the effects of competition with
monovalent cations, RNA flexibility, and RNA hybridization. Our simulations
reproduce the decrease and increase of Mg$^{2+}$ affinity due to ion
competition and hybridization respectively, and predict that RNA flexibility
has a site dependent effect. This suggests a non trivial interplay between RNA
conformational entropy and divalent cation binding.
A Proposal to Extend Expected Utility in a Quantum Probabilistic Framework
Date: 2016-12-27 00:00:00
Tasks: Decision Making, Decision Making Under Uncertainty

Expected utility theory (EUT) is widely used in economic theory. However, its
subjective probability formulation, first elaborated by Savage, is linked to
Ellsberg-like paradoxes and ambiguity aversion. This has led various scholars
to work out non-Bayesian extensions of EUT which cope with its paradoxes and
incorporate attitudes toward ambiguity. A variant of the Ellsberg paradox,
recently proposed by Mark Machina and confirmed experimentally, challenges
existing non-Bayesian models of decision-making under uncertainty. Relying on a
decade of research which has successfully applied the formalism of quantum
theory to model cognitive entities and fallacies of human reasoning, we put
forward a non-Bayesian extension of EUT in which subjective probabilities are
represented by quantum probabilities, while the preference relation between
acts depends on the state of the situation that is the object of the decision.
We show that the benefits of using the quantum theoretical framework enables
the modeling of the Ellsberg and Machina paradoxes, as the representation of
ambiguity and behavioral attitudes toward it. The theoretical framework
presented here is a first step toward the development of a `state-dependent
non-Bayesian extension of EUT' and it has potential applications in economic
modeling.
Speculation and Power Law
Date: 2016-12-27 00:00:00

It is now well established empirically that financial price changes are
distributed according to a power law, with cubic exponent. This is a
fascinating regularity, as it holds for various classes of securities, on
various markets, and on various time scales. The universality of this law
suggests that there must be some basic, general and stable mechanism behind it.
The standard (neoclassical) paradigm implies no such mechanism. Agent-based
models of financial markets, on the other hand, exhibit realistic price
changes, but they involve relatively complicated, and often mathematically
intractable, mechanisms. This paper identifies a simple principle behind the
power law: the feedback intrinsic to the very idea of speculation, namely
buying when one expects a price rise (and selling when one expects a price
fall). By this feedback, price changes follow a random coefficient
autoregressive process, and therefore they have a power law by Kesten theorem.
Flux ratios and channel structures
Date: 2016-12-27 00:00:00
Tasks: Experimental Design

We investigate Ussing's unidirectional fluxes and flux ratios of charged
tracers motivated particularly by the insightful proposal of Hodgkin and Keynes
on a relation between flux ratios and channel structure. Our study is based on
analysis of quasi-one-dimensional Poisson-Nernst-Planck type models for ionic
flows through membrane channels. This class of models includes the Poisson
equation that determines the electrical potential from the charges present and
is in that sense consistent. Ussing's flux ratios generally depend on all
physical parameters involved in ionic flows, particularly, on bulk conditions
and channel structures. Certain setups of ion channel experiments result in
flux ratios that are universal in the sense that their values depend on bulk
conditions but not on channel structures; other setups lead to flux ratios that
are specific in the sense that their values depend on channel structures too.
Universal flux ratios could serve some purposes better than specific flux
ratios in some circumstances and worse in other circumstances. We focus on two
treatments of tracer flux measurements that serve as estimators of important
properties of ion channels. The first estimator determines the flux of the main
ion species from measurements of the flux of its tracer. Our analysis suggests
a better experimental design so that the flux ratio of the tracer flux and the
main ion flux is universal. The second treatment of tracer fluxes concerns
ratios of fluxes and experimental setups that try to determine some properties
of channel structure. We analyze the two widely used experimental designs of
estimating flux ratios and show that the most widely used method depends on the
spatial distribution of permanent charge so this flux ratio is specific and
thus allows estimation of (some of) the properties of that permanent charge,
even with ideal ionic solutions. ...
A Method for Massively Parallel Analysis of Time Series
Date: 2016-12-27 00:00:00
Tasks: Time Series, Time Series Analysis

Quantification of system-wide perturbations from time series -omic data (i.e.
a large number of variables with multiple measures in time) provides the basis
for many downstream hypothesis generating tools. Here we propose a method,
Massively Parallel Analysis of Time Series (MPATS) that can be applied to
quantify transcriptome-wide perturbations. The proposed method characterizes
each individual time series through its $\ell_1$ distance to every other time
series. Application of MPATS to compare biological conditions produces a ranked
list of time series based on their magnitude of differences in their $\ell_1$
representation, which then can be further interpreted through enrichment
analysis. The performance of MPATS was validated through its application to a
study of IFN$\alpha$ dendritic cell responses to viral and bacterial infection.
In conjunction with Gene Set Enrichment Analysis (GSEA), MPATS produced
consistently identified signature gene sets of anti-bacterial and anti-viral
response. Traditional methods such as EDGE and GSEA Time Series (GSEA-TS)
failed to identify the relevant signature gene sets. Furthermore, the results
of MPATS highlighted the crucial functional difference between STAT1/STAT2
during anti-viral and anti-bacterial response. In our simulation study, MPATS
exhibited acceptable performance with small group size (n = 3), when the
appropriate effect size is considered. This method can be easily adopted for
other -omic data types.
Pricing of Asian-type and Basket Options via Upper and Lower Bounds
Date: 2016-12-27 00:00:00

This paper sets out to provide a general framework for the pricing of
average-type options via lower and upper bounds. This class of options includes
Asian, basket and options on the volume-weighted average price. We demonstrate
that in cases under discussion lower bounds allow for the dimensionality of the
problem to be reduced and that these methods provide reasonable approximations
to the price of the option.
  Keywords: Asian options, Basket options, Lower and Upper bounds,
Volume-weighted average prices (VWAP), Levy processes.
Collective behavior of place and non-place neurons in the hippocampal network
Date: 2016-12-28 00:00:00
Tasks: Hippocampus, Position

Discussions of the hippocampus often focus on place cells, but many neurons
are not place cells in any given environment. Here we describe the collective
activity in such mixed populations, treating place and non-place cells on the
same footing. We start with optical imaging experiments on CA1 in mice as they
run along a virtual linear track, and use maximum entropy methods to
approximate the distribution of patterns of activity in the population,
matching the correlations between pairs of cells but otherwise assuming as
little structure as possible. We find that these simple models accurately
predict the activity of each neuron from the state of all the other neurons in
the network, regardless of how well that neuron codes for position. These and
other results suggest that place cells are not a distinct sub-network, but part
of a larger system that encodes, collectively, more than just place
information.
A mechano-chemical feedback underlies co-existence of qualitatively distinct cell polarity patterns within diverse cell populations
Date: 2016-12-28 00:00:00

Cell polarization and directional cell migration can display random,
persistent and oscillatory dynamic patterns. However, it is not clear if these
polarity patterns can be explained by the same underlying regulatory mechanism.
Here, we show that random, persistent and oscillatory migration accompanied by
polarization can simultaneously occur in populations of melanoma cells derived
from tumors with different degrees of aggressiveness. We demonstrate that all
these patterns and the probabilities of their occurrence are quantitatively
accounted for by a simple mechanism involving a spatially distributed,
mechano-chemical feedback coupling the dynamically changing extracellular
matrix (ECM)-cell contacts to the activation of signaling downstream of the
Rho-family small GTPases. This mechanism is supported by a predictive
mathematical model and extensive experimental validation, and can explain
previously reported results for diverse cell types. In melanoma, this mechanism
also accounts for the effects of genetic and environmental perturbations,
including mutations linked to invasive cell spread. The resulting mechanistic
understanding of cell polarity quantitatively captures the relationship between
population variability and phenotypic plasticity, with the potential to account
for a wide variety of cell migration states in diverse pathological and
physiological conditions.
Condensedly: comprehending article contents through condensed texts
Authors: Ke Chao-Hsuan, Lee Tsung-Lu Michael, Chiang Jung-Hsien
Date: 2016-12-29 00:00:00
Tasks: Articles

Summary: Abstracts in biomedical articles can provide a quick overview of the
articles but detailed information cannot be obtained without reading full-text
contents. Full-text articles certainly generate more information and contents;
however, accessing full-text documents is usually time consuming. Condensedly
is a web-based application, which provides readers an easy and efficient way to
access full-text paragraphs using sentences in abstracts as fishing bait to
retrieve the big fish reside in full-text. Condensedly is based on the
paragraph ranking algorithm, which evaluates and ranks full-text paragraphs
based on their association scores with sentences in abstracts.
  Availability: http://140.116.247.185/~research/Condensedly
Population and trends in the global mean temperature
Date: 2016-12-27 00:00:00

The Fisher Ideal index, developed to measure price inflation, is applied to
define a population-weighted temperature trend. This method has the advantages
that the trend is representative for the population distribution throughout the
sample but without conflating the trend in the population distribution and the
trend in the temperature. I show that the trend in the global area-weighted
average surface air temperature is different in key details from the
population-weighted trend. I extend the index to include urbanization and the
urban heat island effect. This substantially changes the trend again. I further
extend the index to include international migration, but this has a minor
impact on the trend.
Global economic dynamics of the forthcoming years. A forecast
Date: 2016-12-29 00:00:00

The paper analyzes the current state of the world economy and offers a
short-term forecast of its development. Our analysis of log-periodic
oscillations in the DJIA dynamics suggests that in the second half of 2017 the
United States and other more developed countries could experience a new
recession, due to the third phase of the global financial crisis. The economies
of developing countries will continue their slowdown due to lower prices of raw
commodities and the increased pressure of dollar debt load. The bottom of the
slowdown in global economic growth is likely to be achieved in 2017-2018. Then
we expect the start of a new acceleration of global economic growth at the
upswing phase of the 6th Kondratieff cycle (2018-2050). A speedy and steady
withdrawal from the third phase of the global financial crisis requires
cooperative action between developed and developing countries within G20 to
stimulate global demand, world trade and a fair solution of the debt problem of
developing countries.
Consequences of Culling in Deterministic ODE Predator-Prey Models
Date: 2017-01-10 00:00:00

We show, within the context of the standard class of deterministic ODE
predator-prey mathematical models, that predator culling does not produce a
long term decrease in the predator population.
Frequency and amplitude dependent population dynamics during cycles of feast and famine
Date: 2018-02-21 00:00:00
Tasks: Cultural Vocal Bursts Intensity Prediction

In nature microbial populations are subject to fluctuating nutrient levels.
Nutrient fluctuations are important for evolutionary and ecological dynamics in
microbial communities since they impact growth rates, population sizes and
biofilm formation. Here we use automated continuous-culture devices and
high-throughput imaging to show that when populations of Escherichia coli are
subjected to cycles of nutrient excess (feasts) and scarcity (famine) their
abundance dynamics during famines depend on the frequency and amplitude of
feasts. We show that frequency and amplitude dependent dynamics in planktonic
populations arise from nutrient and history dependent rates of aggregation and
dispersal. A phenomenological model recapitulates our experimental
observations. Our results show that the statistical properties of environmental
fluctuations have substantial impacts on spatial structure in bacterial
populations driving large changes in abundance dynamics.
The Random Walk behind Volatility Clustering
Date: 2016-12-29 00:00:00
Tasks: Clustering

Financial price changes obey two universal properties: they follow a power
law and they tend to be clustered in time. The second regularity, known as
volatility clustering, entails some predictability in the price changes: while
their sign is uncorrelated in time, their amplitude (or volatility) is
long-range correlated. Many models have been proposed to account for these
regularities, notably agent-based models; but these models often invoke
relatively complicated mechanisms. This paper identifies a basic reason behind
volatility clustering: the impact of exogenous news on expectations. Indeed the
expectations of financial agents clearly vary with the advent of news; the
simplest way of modeling this idea is to assume the expectations follow a
random walk. We show that this random walk implies volatility clustering in a
generic way.
Population dynamics of synthetic Terraformation motifs
Date: 2016-12-30 00:00:00

Ecosystems are complex systems, currently experiencing several threats
associated with global warming, intensive exploitation, and human-driven
habitat degradation. Such threats are pushing ecosystems to the brink of
collapse. Because of a general presence of multiple stable states, including
states involving population extinction, and due to intrinsic nonlinearities
associated with feedback loops, collapse can occur in a catastrophic manner.
Such catastrophic shifts have been suggested to pervade many of the future
transitions affecting ecosystems at many different scales. Many studies have
tried to delineate potential warning signals predicting such ongoing shifts but
little is known about how such transitions might be effectively prevented. It
has been recently suggested that a potential path to prevent or modify the
outcome of these transitions would involve designing synthetic organisms and
synthetic ecological interactions that could push these endangered systems out
of the critical boundaries. Four classes of such ecological engineering designs
or {\em Terraformation motifs} have been defined in a qualitative way. Here we
develop the simplest mathematical models associated with these motifs, defining
the expected stability conditions and domains where the motifs shall properly
work.
Selection originating from protein stability/foldability: Relationships between protein folding free energy, sequence ensemble, and fitness
Authors: Sanzo Miyazawa
Date: 2016-12-30 00:00:00
Tasks: Protein Folding

Assuming that mutation and fixation processes are reversible Markov processes, we prove that the equilibrium ensemble of sequences obeys a Boltzmann distribution with $\exp(4N_e m(1 - 1/(2N)))$, where $m$ is Malthusian fitness and $N_e$ and $N$ are effective and actual population sizes. On the other hand, the probability distribution of sequences with maximum entropy that satisfies a given amino acid composition at each site and a given pairwise amino acid frequency at each site pair is a Boltzmann distribution with $\exp(-\psi_N)$, where $\psi_N$ is represented as the sum of one body and pairwise potentials. A protein folding theory indicates that homologous sequences obey a canonical ensemble characterized by $\exp(-\Delta G_{ND}/k_B T_s)$ or by $\exp(- G_{N}/k_B T_s)$ if an amino acid composition is kept constant, where $\Delta G_{ND} \equiv G_N - G_D$, $G_N$ and $G_D$ are the native and denatured free energies, and $T_s$ is selective temperature. Thus, $4N_e m (1 - 1/(2N))$, $-\Delta \psi_{ND}$, and $-\Delta G_{ND}/k_B T_s$ must be equivalent to each other. Based on the analysis of the changes ($\Delta \psi_N$) of $\psi_N$ due to single nucleotide nonsynonymous substitutions, $T_s$, and then glass transition temperature $T_g$, and $\Delta G_{ND}$ are estimated with reasonable values for 14 protein domains. In addition, approximating the probability density function (PDF) of $\Delta \psi_N$ by a log-normal distribution, PDFs of $\Delta \psi_N$ and $K_a/K_s$, which is the ratio of nonsynonymous to synonymous substitution rate per site, in all and in fixed mutants are estimated. It is confirmed that $T_s$ negatively correlates with the mean of $K_a/K_s$. Stabilizing mutations are significantly fixed by positive selection, and balance with destabilizing mutations fixed by random drift. Supporting the nearly neutral theory, neutral selection is not significant.
A spectral method for an Optimal Investment problem with Transaction Costs under Potential Utility
Date: 2016-12-30 00:00:00

This paper concerns the numerical solution of the finite-horizon Optimal
Investment problem with transaction costs under Potential Utility. The problem
is initially posed in terms of an evolutive HJB equation with gradient
constraints. In Finite-Horizon Optimal Investment with Transaction Costs: A
Parabolic Double Obstacle Problem, Day-Yi, the problem is reformulated as a
non-linear parabolic double obstacle problem posed in one spatial variable and
defined in an unbounded domain where several explicit properties and formulas
are obtained. The restatement of the problem in polar coordinates allows to
pose the problem in one spatial variable in a finite domain, avoiding some of
the technical difficulties of the numerical solution of the previous statement
of the problem. If high precision is required, the spectral numerical method
proposed becomes more efficient than simpler methods as finite differences for
example.